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1. Long Maturity Forward Rates of Major Currencies are Stationary

Author

Zsolt Darvas and Zoltán Schepp

Subjects
Economics and Econometrics, forward exchange rate, unit root tests, Forward rate, Statistics, Economics, Econometrics, jel:F31, Forward exchange rate, Unit root, jel:C22, Maturity (finance), Mathematics
Abstract

Using eight unit root tests and a stationarity test and three decades of monthly data for the currencies between the US, Germany, UK and Switzerland, we find that, while spot exchange rates are non-stationary, long maturity forward rates are stationary.

Published
2007

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