Long maturity forward rates of major currencies are stationary

Long maturity forward rates of major currencies are stationary

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 nonstationary, long maturity forward rates are stationary. [PUBLICATION ABSTRACT]

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Veröffentlicht in:Applied economics letters 2009-07, Vol.16 (11), p.1
Hauptverfasser: Darvas, Zsolt, Schepp, Zoltán
Format: Artikel
Sprache:eng
Schlagworte:
Currencies
Economic analysis
Foreign exchange rates
Maturity
Studies
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Zusammenfassung: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 nonstationary, long maturity forward rates are stationary. [PUBLICATION ABSTRACT]
ISSN:1350-4851
1466-4291