Long Maturity Forward Rates of Major Currencies are Stationary
Corvinus University of Budapest, Dept. of Mathematical Economics and Economic Analysis Working Paper No. 2006/3
8 Pages Posted: 8 Jan 2007
Date Written: February 14, 2006
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.
Keywords: forward exchange rate, unit root tests
JEL Classification: C22, F31
Suggested Citation: Suggested Citation