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

See all articles by Zsolt Darvas

Zsolt Darvas

Budapest University of Economic Sciences and Public Administration

Zoltán Schepp

University of Pecs

Date Written: February 14, 2006

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.

Keywords: forward exchange rate, unit root tests

JEL Classification: C22, F31

Suggested Citation

Darvas, Zsolt and Schepp, Zoltán, Long Maturity Forward Rates of Major Currencies are Stationary (February 14, 2006). Corvinus University of Budapest, Dept. of Mathematical Economics and Economic Analysis Working Paper No. 2006/3, Available at SSRN: https://ssrn.com/abstract=955490 or http://dx.doi.org/10.2139/ssrn.955490

Zsolt Darvas (Contact Author)

Budapest University of Economic Sciences and Public Administration ( email )

Budapest H-1093
Hungary

HOME PAGE: http://www.uni-corvinus.hu/darvas

Zoltán Schepp

University of Pecs ( email )

Rakoczi 80
Pecs, 7622
Hungary

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