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.
Year of publication: |
2009
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Authors: | Darvas, Zsolt ; Schepp, Zoltan |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 16.2009, 11, p. 1175-1181
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Publisher: |
Taylor & Francis Journals |
Saved in:
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