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 non-stationary, long maturity forward rates are stationary

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Year of publication:	[2007]
Authors:	Darvas, Zsolt
Other Persons:	Schepp, Zoltán (contributor)
Publisher:	[2007]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (8 p)
Series:	Corvinus University of Budapest, Dept. of Mathematical Economics and Economic Analysis Working Paper ; No. 2006/3
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 14, 2006 erstellt
Other identifiers:	10.2139/ssrn.955490 [DOI]
Classification:	C22 - Time-Series Models ; F31 - Foreign Exchange
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012731229