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.

Results and models of this paper are based on a strikingly new empirical observation: long maturity forward rates between bilateral currency pairs of the US, Germany, UK, and Switzerland are stationary. Based on this result, we suggest a new explanation for the UIP-puzzle maintaining rational...

Írásunkban azt vizsgáljuk, hogy a hosszú lejáratú határidős árfolyamok stacionaritását feltételező hibakorrekciós modellek, amelyeknek korábbi számítások szerint - a világ devizapiaci forgalmának mintegy 75 százalékát kitevő fejlett ipari országokra alkalmazva - kitűnő...

Írásunkban azt vizsgáljuk, hogy a hosszú lejáratú határidős árfolyamok stacionaritását feltételező hibakorrekciós modellek, amelyeknek korábbi számítások szerint - a világ devizapiaci forgalmának mintegy 75 százalékát kitevő fejlett ipari országokra alkalmazva - kitűnő...

Results and models of this paper are based on a strikingly new empirical observation: long maturity forward rates between bilateral currency pairs of the US, Germany, UK, and Switzerland are stationary. Based on this result, we suggest a new explanation for the UIP-puzzle maintaining rational...

This paper shows that error correction models assuming that long-maturity forward rates are stationary outperform the random walk in out of sample forecasting at forecasting horizons mostly above one year, for US dollar exchange rates against nine industrial countries’ currencies, using the...

Írásunkban azt vizsgáljuk, hogy a hosszú lejáratú határidõs árfolyamok stacionaritását feltételezõ hibakorrekciós modellek, amelyek korábbi számítások szerint a világ devizapiaci forgalmának mintegy 75%-át kitevõ fejlett ipari országokra alkalmazva kitûnõ mintán...

This paper presents unprecedented exchange rate forecasting results based upon a new model which approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. The theoretical derivation of our forecasting...

This paper is the first to use an economic theory-based model—the monetary model of exchange rates within a rational expectations present value framework—to forecast the daily exchange rate of a major currency. Our out-of-sample forecast evaluation period, spanning from 1990 to 2024, is...

We show that in a popular model of exchange rate determination, the unobserved expected future exchange rate can be substituted with the observed forward exchange rate. This allows the derivation of a new error-correction forecasting model, which approximates the gap between the fundamental...