Some recent time series studies testing the stationarity of real exchange rates (RERs) produce conflicting results. Using nonlinear unit root tests and recursive analysis, this paper tests whether the evidence on the stationarity of RERs is sensitive to different numeraire currencies, different...

In a recent survey, Engel (1996) reported conflicting results about the cointegration relationship between the spot and forward exchange rates. Applying rolling cointegration tests to the mark, yen, and Swiss franc with respect to the U.S. dollar for the post-80 period, we find that the...

This study illustrates that the empirical rejection of the forward rate unbiasedness hypothesis is not sensitive to whether the forward U.S. dollar is quoted at a premium or a discount. It is argued that the reported finding of so-called asymmetry in forward exchange rate bias in earlier work is...