Long maturity forward rates of major currencies are stationary

Zsolt Darvas () and Zoltan Schepp

Applied Economics Letters, 2009, vol. 16, issue 11, pages 1175-1181

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 nonstationary, long maturity forward rates are stationary.

Date: 2009

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Working Paper: Long maturity forward rates of major currencies are stationary (2006)
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