Abstract
In this paper, tests are conducted for the presence of unit roots in the autoregression representation of foreign exchange currency futures price series. The results obtained from five different currency futures over the 1977–1983 period suggestthat foreign currency futures rates have autoregressive representations with a singleunit root (i.e., borderline nonstationarity). In view of this result, it appears thatthe process generating the natural logarithm of foreign currency futures rates may well be approximated by random walks.
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