Long memory and structural changes in the forward discount: An empirical investigation

We analyze the evidence for long memory and structural changes in the five G7 countries' forward discount. We establish evidence for long memory by estimating the long memory parameter without allowing for structural breaks. We also document evidence for multiple structural breaks in the mean of the forward discount. We then adjust for structural changes in the forward discount rate and re-estimate the long memory parameter. After removing the breaks, we still find evidence of stationary long memory in each country's forward discount.