Great expectations? evidence from Colombia’s exchange rate survey

It In this paper, we use the largest exchange rate survey in Colombia to test for the rational expectations hypothesis, the presence of a time-varying risk premium and the accuracy of exchange rate forecasts. Our findings indicate that episodes of exchange rate appreciation preceded expectations of...

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Autores:

Tipo de recurso:

Fecha de publicación:

2016

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/25900

Acceso en línea:

https://doi.org/10.1007/s40503-016-0033-2
https://repository.urosario.edu.co/handle/10336/25900

Palabra clave:

Exchange rate expectations
Risk premium
Forecasting accuracy
Random walk
Forward discount
Rational expectations hypothesis

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