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...
- 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
- Rights
- License
- Abierto (Texto Completo)
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8d9a4b09-4c3e-448f-8ca4-acf3e87c644d-1e77cf2c4-e599-48d3-9b89-fe23f8382d27-12020-08-06T16:20:10Z2020-08-06T16:20:10Z2016-07-21It 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 further appreciation in the short run, but were marked by depreciations in the long run. This reversal largely explains the stabilizing pattern of expectations. Additionally, we find that the forward discount differed from future exchange rate changes due to the rejection of the unbiasedness condition and to the presence of a time-varying risk premium. Finally, we find that only short run expectations were able to outperform a random walk process as well as models of extrapolative, adaptive, and regressive expectations. Long-run expectations, on the other hand, behaved poorly in terms of forecasting accuracy.application/pdfhttps://doi.org/10.1007/s40503-016-0033-2EISSN: 2196-436Xhttps://repository.urosario.edu.co/handle/10336/25900engSpringer Nature27No. 31Latin American Economic ReviewVol. 25 .Latin American Economic Review, EISSN: 2196-436X, Vol.25 .No.3 ( 2016); pp.1-27https://latinaer.springeropen.com/track/pdf/10.1007/s40503-016-0033-2Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2Latin American Economic Reviewinstname:Universidad del Rosarioreponame:Repositorio Institucional EdocURExchange rate expectationsRisk premiumForecasting accuracyRandom walkForward discountRational expectations hypothesisGreat expectations? evidence from Colombia’s exchange rate survey¿Grandes expectativas? evidencia de la encuesta de tipo de cambio de ColombiaarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Echavarría, Juan JoséVillamizar Villegas, Mauricio10336/25900oai:repository.urosario.edu.co:10336/259002021-06-03 00:50:20.426https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co |
dc.title.spa.fl_str_mv |
Great expectations? evidence from Colombia’s exchange rate survey |
dc.title.TranslatedTitle.spa.fl_str_mv |
¿Grandes expectativas? evidencia de la encuesta de tipo de cambio de Colombia |
title |
Great expectations? evidence from Colombia’s exchange rate survey |
spellingShingle |
Great expectations? evidence from Colombia’s exchange rate survey Exchange rate expectations Risk premium Forecasting accuracy Random walk Forward discount Rational expectations hypothesis |
title_short |
Great expectations? evidence from Colombia’s exchange rate survey |
title_full |
Great expectations? evidence from Colombia’s exchange rate survey |
title_fullStr |
Great expectations? evidence from Colombia’s exchange rate survey |
title_full_unstemmed |
Great expectations? evidence from Colombia’s exchange rate survey |
title_sort |
Great expectations? evidence from Colombia’s exchange rate survey |
dc.subject.keyword.spa.fl_str_mv |
Exchange rate expectations Risk premium Forecasting accuracy Random walk Forward discount Rational expectations hypothesis |
topic |
Exchange rate expectations Risk premium Forecasting accuracy Random walk Forward discount Rational expectations hypothesis |
description |
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 further appreciation in the short run, but were marked by depreciations in the long run. This reversal largely explains the stabilizing pattern of expectations. Additionally, we find that the forward discount differed from future exchange rate changes due to the rejection of the unbiasedness condition and to the presence of a time-varying risk premium. Finally, we find that only short run expectations were able to outperform a random walk process as well as models of extrapolative, adaptive, and regressive expectations. Long-run expectations, on the other hand, behaved poorly in terms of forecasting accuracy. |
publishDate |
2016 |
dc.date.created.spa.fl_str_mv |
2016-07-21 |
dc.date.accessioned.none.fl_str_mv |
2020-08-06T16:20:10Z |
dc.date.available.none.fl_str_mv |
2020-08-06T16:20:10Z |
dc.type.eng.fl_str_mv |
article |
dc.type.coarversion.fl_str_mv |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_6501 |
dc.type.spa.spa.fl_str_mv |
Artículo |
dc.identifier.doi.none.fl_str_mv |
https://doi.org/10.1007/s40503-016-0033-2 |
dc.identifier.issn.none.fl_str_mv |
EISSN: 2196-436X |
dc.identifier.uri.none.fl_str_mv |
https://repository.urosario.edu.co/handle/10336/25900 |
url |
https://doi.org/10.1007/s40503-016-0033-2 https://repository.urosario.edu.co/handle/10336/25900 |
identifier_str_mv |
EISSN: 2196-436X |
dc.language.iso.spa.fl_str_mv |
eng |
language |
eng |
dc.relation.citationEndPage.none.fl_str_mv |
27 |
dc.relation.citationIssue.none.fl_str_mv |
No. 3 |
dc.relation.citationStartPage.none.fl_str_mv |
1 |
dc.relation.citationTitle.none.fl_str_mv |
Latin American Economic Review |
dc.relation.citationVolume.none.fl_str_mv |
Vol. 25 . |
dc.relation.ispartof.spa.fl_str_mv |
Latin American Economic Review, EISSN: 2196-436X, Vol.25 .No.3 ( 2016); pp.1-27 |
dc.relation.uri.spa.fl_str_mv |
https://latinaer.springeropen.com/track/pdf/10.1007/s40503-016-0033-2 |
dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
dc.rights.acceso.spa.fl_str_mv |
Abierto (Texto Completo) |
rights_invalid_str_mv |
Abierto (Texto Completo) http://purl.org/coar/access_right/c_abf2 |
dc.format.mimetype.none.fl_str_mv |
application/pdf |
dc.publisher.spa.fl_str_mv |
Springer Nature |
dc.source.spa.fl_str_mv |
Latin American Economic Review |
institution |
Universidad del Rosario |
dc.source.instname.none.fl_str_mv |
instname:Universidad del Rosario |
dc.source.reponame.none.fl_str_mv |
reponame:Repositorio Institucional EdocUR |
repository.name.fl_str_mv |
Repositorio institucional EdocUR |
repository.mail.fl_str_mv |
edocur@urosario.edu.co |
_version_ |
1831928301871955968 |