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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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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id EDOCUR2_eeef74cafd314c54daf3ea539e9632ac
oai_identifier_str oai:repository.urosario.edu.co:10336/25900
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
spelling 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
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