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Table 10 Orthogonality condition:   \(E_{t}[S_{i,t+k}]-S_{t+k} = x'_{it}\beta + \sum _{j}{\gamma _jD_{year}} +\alpha _i + \epsilon _{it}\)

From: Great expectations? evidence from Colombia’s exchange rate survey

Coefficient/test k = 1 month k = 1 year
First differences Fixed effects First differences Fixed effects
Board \(Meetings_{t}\) −0.18*** (0.012) −0.07*** (0.007) 0.15*** (0.034) −0.02 (0.026)
\(\Delta Policy\) \(Rate_{t}\) 0.01*** (0.002) −0.01** (0.003) 0.00 (0.004) −0.02** (0.009)
Forward \(Discount_{t}\) −0.46*** (0.051) −0.60*** (0.041) −0.11** (0.046) −0.39*** (0.065)
Exchange rate \(Changes_{t-1}\) 0.30*** (0.013) −0.06 (0.013) 0.13*** (0.033) 0.37*** (0.048)
\(\textit{F} test:\) All \(\beta s =0\) 201*** (0.000) 97.7*** (0.000) 8.33*** (0.000) 31.1*** (0.000)
Observations 3575 4063 2513 3055
  1. Source: authors’ calculations. All estimations were conducted with clustered standard errors, reported in parenthesis. P values are reported only for the F test (last row). The Hausman test, conducted for all regressions, rejects the null hypothesis in which the unobserved time-invariant component is uncorrelated with the model’s covariates
  2. ***, **, * correspond to significance levels of 1, 5 and 10 %, respectively. Coefficients for time dummies are not reported