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 |