From: Great expectations? evidence from Colombia’s exchange rate survey
Type of expectation | k = 1 Month | k = 1 Year |
---|---|---|
Extrapolative \(E_{t}[\Delta S_{i,t+k}]=\beta _{0}+\beta _{1}\Delta S_{t} + \epsilon _{it}\) | \(\beta _{1}=\) −0.03** (0.013) | \(\beta _{1}=\) −0.13*** (0.015) |
Adaptive \(E_{t}[\Delta S_{i,t+k}]=\alpha _{0}+\alpha _{1}(S_{t}-E_{t-k}[S_{it}])+\nu _{it}\) | \(\alpha _{1}=\) −0.05*** (0.016) | \(\alpha _{1}=\) −0.15*** (0.017) |
Regressive \(E_{t}[\Delta S_{i,t+k}]=\gamma _{0}+\gamma _{1}(S_{t}-\bar{S_{t}})+\eta _{it}\) | \(\gamma _{1}=\) −0.05*** (0.005) | \(\gamma _{1}=\) 0.11*** (0.029) |