Table 5 Individual components of the 1-month forward discount (Eq. 3)
From: Great expectations? evidence from Colombia’s exchange rate survey
Year | Forward discount \(F_{t}^{t+k}-S_{t}\) | Future depreciation \(\Delta S_{t+k}\) | Forecast error \(E_{t}[S_{i,t+k}]-S_{t+k}\) | Risk premium \(rp_t\) | Expected depreciation \(E_t[\Delta S_{i,t+k}]\) |
|---|---|---|---|---|---|
2003 (Oct–Dec) | 0.2 | −1.3 | 0.7 | 0.8 | −0.6 |
2004 | 0.4 | −1.2 | 1.2 | 0.4 | 0.0 |
2005 | 0.0 | −0.4 | 0.4 | 0.0 | 0.0 |
2006 | −0.3 | −0.2 | −0.3 | 0.2 | −0.5 |
2007 | 0.1 | −0.9 | 0.5 | 0.5 | −0.4 |
2008 | 0.1 | 0.9 | −2.0 | 1.2 | −1.1 |
2009 | −0.2 | −0.8 | −0.6 | 1.2 | −1.4 |
2010 | −0.4 | −0.5 | −0.2 | 0.4 | −0.8 |
2011 | −0.1 | 0.1 | −0.8 | 0.6 | −0.7 |
2012 (Jan–Aug) | −0.1 | −1.2 | 0.2 | 0.8 | −0.9 |
Average | 0.0 | −0.5 | −0.1 | 0.6 | −0.6 |