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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
  1. Source: Central Bank Data and author’s calculations (mean values)