Table 6 Individual components of the 1-year 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) | 7.8 | −11.6 | 17.4 | 2.0 | 5.8 |
2004 | 6.3 | −12.8 | 19.9 | −0.8 | 7.1 |
2005 | 3.2 | 1.6 | 5.0 | −3.5 | 6.6 |
2006 | 1.2 | −12.6 | 15.2 | −1.4 | 2.7 |
2007 | 3.2 | −6.2 | 12.2 | −2.9 | 6.1 |
2008 | 5.5 | 10.9 | −5.7 | 0.3 | 5.1 |
2009 | 4.7 | −13.4 | 16.5 | 1.7 | 3.0 |
2010 | 2.0 | −3.3 | 4.8 | 0.5 | 1.5 |
2011 | 1.1 | 0.0 | −0.5 | 3.0 | −1.9 |
2012 (Jan–Aug) | 3.2 | 0.0 | −0.7 | 3.9 | −0.7 |
Average | 3.8 | −4.9 | 8.4 | 0.3 | 3.5 |