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