Skip to main content
Latin American Economic Review

Table 7 Risk premium: \(E_{t}[\Delta S_{i,t+k}]=\beta _{0}+\beta _{1}(F_{t}^{t+k}-S_{t})+\beta _{2}\lambda (\frac{x'_{it}\beta }{\sigma })+\sum _{j}{\gamma _jD_\mathrm{{year}}}+\alpha _i+\epsilon _{it}\)

From: Great expectations? evidence from Colombia’s exchange rate survey

Coefficient/test

k = 1 month

k = 1 year

First differences

Fixed effects

First differences

Fixed effects

\(\beta _{0}\)

0.00 (0.003)

−0.01*** (0.001)

−0.00 (0.003)

0.03*** (0.005)

\(\beta _{1}\)

0.95*** (0.047)

1.07***(0.041)

0.39*** (0.035)

0.46*** (0.034)

\(\beta _{2}\)

0.00 (0.003)

0.00 (0.002)

0.00 (0.005)

0.00 (0.005)

\(t: \beta _{1}=1\)

1.30 (0.257)

2.96* (0.089)

294*** (0.000)

251*** (0.000)

\(Wald: \beta _{0}=0 \, \beta _{1}=1\)

1.14 (0.324)

36.9*** (0.000)

150*** (0.000)

126*** (0.000)

Observations

3611

4100

2869

3443

  1. Source: authors’ calculations. \(\beta _2\) corresponds to the inverse mills ratio, \(\lambda (\cdot )\), estimated from the Attrition Probit Regression (see Table 3). All estimations were conducted with clustered standard errors,reported in parenthesis. P values are reported only for the t test and Wald test (last two rows). Coefficients for time dummies are not reported.The Hausman test, conducted for all regressions, rejects the null hypothesis in which the unobserved time-invariant component is uncorrelated with the model’s covariates
  2. ***, **, * correspond to significance levels of 1, 5 and 10 %, respectively
Back to article page