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Great expectations? Evidence from Colombia’s exchange rate survey

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  • Juan José Echavarría
  • Mauricio Villamizar

Abstract

In this document we use the Expectations Survey conducted monthly by the Central Bank of Colombia during the period of October 2003 – August 2012. We find that exchange rate revaluations were generally followed by expectations of further revaluation in the short run (1 month), but by expectations of devaluations in the long run (1 year), and that expectations are stabilizing both in the short and long run. The forward rate is generally different from the future spot rate, mainly because forecast errors are on average different from cero. This suggests that exchange rate expectations are not rational. The role of the risk premium is also important, albeit statistically significant only for the 1 year ahead forecasts (not for 1 month). One month expectations are much better predictors than the models of extrapolative, adaptive or regressive expectations or even the forward discount, and all of them outperform a random walk. But results are almost the opposite for 1 year. In this case traders and analysts could actually do much better by following some simple models or by looking at some key variables rather than by following the strategy that they pursue today..

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  • Juan José Echavarría & Mauricio Villamizar, 2012. "Great expectations? Evidence from Colombia’s exchange rate survey," Borradores de Economia 735, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:735
    DOI: 10.32468/be.735
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    1. Juan J. Echavarría & Luis F. Melo-Velandia & Mauricio Villamizar-Villegas, 2018. "The impact of pre-announced day-to-day interventions on the Colombian exchange rate," Empirical Economics, Springer, vol. 55(3), pages 1319-1336, November.
    2. Hui, Hon Chung, 2019. "Did the Foreign Exchange Market Cheer or Jeer in Response to Political Events? An Event Study of Malaysia – Some Stylised Facts," MPRA Paper 98149, University Library of Munich, Germany.
    3. Kuersteiner, Guido M. & Phillips, David C. & Villamizar-Villegas, Mauricio, 2018. "Effective sterilized foreign exchange intervention? Evidence from a rule-based policy," Journal of International Economics, Elsevier, vol. 113(C), pages 118-138.
    4. Ojeda-Joya, Jair & Romero, José Vicente, 2023. "Global uncertainty shocks and exchange-rate expectations in Latin America," Economic Modelling, Elsevier, vol. 120(C).
    5. Hon Chung Hui, 2021. "Were Foreign Exchange Markets Reacting Negatively to Political Events? The Case of Malaysia," South Asian Journal of Macroeconomics and Public Finance, , vol. 10(1), pages 105-129, June.
    6. Iregui, Ana María & Núñez, Héctor M. & Otero, Jesús, 2021. "Testing the efficiency of inflation and exchange rate forecast revisions in a changing economic environment," Journal of Economic Behavior & Organization, Elsevier, vol. 187(C), pages 290-314.

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    Keywords

    Exchange rate expectations; risk premium; market efficiency; forecasting accuracy; random walk; forward discount; rational expectations hypothesis.;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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