Great expectations? evidence from Colombia’s exchange rate survey

Título traducido de la contribución: Grandes expectativas? evidencia de la encuesta sobre el tipo de cambio en Colombia

Juan Jose Echavarria, Mauricio Villamizar-Villegas

Resultado de la investigación: Contribución a RevistaArtículo

1 Cita (Scopus)

Resumen

En este trabajo, utilizamos la mayor encuesta de tipo de cambio de Colombia para comprobar la hipótesis de expectativas racionales, la presencia de una prima de riesgo variable en el tiempo y la exactitud de los pronósticos de tipo de cambio. Nuestras conclusiones indican que los episodios de apreciación del tipo de cambio precedieron a las expectativas de una mayor apreciación a corto plazo, pero se caracterizaron por depreciaciones a largo plazo. Esta inversión explica en gran medida el patrón estabilizador de las expectativas. Adicionalmente, encontramos que el descuento a futuro difiere de las variaciones futuras del tipo de cambio debido al rechazo de la condición de imparcialidad y a la presencia de una prima de riesgo variable en el tiempo. Finalmente, encontramos que sólo las expectativas a corto plazo fueron capaces de superar un proceso de caminata aleatoria, así como los modelos de expectativas extrapoladoras, adaptativas y regresivas. Por otra parte, las expectativas a largo plazo se comportaron mal en cuanto a la precisión de las previsiones.
Idioma originalEnglish (US)
Páginas (desde-hasta)1-27
Número de páginas27
PublicaciónLatin American Economic Review
Volumen25
N.º1
DOI
EstadoPublished - jul 1 2016

Huella dactilar

Exchange rates
Colombia
Short-run
Time-varying risk premium
Expectations hypothesis
Random walk
Rational expectations
Unbiasedness
Forecasting accuracy
Discount
Depreciation
Reversal

Citar esto

Echavarria, Juan Jose ; Villamizar-Villegas, Mauricio. / Great expectations? evidence from Colombia’s exchange rate survey. En: Latin American Economic Review. 2016 ; Vol. 25, N.º 1. pp. 1-27.
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Great expectations? evidence from Colombia’s exchange rate survey. / Echavarria, Juan Jose; Villamizar-Villegas, Mauricio.

En: Latin American Economic Review, Vol. 25, N.º 1, 01.07.2016, p. 1-27.

Resultado de la investigación: Contribución a RevistaArtículo

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