Unité mixte de recherche 7235

The dynamics of ex-ante risk premia in the foreign exchange market:Evidence from the yen/usd exchange rate Using survey data

Georges Prat, Remzi Uctum

[en] Using financial experts’ Yen/USD exchange rate expectations provided by Consensus Forecasts surveys (London), this paper aims to model the 3 and 12-month ahead ex-ante risk premia measured as the difference between the expected and forward exchange rates. According to a two-country portfolio asset pricing model, the risk premium is modeled as the product of three factors: a constant risk aversion coefficient, the expected variance of the rate of change in the real exchange rate, and the spread between domestic agent’s market position in foreign assets and foreign agent’s market position in domestic assets (net market position). When the returns are partially predictable, the expected variance is horizondependent and this is a sufficient condition for agents not to require at any time a unique risk premium for all maturities but a set of premia scaled by the time horizon of the investment. For each horizon the expected variance is assumed to depend on the historical values of the variance and on the unobservable maturity-dependent net market positions which have been estimated through a state space model using the Kalman filter methodology. We find that the model explains satisfactorily both the common and the non-random specific time-patterns of the 3- and 12-month ex-ante premia. [/en]


lundi 25 septembre 2023

Law, Institutions and Economics in Nanterre (LIEN)

Xavier Lambin (ESSEC)

Less than meets the eye: simultaneous experiments as a source of algorithmic seeming collusion

mardi 26 septembre 2023

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

André Orléan (EHESS)

Salle 301-302

Valeur et monnaie: une approche institutionnaliste

jeudi 28 septembre 2023


Philippe POINSOT

Quels sont les gagnants et les perdants des réformes de la fiscalité locale en France ? Une évaluation de la suppression de la CVAE

jeudi 28 septembre 2023

Développement Durable Environnement et Energie (DDEE)

Romain Espinosa (CIRED)

Salle 614B de 11h – 12h

The Animal Welfare Levy

jeudi 5 octobre 2023

Groupe de travail Economie Comportementale

Aurélie Bonein (Université de Rennes 1, CREM)


jeudi 5 octobre 2023


Himani Pasricha

The impact of climate variability on internal migration in Thailand.

dimanche 8 octobre 2023

Professeurs invités

Fayçal Hamdi

dimanche 8 octobre 2023

Professeurs invités

Tobias Kretschmmer

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