Joint research unit 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

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.

AGENDA

Monday 27 June 2022

Law, Institutions and Economics in Nanterre (LIEN)

Miriam Buiten (St Gallen Univ)

En distanciel à 11H30

From intermediaries to moderators of the internet: Should online platforms be liable?

Monday 27 June 2022

Law, Institutions and Economics in Nanterre (LINK)

Miriam Buiten (St Gallen Univ)

En distanciel à 11H30

From intermediaries to moderators of the internet: Should online platforms be liable?

Thursday 30 June 2022

Doctorants

Zoltán Szücs | Gagnie Pascal Yebarth

Salle 401-402

Le rôle de la police municipale dans la satisfaction des attentes de la population parisienne en termes de tranquillité publique | Politiques publiques et externalités dans les jeux stratégiques de marché

Thursday 30 June 2022

PhD students

Zoltán Szücs | Gagnie Pascal Yebarth

Salle 401-402

Le rôle de la police municipale dans la satisfaction des attentes de la population parisienne en termes de tranquillité publique | Politiques publiques et externalités dans les jeux stratégiques de marché

Friday 1 July 2022

Colloques et Workshops

9th Workshop on Economic Analysis of Litigation

Friday 1 July 2022

Colloques et Workshops

9th Workshop on Economic Analysis of Litigation

Monday 4 July 2022

Colloques et Workshops

Joint Webinar on Environment and Health in Seaport Cities

Monday 4 July 2022

Colloques et Workshops

Webinar conjoint sur l’environnement et la santé dans les villes maritimes

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