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- W3124655086 abstract "Using Consensus Economics survey data on experts’ expectations, we aim to model the 3- and 12-month ahead ex-ante risk premia on the JPY/USD and the GBP/USD exchange markets. For each market and at a given horizon, we show that the risk premium is well determined by the conditional expected variance of the change in the real exchange rate, agents’ real NMP in assets and a constant composite risk aversion coefficient, as suggested by a two-country portfolio asset pricing model. The expected variance depends on the past values of the observed variance and the unobservable real NMP is estimated as a state variable using the Kalman filter methodology. We found that the trends of our estimated horizon-specific NMPs are consistent with the ones of the observed short term aggregate NMPs calculated using the U.S. Treasury International Capital System dataset. Moreover, we show that the ex-post premia tend to adjust toward the ex-ante values, suggesting that experts’ beliefs provide a relevant information to the market. These results bring new responses to the difficulties reported by the widespread ex-post risk premium literature and enhances the usefulness of survey data in modeling the risk premium. (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.)" @default.
- W3124655086 created "2021-02-01" @default.
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- W3124655086 date "2012-01-01" @default.
- W3124655086 modified "2023-09-25" @default.
- W3124655086 title "Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: evidence from survey data" @default.
- W3124655086 hasPublicationYear "2012" @default.
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