Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: Evidence from survey data

► The ex-ante risk premium is determined as the solution of a two-country portfolio asset pricing model. ► We measure the 3- and 12-month ahead JPY/USD and GBP/USD ex-ante risk premia using Consensus Economics survey data. ► The unobservable net market positions estimated using Kalman filtering share similar trends with observed aggregate positions. ► The model explains the main fluctuations of the ex-ante risk premia. ► The ex-post market risk premium adjusts toward the ex-ante risk premium.