| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963401 | Journal of International Financial Markets, Institutions and Money | 2013 | 22 Pages |
Abstract
⺠The ex-ante risk premium is determined as the solution of a two-country portfolio asset pricing model. ⺠We measure the 3- and 12-month ahead JPY/USD and GBP/USD ex-ante risk premia using Consensus Economics survey data. ⺠The unobservable net market positions estimated using Kalman filtering share similar trends with observed aggregate positions. ⺠The model explains the main fluctuations of the ex-ante risk premia. ⺠The ex-post market risk premium adjusts toward the ex-ante risk premium.
Related Topics
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Authors
Georges Prat, Remzi Uctum,