Uctum, Remzi; Prat, Georges - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012
Using Consensus Economics survey data on experts' expectations, we aim to model the 3- and 12-month ahead ex-ante risk premia on the Yen/USD and the British Pound/USD exchange markets. For each market and at a given horizon, we show that the risk premium is well determined by the conditional...