Stefan Reitz
Kiel Institute for the World Economy
Risk Premiums in Long-Run Exchange Rate Forecasts
- Venue
-
MEGA
424, Chemin du Viaduc
13080 Aix-en-Provence - Date(s)
-
Tuesday, September 22 2026
12:00pm to 1:00pm - Contact(s)
-
Houda Hafidi - houda.hafidi[at]sciencespo-aix.fr
Federico Trionfetti - federico.trionfetti[at]univ-amu.fr
Abstract
We investigate the role of risk premiums in long-run foreign exchange (FX) survey forecasts. Given that FX market makers are both price setters and contributors to surveys such as Consensus Economics or FX4casts, we may expect that risk premiums for FX liquidity provision will also emerge in forecast data. Our empirical analysis offers consistent evidence that FX forecasts are driven by a dealer balance sheet factor as well as risk premiums calculated from FX derivatives.