Download This PaperDealer Risk Premiums in FX Forecasts
32 Pages Posted: 21 Jul 2023
Date Written: July 17, 2023
Abstract
In this paper, we re-assess the role of risk premiums in FX survey forecasts. Given that market makers in foreign exchange are both price setters and contributors to surveys such as Consensus Forecasts or FX4Casts we may expect risk premiums of FX liquidity provision to emerge in forecast data as well. Consistently, the empirical analysis shows that FX forecasts are strongly correlated with risk premiums calculated from FX derivatives as well as dealer balance sheet factors.
Keywords: Survey Forecasts, FX Dealers, Currency Risk, Intermediary Asset Pricing
JEL Classification: F31, G12, G15
Suggested Citation: Suggested Citation
Beckmann, Joscha and Reitz, Stefan, Dealer Risk Premiums in FX Forecasts (July 17, 2023). Available at SSRN: https://ssrn.com/abstract=4513275 or http://dx.doi.org/10.2139/ssrn.4513275
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