Finance Area Seminar: Leonie Braeuer
Leonie Braeuer
University of Geneva
Exchange Rate Expectations and Currency Demand
Date: Friday, January 9, 2026
Time: 10:30 AM - 11:45 AM
Location: Bronfman building, Room 340
All are cordially invited to attend.
Abstract
This paper develops a new method to extract exchange rate expectations from investment positions. I use relative allocations between otherwise identical exchange-traded funds (ETFs) offered with and without a currency hedge to measure investors’ pure currency demand and infer a distribution of currency return expectations. These portfolio-implied expectations predict future exchange rates more accurately than survey-based expectations or expectations derived from macroeconomic models or currency pricing factors. Dispersion in portfolio-implied expectations accounts for 27% of exchange rate volatility, consistent with models of heterogeneous beliefs.
