We jointly analyze foreign exchange trading and returns to identify traded risk factors and study how demand shocks propagate through them. We propose a novel procedure to net out diversifiable risks induced by trading across currencies and find that three factors — Dollar, Carry, and Euro-Yen — explain 90% of non-diversifiable trading-induced risk. These factors are priced both unconditionally and conditionally on trading. Instrumental variables analysis reveals that these factors’ prices rise 5 to 30 bps per $1 billion demand shock. Combining factor-level price sensitivity with assets’ factor exposures, we quantify cross-multipliers for 17 currencies and seven asset classes.