Files:

• Stata Dataset, CSV Dataset

• Excel Data Supplement: list of Bloomberg and Datastream tickers with instructions for reproducing the data file. 

• Data Appendix

• NBER IFM Data Session Slides 

If you use this data, please cite:

Du, Wenxin and Jesse Schreger (2016). “Local Currency Sovereign Risk.” Journal of Finance, 71,  1027-1070.

Du, Wenxin, Joanne Im, and Jesse Schreger (2018). “The U.S. Treasury Premium.” Journal of International Economics,  112, 167-181.

Previous Versions: 

V1 - June 2018

V2 - January 2020