Covered Interest Rate Parity Deviations Between Government Bonds
Updated March 2021 (V3)
Wenxin Du, Joanne Im, and Jesse Schreger
Files:
Excel Data Supplement: list of Bloomberg and Datastream tickers with instructions for reproducing the data file.
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.
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