Jesse Schreger

Data

Data

Dataset

Covered Interest Rate Parity Deviations Between Government Bonds

Updated October 2025 (V4) · Wenxin Du, Ritt Keerati, Jesse Schreger

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The Excel supplement lists the Bloomberg and Datastream tickers with instructions for reproducing the data file.

If you use this data, please cite:

  1. Du, Wenxin, Ritt Keerati, and Jesse Schreger (2025). "Decoupling Dollar and Treasury Privilege." Prepared for 2025 IMF Annual Research Conference. paper (opens external site)
  2. Du, Wenxin, Joanne Im, and Jesse Schreger (2018). "The U.S. Treasury Premium." Journal of International Economics, 112, 167-181. paper (opens external site)
  3. Du, Wenxin and Jesse Schreger (2016). "Local Currency Sovereign Risk." Journal of Finance, 71, 1027-1070. paper (opens external site)

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Firm-level measures of country risk from Sources and Transmission of Country Risk.

Open resource (opens external site)

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GCAP Data Hub

Datasets and replication kits from the Global Capital Allocation Project.

Open resource (opens external site)