Replication data for: Foreign Safe Asset Demand for US Treasurys and the Dollar

Hanno Lustig, Arvind Krishnamurthy & Zhengyang Jiang
We present theory showing that the spot dollar exchange rate reflects the value of all future convenience yields that foreign investors assign to US Treasuries. The convenience yield also creates wedge, the Treasury-based dollar basis, between the yield on foreign bonds and the currency-hedged yield on US Treasury bonds. We use the Treasury basis to measure the foreign convenience yield and show that an increase in the basis coincides with an appreciation of the dollar,...
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