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

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, consistent with the theory. The variation in the Treasury basis accounts for 25 percent of the quarterly variation in the dollar between 1988 and 2017.

本文提出的理论表明，美元即期汇率（spot dollar exchange rate）反映了外国投资者赋予美国国债（US Treasuries）的全部未来便利收益（convenience yield）的总价值。便利收益还会形成一类价差，即基于国债的美元基差（Treasury-based dollar basis），存在于外国债券收益率与美国国债的货币对冲收益率之间。本文通过该国债基差对外国便利收益进行测算，结果显示基差扩大与美元升值呈正向对应关系，这与本文提出的理论相一致。1988年至2017年期间，国债基差的波动可以解释25%的美元季度汇率波动。