Methodology

Definitions, sources, sample windows, caveats, and paper-section references for every series the site exposes.

ρ_IBOR — money-market CIP deviation (IBOR-based)

Formula: ρ_IBOR = i^IBOR_USD − (i^IBOR_FX − (f − s)/τ); negative ρ_IBOR ⇒ USD-funding cheaper synthetically, i.e., positive USD convenience
Sources: USD LIBOR / IBOR pre-reform; same-tenor foreign IBOR
Bloomberg FX spot and forward points
Sample window: 2002-04 – 2024-10
Caveats: IBORs carry bank credit risk and panel-quote-driven idiosyncrasies.
Coverage thins for some EME currencies pre-2007.
Paper: Du, Tepper, Verdelhan (2018); methodology §2
Citation: Du–Tepper–Verdelhan (2018), Du–Im–Schreger (2018)

Formula: Same form as ρ_IBOR but using post-reform alternative benchmarks (e.g., SOFR vs SARON, SONIA, €STR) on both legs.
Sources: SOFR (USD), SARON (CHF), SONIA (GBP), €STR (EUR), TONAR (JPY), etc.
OIS swap rates from Bloomberg
Sample window: 2018-01 – 2024-10 (thinly populated before benchmark transitions)
Caveats: Coverage starts at different dates per currency, as alternative benchmarks were adopted unevenly.
For most currencies the rate is overnight; tenor structure built via OIS swaps.
Paper: Du, Keerati, Schreger (2025); §2
Citation: Du–Keerati–Schreger (2025)

Formula: Swapped foreign government bond yield (in USD via the same-currency benchmark swap) minus the US Treasury yield of the same tenor. Sign convention: positive values indicate the U.S. Treasury yields LESS than the swapped foreign bond — i.e., U.S. Treasury convenience is positive against that country. The series uses the IBOR-based swap leg up to each (currency, tenor)'s benchmark transition date and the OIS-based swap leg after — see the splice methodology.
Sources: Foreign government bond yields (Bloomberg generic yields)
US Treasury par yields (Bloomberg)
Currency-specific IBOR and OIS swap curves
Sample window: 2002-04 – 2024-10
Caveats: The IBOR→OIS transition happens on different dates per (currency, tenor); the spliced series respects each row's break date.
Negative values mean the swapped foreign bond yields LESS than the U.S. Treasury — i.e., the foreign sovereign is more convenient than the Treasury at that tenor (the decoupling finding).
Paper: Du, Keerati, Schreger (2025); §3
Citation: Du–Keerati–Schreger (2025), Du–Im–Schreger (2018)

Formula: Same form as cip_govt but uses the IBOR-based swap leg across the entire sample, including post-reform.
Sources: Foreign government bond yields
US Treasury par yields
IBOR swap curves
Sample window: 2002-04 – 2024-10
Caveats: Exposed deliberately only for the 'show both legs separately' toggle — not the default plotting series.
Post-reform IBOR quotes may not reflect liquid markets.
Paper: Du, Keerati, Schreger (2025); §3
Citation: Du–Keerati–Schreger (2025)

Formula: Same form as cip_govt but uses the alternative-benchmark swap leg across the entire sample, including pre-reform where data permits.
Sources: Foreign government bond yields
US Treasury par yields
OIS swap curves
Sample window: 2018-01 – 2024-10 (thinly populated before 2021 for most currencies)
Caveats: Exposed deliberately only for the 'show both legs separately' toggle.
Pre-reform coverage requires OIS curves that may not have existed for some currencies.
Paper: Du, Keerati, Schreger (2025); §3
Citation: Du–Keerati–Schreger (2025)