Data and Code for "A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers"

Principal Investigator(s):  View help for Principal Investigator(s) Pierre-Olivier Gourinchas, International Monetary Fund, University of California Berkeley, CEPR and NBER; Walker Ray, Federal Reserve Bank of Chicago and CEPR; Dimitri Vayanos, London School of Economics, CEPR and NBER

Version:  View help for Version V1

Name File Type Size Last Modified
  exhab_aer20250923 09/23/2025 09:03:AM

Project Citation: 

Gourinchas, Pierre-Olivier, Ray, Walker, and Vayanos, Dimitri. Data and Code for “A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers.” Nashville, TN: American Economic Association [publisher], 2025. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-10-02. https://doi.org/10.3886/E228661V1

Project Description

Summary:  View help for Summary 
The project is data and code accompanying our article. The abstract 
of the article is: We develop a two-country model in which currency and 
bond markets are populated by different investor clienteles, and segmentation 
is partly overcome by arbitrageurs with limited capital. Risk premia 
in our model are time-varying, connected across markets, and consistent 
with the empirical violations of Uncovered Interest Parity and 
Expectations Hypothesis. Through risk premia, large-scale bond 
purchases lower domestic and foreign bond yields and depreciate 
the currency, and short-rate cuts lower foreign yields, with smaller 
effects than bond purchases. Currency returns are disconnected from 
long-maturity bond returns, and yet the currency market is instrumental 
in transmitting bond demand shocks across countries.
Funding Sources:  View help for Funding Sources LSE Paul Woolley Centre

Scope of Project

Subject Terms:  View help for Subject Terms Publicly available macroeconomic and financial data
JEL Classification:  View help for JEL Classification
      E43 Interest Rates: Determination, Term Structure, and Effects
      E52 Monetary Policy
      F31 Foreign Exchange
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      G15 International Financial Markets
Geographic Coverage:  View help for Geographic Coverage US, Europe
Time Period(s):  View help for Time Period(s) 6/1986 – 4/2021
Collection Date(s):  View help for Collection Date(s) 2/2021 – 9/2021
Data Type(s):  View help for Data Type(s) aggregate data

Methodology

Data Source:  View help for Data Source Board of Governors of the Federal Reserve System, Federal Reserve Bank of Saint Louis, Deutsche Bundesbank, Federal Reserve Bank of New York

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Published Versions

V1 [2025-10-02]

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