2026/05/19 by Useong Shin · 1 voice
Economics, Econometrics and Finance · #q-fin.GN
arxiv published 2026/05/19 · arxiv updated 2026/05/24
This paper proposes a public daily-frequency benchmark for post-GFC government-bond CIP deviations. Although CIP deviations are observed daily, the literature lacks a canonical benchmark for daily regressions comparable to standard factor models in asset pricing. Using G10 plus KRW currency-tenor panels, I show that three lagged public state variables-NFCI, the nominal broad U.S. dollar index, and the Treasury 10-year minus 2-year slope-deliver strong in-sample and leave-one-year-out performance. Cointegration, quarter-end, and aggregation-difference diagnostics suggest that the benchmark captures a persistent background component rather than short-maturity quarter-end spikes or spurious level correlation.