• Source: Lustig, Hanno, Nikolai Roussanov and Adrien Verdelhan, Common Risk Factors in Currency Markets, Review of Financial Studies, November 2011, Vol. 24 (11), pp. 3731-3777 pdf (appendix).
• Notes: Updated monthly, 1983 - ...
• Excel File: Here

Annual Currency Excess Returns

• Source: Lustig, Hanno and Adrien Verdelhan, The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk, American Economic Review, March 2007, vol. 97, No 1, pp 527-553, pdf.
• Notes: 1953-2002 and 1971-2002.
• Excel File: Here

Dollar Carry Excess Returns

• Source: Lustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan, Countercyclical Currency Risk Premia, Journal of Financial Economics, March 2014, vol. 111, No 3, pp 89-117, pdf.
• Notes: 12/1983-6/2010.
• Excel File: Here

• Source:Adrien Verdelhan, The Share of Systematic Variation in Bilateral Exchange Rates, November 2012 pdf (appendix).
• Notes: Updated monthly, 1983 - ...
• Excel File: Here

• Source: Borri, Nicola and Adrien Verdelhan, Sovereign Risk Premia, November 2010 pdf.
• Notes: Updated monthly, 1995 - ...
• Excel File: Here