... converting to the foreign currency, lending at the foreign interest rate, and converting the proceeds back to dollars. The stock and bond indices are total market returns from Datastream, the interest ... excess returns for borrowing in US dollars, converting to the domestic currency, lending at the domestic interest rate, and converting the proceed back to dollars. The stock and bond returns are ... roberto.de_santis@ecb.int3 University of Warwick and Centre for Economic Policy Research (CEPR). Contact address: Finance Group, Warwick Business School, University of Warwick, Coventry CV4 7AL, United Kingdom;...