EUR/USD and the rate differential
Is EUR/USD trading where the euro–US short-rate gap would historically place it?
Data through 2026-01 · revision 183e5a622c0a3c4a
EUR/USD
1.1744
Model level
1.1194
Residual
+4.91%
Residual z
1.04
Conditions
| At least 60 matched months | 120 months | passed |
| Differential explains ≥ 20% of variation | R² 0.02 | failed |
| Slope significant (|t| ≥ 2, HAC) | t 0.87 | failed |
| Residual mean-reverts (AR(1) ρ < 0.9) | ρ 0.95 | failed |
| Measured execution and carry costs | Not measured on this public page; uses no assumed costs. | unknown |
Statistical association only. No position is implied unless every condition passes, including measured costs.
What if the differential moves?
Model level moves to 1.1194 (slope 0.0105 log-points per pp, HAC s.e. 0.0120).
Method
ln(USD per EUR) regressed on euro-area 3-month interbank minus US 3-month T-bill, 120 matched months from 2016-02. Current differential -1.54 pp. Residual 5th–95th percentile -6.87% to 7.40%; R² 0.02. Spec lvl-3m-120m-v1.