Real bond return parity

We test a set of assumptions that imply the return parity of long-run, real bonds denominated in different currency numeraire. The joint hypothesis is rejected in our post-2009 sample of developing and developed market currencies; however, we document a strong relationship between changes in the log of bilateral, real exchange rate and real holding period bond returns in the direction of parity, contributing to the Meese-Rogoff puzzle on exchange rate determination.

Name thesis:degree_name

Master

Department dc:contributor.department

Sloan School of Management

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2021

Author dc:creator

• Im, Joanne

Advisor dc:contributor.advisor

• Schoar, Antoinette

Statement dc:rights

• In Copyright - Educational Use Permitted
• Copyright MIT

Licence dc:rights.uri

• http://rightsstatements.org/page/InC-EDU/1.0/

Handle dc:identifier.uri

https://hdl.handle.net/1721.1/139391

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/139391