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Real bond return parity

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Author(s)
Im, Joanne
Advisor(s)
Schoar, Antoinette
Date Issued
June 2021
Publisher
Massachusetts Institute of Technology
Abstract
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.
MIT Department
Sloan School of Management
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