| dc.contributor.advisor | Schoar, Antoinette | |
| dc.contributor.author | Im, Joanne | |
| dc.date.accessioned | 2022-01-14T15:08:44Z | |
| dc.date.available | 2022-01-14T15:08:44Z | |
| dc.date.issued | 2021-06 | |
| dc.date.submitted | 2021-06-03T17:55:18.024Z | |
| dc.identifier.uri | https://hdl.handle.net/1721.1/139391 | |
| dc.description.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. | |
| dc.publisher | Massachusetts Institute of Technology | |
| dc.rights | In Copyright - Educational Use Permitted | |
| dc.rights | Copyright MIT | |
| dc.rights.uri | http://rightsstatements.org/page/InC-EDU/1.0/ | |
| dc.title | Real bond return parity | |
| dc.type | Thesis | |
| dc.description.degree | S.M. | |
| dc.contributor.department | Sloan School of Management | |
| mit.thesis.degree | Master | |
| thesis.degree.name | Master of Science in Management Research | |
