Monetary Policy and Bond Option Pricing in an Analytical RBC Model

Paul Söderlind

No 447, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper analyzes how bond option prices are affected by different types of monetary policy. Analytical results from a general equilibrium model with sticky wages show that employment or output targeting typically give lower bond option prices than inflation targeting.

Keywords: inflation targeting; output targeting; interest rates (search for similar items in EconPapers)
JEL-codes: E44 E52 G12 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2001-05-17, Revised 2003-01-03
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Published in Journal of Economics and Business, 2003, pages 321-330.

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Journal Article: Monetary policy and bond option pricing in an analytical RBC model (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0447

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