SSE/EFI Working Paper Series in Economics and Finance
No 447:
Monetary Policy and Bond Option Pricing in an Analytical RBC Model
Paul Söderlind ()
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; (follow links to similar papers)
JEL-Codes: E44; E52; G12; (follow links to similar papers)
12 pages, May 17, 2001, Revised January 3, 2003
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- This paper is published as:
-
Söderlind, Paul, (2003), 'Monetary Policy and Bond Option Pricing in an Analytical RBC Model', Journal of Economics and Business, Vol. 55, pages 321-330
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