Scandinavian Working Papers in Economics
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The Economic Research Institute, Stockholm School of Economics 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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