Scandinavian Working Papers in Economics
SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics
No 0447: Monetary Policy and Bond Option Pricing in an Analytical RBC Model
Paul Söderlind ()
Additional contact information
Paul Söderlind: Dept. of Finance, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden
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
12 pages, First version: May 17, 2001. Revised: January 3, 2003. Earlier revisions: August 24, 2001, August 27, 2001, August 24, 2001, March 15, 2002, March 15, 2002, October 11, 2002, October 11, 2002, January 3, 2002.
- Published as
- Paul Söderlind, (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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