Monetary policy and bond option pricing in an analytical RBC model
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economics and Business.
Volume (Year): 55 (2003)
Issue (Month): 4 ()
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Web page: http://www.elsevier.com/locate/jeconbus
Other versions of this item:
- Söderlind, Paul, 2001. "Monetary Policy and Bond Option Pricing in an Analytical RBC Model," Working Paper Series in Economics and Finance 0447, Stockholm School of Economics, revised 24 Aug 2001.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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