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Monetary policy and bond option pricing in an analytical RBC model

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  • Soderlind, Paul

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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 55 (2003)
Issue (Month): 4 ()
Pages: 321-330

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Handle: RePEc:eee:jebusi:v:55:y:2003:i:4:p:321-330

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Web page: http://www.elsevier.com/locate/jeconbus

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References

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  1. Frederic S. Mishkin, 1990. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
  2. Steven P. Cassou & Kevin J. Lansing, 1995. "Optimal fiscal policy, public capital, and the productivity slowdown," Working Paper 9509, Federal Reserve Bank of Cleveland.
  3. Hercovitz, Z. & Sampson, M., 1989. "Output Growth, The Real Wage, And Employment Fluctuations," RCER Working Papers 179, University of Rochester - Center for Economic Research (RCER).
  4. Bénassy, Jean-Pascal, 1993. "Money and wage contracts in an optimizing model of the business cycle," CEPREMAP Working Papers (Couverture Orange) 9325, CEPREMAP.
  5. Soderlind, Paul, 1998. " Nominal Interest Rates as Indicators of Inflation Expectations," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(2), pages 457-72, June.
  6. Long, John B, Jr & Plosser, Charles I, 1983. "Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 91(1), pages 39-69, February.
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Cited by:
  1. Vähämaa, Sami, 2004. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series 0315, European Central Bank.

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