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Monetary Policy and Bond Option Pricing in an Analytical RBC Model

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Author Info
Söderlind, Paul () (Dept. of Finance, Stockholm School of Economics)

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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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Publisher Info
Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 0447.

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Length: 12 pages
Date of creation: 17 May 2001
Date of revision: 24 Aug 2001
Publication status: Published in Journal of Economics and Business, 2003, pages 321-330.
Handle: RePEc:hhs:hastef:0447

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Related research
Keywords: inflation targeting output targeting interest rates

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Find related papers by JEL classification:
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

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. 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. [Downloadable!] (restricted)
  2. Frederic S. Mishkin, 1990. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Benassy, Jean-Pascal, 1995. "Money and wage contracts in an optimizing model of the business cycle," Journal of Monetary Economics, Elsevier, vol. 35(2), pages 303-315, April. [Downloadable!] (restricted)
    Other versions:
  4. Soderlind, Paul, 1998. " Nominal Interest Rates as Indicators of Inflation Expectations," Scandinavian Journal of Economics, Blackwell Publishing, vol. 100(2), pages 457-72, June. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Paul Söderlind, 2006. "Monetary Policy Effects on Financial Risk Premia," University of St. Gallen Department of Economics working paper series 2006 2006-26, Department of Economics, University of St. Gallen. [Downloadable!]
Statistics
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