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 InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 0447.
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.
Contact details of provider:
Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
Phone: +46-(0)8-736 90 00
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Web page: http://www.hhs.se/
More information through EDIRC
inflation targeting; output targeting; interest rates;
Other versions of this item:
- Soderlind, Paul, 2003. "Monetary policy and bond option pricing in an analytical RBC model," Journal of Economics and Business, Elsevier, vol. 55(4), pages 321-330.
- 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
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.:
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Elsevier, vol. 25(1), pages 77-95, January.
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- Frederic S. Mishkin, 1990. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
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- Sami Vähämaa, 2004.
"Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB,"
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315, European Central Bank.
- Vahamaa, Sami, 2005. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
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