Monetary policy and bond option pricing in an analytical RBC model
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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- Cassou, Steven P. & Lansing, Kevin J., 1998.
"Optimal fiscal policy, public capital, and the productivity slowdown,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 22(6), pages 911-935, June.
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