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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|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|
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9509, Federal Reserve Bank of Cleveland.
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- Hercowitz, Zvi & Sampson, Michael, 1991.
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