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|
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Web page: http://www.hhs.se/
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- Mishkin, Frederic S., 1990.
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- Bénassy, Jean-Pascal, 1993.
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CEPREMAP Working Papers (Couverture Orange)
- 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.
- Soderlind, Paul, 1998. " Nominal Interest Rates as Indicators of Inflation Expectations," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(2), pages 457-472, June.
- 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.
- 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).
- Hercowitz, Zvi & Sampson, Michael, 1991. "Output Growth, the Real Wage, and Employment Fluctuations," American Economic Review, American Economic Association, vol. 81(5), pages 1215-1237, December.
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