Monetary policy and bond option pricing in an analytical RBC model

Paul Söderlind

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. -- inflation targeting ; output targeting ; interest rates

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Year of publication:	17 May 2001 ; [Elektronische Ressource], Rev. January 3, 2003
Other Persons:	Söderlind, Paul (contributor)
Institutions:	Ekonomiska forskningsinstitutet <Stockholm> (contributor)
Publisher:	Stockholm : Ekonomiska Forskningsinst.
Subject:	Optionspreistheorie \| Option pricing theory \| Zinsderivat \| Interest rate derivative \| Geldpolitik \| Monetary policy \| Geldpolitisches Ziel \| Monetary target \| Theorie \| Theory

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Extent:	Online-Ressource (PDF-Datei: 9 S., 62 KB)
Series:	SSE EFI working paper series in economics and finance. - Stockholm : [Verlag nicht ermittelbar], ISSN 1402-9928, ZDB-ID 2544040-8. - Vol. 447
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	nBibliography Gesamttitel von der Homepage Systemvoraussetzungen: Acrobat reader
Classification:	E44 - Financial Markets and the Macroeconomy ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10001600072