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