Monetary Policy and Bond Option Pricing in an Analytical RBC Model

Söderlind, Paul

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Monetary Policy and Bond Option Pricing in an Analytical RBC Model

Journal of Economics and Business, Vol. 55, pp. 321-330, 2003

13 Pages Posted: 2 Jun 2009

See all articles by Paul Söderlind

Paul Söderlind

University of St. Gallen

Date Written: January 3, 2003

Abstract

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.

Keywords: inflation targeting, output targeting, interest rates

JEL Classification: E52, E44, G12

Suggested Citation: Suggested Citation

Söderlind, Paul, Monetary Policy and Bond Option Pricing in an Analytical RBC Model (January 3, 2003). Journal of Economics and Business, Vol. 55, pp. 321-330, 2003, Available at SSRN: https://ssrn.com/abstract=1413212