A Note on Monetary Policy with Interest-Rate Contingent Claims as Indicators

7 Pages Posted: 22 Nov 2007

See all articles by Thierry Roncalli

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: January 13, 1999

Abstract

In this paper, we consider the use of interest rate contingent claims as indicators for the monetary policy. We analyze two approaches: one based on the term structure of zero bonds and another based on interest-rate option derivatives. We show how traditional tools based on the Black framework could be biased to build indicators for monetary policy. In fact, the second approach could not be viewed as an alternative approach, but as a complementary approach of the term structure approach.

Keywords: Yield curve, Hull-White trinomial model, monetary policy

JEL Classification: G00

Suggested Citation

Roncalli, Thierry, A Note on Monetary Policy with Interest-Rate Contingent Claims as Indicators (January 13, 1999). Available at SSRN: https://ssrn.com/abstract=1031930 or http://dx.doi.org/10.2139/ssrn.1031930

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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