A Jump-Diffusion Nominal Short Rate Model

Posted: 13 Oct 2008 Last revised: 3 Apr 2012

See all articles by Sami Attaoui

Sami Attaoui

NEOMA Business School

Pierre Six

Neoma Business School

Date Written: February 16, 2010


This paper extends the monetary equilibrium approach of Lioui and Poncet (2004) to a jump-diffusion setting. We show that in the presence of jumps money non-neutrality is preserved and the jump component of the inflation risk premium is affected, in addition to technology factors, by monetary policy variables. Furthermore, we derive, based on our framework, the jump-diffusion dynamics of a nominal short interest rate.

Keywords: E31, E43, G12

JEL Classification: Interest rate model, monetary equilibrium, jump-diffusion

Suggested Citation

Attaoui, Sami and Six, Pierre, A Jump-Diffusion Nominal Short Rate Model (February 16, 2010). AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI. Available at SSRN: https://ssrn.com/abstract=1282220 or http://dx.doi.org/10.2139/ssrn.1282220

Sami Attaoui (Contact Author)

NEOMA Business School ( email )

Boulevard André Siegfried - BP 215
Mont Saint Aignan, 76825

Pierre Six

Neoma Business School ( email )

1, rue du Maréchal Juin - BP 188
Mont Saint Aignan Cedex, Normandy 76825

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