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Monetary policy and bond option pricing in an analytical RBC model

Authors
Journal
Journal of Economics and Business
0148-6195
Publisher
Elsevier
Publication Date
Volume
55
Issue
4
Identifiers
DOI: 10.1016/s0148-6195(03)00028-6
Keywords
  • Inflation Targeting
  • Output Targeting
  • Interest Rates
Disciplines
  • Economics

Abstract

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.

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