Inflation Derivatives Under Inflation Target Regimes
研究了通胀目标制对通胀随机性质及通胀衍生品定价的影响，提出了一个考虑央行干预的灵活模型，并展示了目标制对衍生品定价的作用。
Inflation targeting—the central bank practice of attempting to keep inflation levels within fixed bounds around a quantitative target—has been adopted by more than 20 economies. Such practice has an important impact on the stochastic nature of inflation and, consequently, on the pricing of inflation derivatives. We develop a flexible model of inflation targeting in which the central bank's intervention to steer inflation toward the target depends on past deviations and the policymaker's ability and will to enforce the target. We use our model to price inflation derivatives and demonstrate the impact of inflation targeting on derivative pricing.