Download This PaperDuration & Dimension
Tinbergen Institute Working Paper No. TI 99-047/2
10 Pages Posted: 22 Jan 2004
Date Written: November 1, 2001
Abstract
In fixed income analysis, duration plays a central role as a proxy for interest rate risk exposure. Although this role relies on the interpretation of duration as (minus) the yield elasticity of the bond price, duration is measured as a bond's present value weighted average time to maturity and expressed in terms of years. Hence duration is regarded as an elasticity with a time dimension. In this paper we resolve this apparent duration paradox and show that duration is a pure number.
Keywords: Bond, duration, dimension
JEL Classification: B23, E40
Suggested Citation: Suggested Citation
Hallerbach, Winfried George, Duration & Dimension (November 1, 2001). Tinbergen Institute Working Paper No. TI 99-047/2, Available at SSRN: https://ssrn.com/abstract=488623 or http://dx.doi.org/10.2139/ssrn.488623
Do you have negative results from your research you’d like to share?
Recommended Papers
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.