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Hallerbach, Winfried G.
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 99-047/2
In fixed income analysis, duration plays a central role as a proxy for interestrate risk exposure. Althoughthis role relies on the interpretation of duration as (minus) theyield elasticity of the bond price, duration ismeasured as a bond's present value weighted average time to maturity andexpressed in terms of years. Hence duration is regarded as an elasticity with a time dimension. Inthis note we resolve this apparentduration paradox and show that duration is a pure number.
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Working Paper

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