Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85595
Authors: 
Hallerbach, Winfried G.
Year of Publication: 
1999
Series/Report no.: 
Tinbergen Institute Discussion Paper 99-047/2
Abstract: 
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.
Document Type: 
Working Paper

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