Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/85595 
Year of Publication: 
1999
Series/Report no.: 
Tinbergen Institute Discussion Paper No. 99-047/2
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
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

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.