Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 1999-06-24
Number: 99-047/2
Author-Name: Winfried G. Hallerbach
Author-Workplace-Name: Erasmus University Rotterdam
Title: Duration & Dimension
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.
File-Url: https://papers.tinbergen.nl/99047.pdf
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Handle: RePEc:tin:wpaper:19990047