Yield curve changes effect on Euro area bond indexes: a partial durations approach Online publication date: Tue, 03-Mar-2015
by José Soares Da Fonseca
International Journal of Monetary Economics and Finance (IJMEF), Vol. 7, No. 1, 2014
Abstract: The dimension of the interest rate changes impact on bond prices depends on bond duration and convexity. The present paper uses a partial durations approach, combined with convexity measures and maturity segmentation, to estimate the impact of the Euro area yield curve shifts on the values of highest grade European government bond indexes.
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