Yield curve changes effect on Euro area bond indexes: a partial durations approach

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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Year of publication:	2014
Authors:	Fonseca, José Soares Da
Published in:	International Journal of Monetary Economics and Finance. - Inderscience Enterprises Ltd, ISSN 1752-0479. - Vol. 7.2014, 1, p. 28-39
Publisher:	Inderscience Enterprises Ltd
Subject:	convexity measures \| maturity segmentation \| partial durations \| Euro zone \| bond indexes \| spot interest rates \| yield-to-maturity \| yield curve \| interest rate changes \| bond prices \| government bonds

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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