Title: Yield curve changes effect on Euro area bond indexes: a partial durations approach
Author: José Soares Da Fonseca
Address: Faculty of Economics, University of Coimbra, Av. Dias da Silva 165, 3004-512 Coimbra, Portugal
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.
Keywords: 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.
Int. J. of Monetary Economics and Finance, 2014 Vol.7, No.1, pp.28 - 39
Date of acceptance: 06 Oct 2013
Available online: 23 Jul 2014