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

Authors: José Soares Da Fonseca

Addresses: 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.

DOI: 10.1504/IJMEF.2014.063833

International Journal of Monetary Economics and Finance, 2014 Vol.7 No.1, pp.28 - 39

Received: 10 Jan 2013
Accepted: 06 Oct 2013
Published online: 03 Mar 2015 *

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