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

José Soares Da Fonseca

International Journal of Monetary Economics and Finance, 2014, vol. 7, issue 1, 28-39

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. (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=63833 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:7:y:2014:i:1:p:28-39

Access Statistics for this article

More articles in International Journal of Monetary Economics and Finance from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().