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Duration & Dimension

Winfried G. Hallerbach
Erasmus Research Institute of Management (ERIM) - Joint Research Institute of Rotterdam School of Management (RSM) and Erasmus School of Economics (ESE), EUR

November 1, 2001

Tinbergen Institute Working Paper No. TI 99-047/2

Abstract:
In fixed income analysis, duration plays a central role as a proxy for interest rate risk exposure. Although this role relies on the interpretation of duration as (minus) the yield elasticity of the bond price, duration is measured as a bond's present value weighted average time to maturity and expressed in terms of years. Hence duration is regarded as an elasticity with a time dimension. In this paper we resolve this apparent duration paradox and show that duration is a pure number.

Keywords: Bond, duration, dimension

JEL Classifications: B23, E40

Working Paper Series

Date posted: January 22, 2004 ; Last revised: July 07, 2009

Suggested Citation

Hallerbach, Winfried G., Duration & Dimension (November 1, 2001). Tinbergen Institute Working Paper No. TI 99-047/2. Available at SSRN: http://ssrn.com/abstract=488623

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Contact Information

Winfried G.P.M. Hallerbach (Contact Author)

Erasmus Research Institute of Management (ERIM) - Joint Research Institute of Rotterdam School of Management (RSM) and Erasmus School of Economics (ESE), EUR ( email )

P.O. Box 1738
3000 DR Rotterdam Netherlands
+31 10 408-1290 (Phone)
+31 10 408-9165 (Fax)