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

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  • José Soares Da Fonseca

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.

Suggested Citation

  • José Soares Da Fonseca, 2014. "Yield curve changes effect on Euro area bond indexes: a partial durations approach," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 7(1), pages 28-39.
    • Handle: RePEc:ids:ijmefi:v:7:y:2014:i:1:p:28-39
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