Bohumil Stádník – Financial Engineering, Department of Banking and Insurance, Faculty of Finance, University of Economics
in Prague, W. Churchill sq.4, 140 00 Prague, Czech Republic


5th International Conference – ERAZ 2019 – KNOWLEDGE BASED SUSTAINABLE DEVELOPMENT, Budapest – Hungary, May 23, 2019, SELECTED PAPERS

Published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia
Conference partners: Faculty of Economics and Business, Mediterranean University, Montenegro; University of National and World Economy – Sofia, Bulgaria; Faculty of Commercial and Business Studies – Celje, Slovenia; Faculty of Applied Management, Economics and Finance – Belgrade, Serbia;

ISBN 978-86-80194-21-9, ISSN 2683-5568, DOI:


The Macaulay Duration could be roughly interpreted as the percentage change of a bond
price if the shift of interest rate equals 1% along the whole zero-coupon curve; which is empirically very
rare case. To deal with the prediction of short-term rates shifts and its consequences for the whole yield
curve is more often praxis, thus it is useful to define a certain value which respects this fact and which is
handled in the same way as Macaulay Duration. We name this measure as “Short Rate Shift Duration”
and the main contribution of this study is to suggest a procedure which allows to find its values.

Key words

Short Rate Shift Duration, conventional duration, Macaulay Duration, Short Rate Shift
Duration of portfolio, zero-coupon yield curve.


[1] Fabozzi, F., J. 1993. Fixed Income Mathematics, Chicago: Probus, Publishing Company.
[2] Fabozzi, F. J., Fabozzi, T., D.1995. The Handbook of Fixed Income Securities (Fourth Edition).
Irwin, Professional Publishing, 1995.
[3] Fabozzi F., J. 2010. Bond Markets, Analysis and Strategies (seventh edition). Prentice Hall.
[4] Smit, L. A., Swart, B. B. 2006. Calculating the price of bond convexity. Journal of Portfolio
Management, Volume 32, Issue 2, pp. 99–106.
[5] Málek, J., Radová, J., Štěrba, F. 2007. Yield curve construction using government bonds in
the Czech Republic. Politická ekonomie, vol. LV, 2007, iss. 6, pp. 792–808.
[6] Litterman, R., Scheinkman, J. 1991. Common factors affecting bond returns. The Journal
of Fixed Income, vol. 1, June 1991, no. 1, pp. 54–61.
[7] Litterman, R., Scheinkman, J., Weiss, L. 1991. Volatility and the yield curve. The Journal
of Fixed Income, vol. 1, June 1991, no. 1, pp. 49–53.
[8] Fuller, R. J., Settle, J. W. 1984. Determinants of Duration and Bond Volatility. Journal of
Portfolio Management, Vol. 10, No. 4, pp. 66–72.

[9] Chance, D. M., Jordan, J. V. 1966. Duration, convexity, and time as components of bond
returns. The Journal of Fixed Income, vol. 6, September 1966, no. 2, pp. 88–96.
[10] Kang, J. C., Chen, A. H. 2002. Evidence on theta and convexity in treasury returns. The
Journal of Fixed Income, vol. 12, June 2002, no. 1, pp. 41–50.
[11] Tvaronavičienea, M., Michailova, J. 2006. Factors affecting securities prices: Theoretical
versus practical approach. Journal of Business Economics and Management, Volume 7,
Issue 4, pp. 213–222.
[12] Křepelova, M., Jablonský, J. 2013. Analýza státních dluhopisů jako indikátoru pro akciový
trh. Politická ekonomie, vol. LXI, no. 5, pp. 605–622.
[13] Visokavičienė, B. 2008. Money Supply and Assets Value. Business: Theory and Practice/
Verslas: Teorija ir Praktika, Volume 9, No 3, pp. 210–214.
[14] Dzikevičius, A., Vetrov, V. 2013. Investment Portfolio Management Using the Business
Cycle Approach. Business: Theory and Practice/Verslas: Teorija ir Praktika, Vol 14, No 1,
pp. 57–63.
[15] Stádník, B. 2012. Theory and Praxis of Bonds I. Oeconomica, University of Economics,
[16] Stádník, B. 2014. The Volatility Puzzle of bonds. 8th International Scientific Conference:
Business and Management 2014, May 15–16, 2014, Vilnius.
[17] Stádník, B., Žďárek, V.2017.Volatility ‘Strangeness’ of Bonds – How to Define and What
Does it Bring? Prague Economic Papers Vol. 26 No. 5
[18] Steeley, J. M. 2006. Volatility transmission between stock and bond markets, Journal of
International Financial Markets, Institutions and Money, Volume 16, Issue 1:71–86, Aston
Business School, Aston University, Birmingham B4 7ET, United Kingdom.
[19] Janda, K., Rausser, G., Svárovská, B. 2014. Can Investment in Microfinance Funds Improve
Risk-Return Characteristics of a Portfolio? Technological and Economic Development
of Economy, 2014, Volume 20, Issue 4, pp. 673–695.
[20] Janda, K., Svárovská, B. 2010. Investing into microfinance. Journal of Business Economics
and Management, Volume 11, Issue 3, pp. 483–510.
[21] Ortobelli, S., Tichý, T. 2015. On the impact of semidefinite positive correlation measures
in portfolio theory. Annals of Operations Research 235: 625−652, 2015. ISSN 0254-5330.
[22] Giacometti, R., Ortobelli, S., Tichý, T. 2015. Portfolio selection with uncertainty measures
consistent with additive shifts. Prague Economic Papers 24 (1): 3-16, 2015. ISSN 1210-
[23] Blahová, N. 2015. Analysis of the Relation between Macroprudential and Microprudential
Policy. European Financial and Accounting Journal, vol. 10, 2015, no. 1, pp. 33–47.
[24] Brůna, K., Blahová, N. 2016. Systemic Liquidity Shocks and Banking Sector Liquidity
Characteristics on the Eve of Liquidity Coverage Ratio Application – The Case of the
Czech Republic. Journal of Central Banking Theory and Practice [online], vol. 5, 2016, no.
1, pp. 159–184. DOI: 10.1515/jcbtp-2016-0008.
[25] Webb, M. S. 2015. Negative yields are all around us. The Financial Times, FTMoney, Saturday
31 January 2015, p. 8.