exposition to non parallel shifts of the TSIR dropsnotably, and the difficulties to set up the duration-matching portfolios …. Nevertheless, the strategies based on M-Squared (Fong andVasicek, 1984) and M-Absolute are overcome by other duration …

because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect … from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects … is hump-shaped because expected future cash flow growth increases with the discount rates. The effective equity duration …

polynomial duration model of Chambers and Carleton (Chambers, D.R., Carleton, W.T., 1988. A generalized approach to duration. In …

interest rates. The model extends traditional duration analysis to account for both parallel and non-parallel term structure …

adjustments by long-term investors aimed at containing duration mismatches may have acted as an amplification mechanism in this … process. Declining long-term interest rates tend to widen the negative duration gap between the assets and liabilities of … insurers and pension funds, and any attempted rebalancing by increasing asset duration results in further downward pressure on …