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12. Consider a zero coupon bond with a 4 year maturity. The current yield to matu- rity is 9%. If the yield suddenly changes
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Answer #1

The Macaulay duration of a zero-coupon bonds is equal to its time to maturity (in years).

If the yield to maturity changes, the Macaulay duration of a zero-coupon bond remains unchanged, since the time to maturity is unchanged.

Therefore, the change in Macaulay duration is zero.

The answer is (b)

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