ORIGINAL RESEARCH article
Front. Appl. Math. Stat.
Sec. Mathematical Finance
Analysis of the Duration Measurement of Jordanian Debt as an Effective Hedging Risk Tool
Provisionally accepted
- 1Department of Finance and Banking, School of Business, Al al-Bayt University School of Business, Al-Mafraq, Jordan
- 2University of Petra, Amman, Jordan
- 3Al-Balqa Applied University, As-Salt, Jordan
- 4Finance and Banking Department - Amman - Jordan, ASU, Amman, Jordan
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This study evaluates the duration of Jordanian public debt as an instrument for hedging interest rate risk over the period 2008–2020. It provides an analytical examination of public debt concepts and emphasizes the relevance of debt duration as a measure of maturity structure and interest rate sensitivity. The study covers both domestic and external public debt and situates the analysis within the historical context of Jordan's debt evolution, including the 1988 debt crisis and subsequent fiscal adjustments. Using a comprehensive dataset of Jordanian government treasury bonds denominated in Jordanian dinars, the study applies Macaulay Duration and Modified Duration models to assess the effective maturity and interest rate exposure of the public debt portfolio. The results indicate that the estimated Macaulay Duration of Jordanian public debt is approximately 2.514 years, reflecting the weighted average timing of debt cash flows and the horizon of interest rate sensitivity. The Modified Duration is estimated at approximately 2.293 years, indicating a moderate degree of price sensitivity to changes in interest rates. Overall, the findings suggest that Jordan's public debt exhibits a relatively short-to medium-term maturity structure, allowing for refinancing flexibility while maintaining manageable exposure to interest rate risk. The study highlights the usefulness of duration-based indicators as complementary tools for public debt management and risk assessment in emerging economies.
Keywords: duration, Hedging, Jordan, Macaulay's Duration, Modified duration, Public debt
Received: 31 Oct 2025; Accepted: 13 Feb 2026.
Copyright: © 2026 Alamaren, Eyadat, Alrjoub and Alhajjeah. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
* Correspondence: Amro S. Alamaren
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