why is a bond more sensitive to yield changes at higher yields?

Bond is LESS sensitive to yield changes at higher yield. (Higher the yield…lower the duration) Duration is the change in price for a 100bp change in rates. The way I look at it, If the market rates are 8%, we will calculate duration through the bond’s price at 7% and 9% interest rate. 1% consititute a 12.5% change in yield (1/8). On the other hand if the initial market rates are 4%, we would calculate duration from bond prices derived from 3% & 5%. In this scenario 1% change in yield constitute a 25% (1/4) change in rates. Thus the impact on prices is higher in scenario 2 thus the duration is higher in scenario 2. hope i didn’t confuse you further…