收益線對民生經濟變數的影響

The Effect of Yield Curve to the Variables Related to Livelihood

鄭光凱(Guang-Kai Cheng)

指導教授 ： 倪衍森

淡江大學/商管學院/管理科學學系碩士班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.00587

摘要

由於金融海嘯與歐債危機，是以世界各國紛紛採行寬鬆的貨幣政策刺激經濟，進而提振就業率。然而除利率外，是否與利率有關之收益線所萃取的變數是否亦會影響通貨膨脹率、失業率、與一些重要的財經變數，為本研究探討的課題。
而本研究所萃取的三個與收益線有關的變數來探討其與上述民生經濟變數的關連性，透過本實證分析後，並有以下的幾項重要的研究發現:
1.通貨膨脹與失業率彼此之間存在顯著負相關，與菲利普曲線之通膨與失業率的關係相一致。
2.違約風險溢酬對失業率有正向影響，是以違約風險或存放款利差增加之際其亦顯示經濟不佳失業率提升的。
3.到期期間風險對失業率則有負向的影響，此可以肇因於資料取得不易，是以本研究以十年公債與五年公債殖利率差距為到期期間風險的代理變數，所以當不景氣時，投資人由於避險的考量，可能會比較青睞公債標的物，致使五年公債與十年公債的間的殖利率差距有限；此外在不景氣之際，油價與台股指數可能也不容易有漲升的空間。

關鍵字

存放款利差 ； 違約風險溢酬 ； 到期期間風險溢酬

並列摘要

Due to the financial tsunami and European debt crisis, a variety of countries stimulate the economy in order to enhance the employment rate by adopting loose monetary policy. Aside from the interest rate, we investigate whether the variables retrieved from the yield curve would affect the livelihood variables such as inflation rates, unemployment rates and other relevant economic variables.
In this study, we retrieve three variables with connection with the yield curve, including the loan-deposit spread, default risk premium, and maturity risk premium, and reveal several important finding as shown below.
1. Inflation and unemployment are significantly negative related each other consistent with the phenomena disclosed by the Phillips curve.
2. The default risk premium and loan-deposit spread have positive impacts on unemployment rate; whereas, the maturity risk premium has a negative impact on unemployment rate. We infer that default risk premium and loan-deposit spread would be enlarged while the economy is in recession.
3. The maturity risk premium has a negative impact on unemployment rate. Due to the difficulty of deriving the maturity risk premium , we therefore use the yield between 10-year government bonds and 5-year government bond as the proxy of the maturity risk premium. In fact, investors might prefer to invest the government bonds in recession,resulting in that the yield would be closer between the short-term and long-term government bonds. In addition, the oil price and stock index might not be easy to boost up as the economy is in recession.

並列關鍵字

loan-deposit spread ； default risk premium ； maturity risk premium

參考文獻

Abdymomunov,Azamat (2011) Predicting output using the entire yield curve. available at SSRN: http://ssrn.com/abstract=1865408.

Adrian, Tobias, and Arturo Estrella (2008) Monetary tightening cycles and the predictability of economic activity, Federal Reserve Bank of New York Staff Reports 397.

Afonso, Antonio and Martins, Manuel M.F. (2012), Level, slope, curvature of the sovereign yield curve, and fiscal behavior, Journal of Banking and Finance 35(6): 1789–1807.

Ang, Andrew, Bekaert, Geert, and Wei, Min (2007) Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? Journal of Monetary Economics 54: 1163-1212.

Ang, Andrew and Joseph S Chen (2010) Yield curve predictors of foreign exchange Returns, available at SSRN: http://ssrn.com/abstract=1865408.