人口結構、總體經濟變數與公債殖利率關聯性之研究

A Study of the Relationships among Population Structure, Macroeconomic Variables and Government Bond Yield Rate

游婷伊(Ting -Yi Yu)

指導教授 ： 趙慕芬

淡江大學/管理學院/企業管理學系碩士在職專班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00141

摘要

受到低生育率的影響，許多國家都面臨人口結構轉變，而由已知的眾多國內外相關文獻探討中亦可以發現，人口結構變動確實影響著一個國家的長期總體經濟，惟該等文獻鮮少進一步就人口結構變數中之生育率、人口成長率，與資本市場中的公債殖利率之間是否存在長期均衡關係做進一步探討分析。

本研究旨在瞭解人口變動、總體經濟變數影響公債殖利率變化的情形，實證研究採用跨國OECD(經濟合作發展俎織)28個會員國以及台灣共計29個國家的縱衡資料(Panel Data)，使用固定效果模型以7個自變數來對公債殖利率進行迴歸分析，研究結果如下：

(一) 公債殖利率與GDP成長率、失業率之間雖無顯著性，當觀察期間拉長，然而失業率上升即觀察到經濟成長趨緩，將導致公債殖利率下跌；公債殖利率與勞動參與率之間在落後期數即有顯著性；公債殖利率與消費者物價指數之間為正向關係，符合傳統經濟學預期理論。

(二) 公債殖利率與總儲蓄率之間為正向關係，顯示對經濟前景充滿憂慮時容易提高儲蓄，並且在時間遞延下，將造成景氣持續衰退而致使公債殖利率下跌。

(三) 公債殖利率與生育率之間為正向關係、與人口成長率之間為負向關係，顯示生育率下降將導致未來人口遞減，致使需求不足及產業萎縮，進而影響經濟成長，而且未來人口老化後，其投資組合由高風險股票轉換為較低風險之債券，因此對債券產生超額需求，令公債殖利率下跌。

關鍵字

公債殖利率 ； 生育率 ； 總體經濟變數 ； 縱橫資料

並列摘要

Many countries throughout the world are experiencing changes in demographics as a result of a low fertility rate. Local and foreign studies currently available all point out that the changes in demographics do affect a nation's long-term macroeconomics; however, these studies rarely discuss whether a long-term equilibrium exists between demographics (using fertility rate and population growth as variables) and government bond yields.

This paper aimed to investigate how changes in demographics and macroeconomic variables affect government bond yield rates. The empirical research involved the use of panel data across 29 nations, including 28 OECD members plus Taiwan, a fixed effects model, and 7 independent variables to perform a regression analysis on government on yield rates. The results are as follows:

(1) Although there are no significant relationships between government bond yield rates and GDP growth or unemployment rate, it was observed, however, that an increase in the unemployment rate is soon followed by stagnant economic growth and eventually a fall in government bond yields. There is a significant relationship between government bond yields and laborers’ participation in lag intervals. Government bonds yields are positively correlated with the consumer price index, which is consistent with the classical expectation theory.

(2) Government bond yields are positively correlated with the aggregate savings rate, indicating that people tend to save more when doubts accumulate towards economic prospects; after a prolonged period, high savings will drag down economic growth and eventually cause government bond yields to fall.

(3) Government bond yields are positively correlated with fertility rate, and negatively correlated with population growth. This shows that a fall in fertility rate reduces future population growth, creating insufficient demands to support industry growth. In addition, as the general population ages, their investment portfolio will shift from high risk instruments such as equity stocks to lower risk instruments such as bonds; this in turn creates excess demand for bonds and causes government bond yields to fall.

並列關鍵字

government bond yield ； fertility rate ； macroeconomic variables ； panel data

參考文獻

9.陳杏堯(2010)，「影響台灣半導體公司外資持股之因素探討」，淡江大學企業管理學系碩士論文。

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