The relations between the yield curves inversion and the economic growth

• Main Authors: HUI-TU Chen, 陳蕙瑜
• Other Authors: Ho-Chyuan Chen
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/34968934926584151553

碩士 === 國立高雄第一科技大學 === 金融營運所 === 95 === The overall economy change is complexities and tedious. Because it is close correlated with the capital market operation, hence the financial circles and the academia all diligently make their efforts on its analysis and discussion. The study is using an autoregressive model AR (4) combined with the dummy variable to predict the economic reverse point when the inverted slope is present. The closing prices of the each month of final transaction date including the two-years, ten-years and thirty-years American government bond from January 1996 to July 2006 total 127 months time series data were used in this study. The economical growth rate was transformed from the real GDP quarter data to the month data by the way of the industrial production index weighting. The results are shown as follows: All models show that the correlation between the yield curve spread and economic growth is significantly negative in time lag of five periods when the slope is negative. But the independent variable R2 appears significantly positive correlation in time lag of one period. In other words, the GDP growth rate is positively correlated with the yield curve spread in the next month after negative slope to present. This result is not accord with our expectation. It is possible because the flat yield curve lose predictive susceptibility. Therefore, the economic growth rate does not oppose to the yield curve spread in the presence of regression coefficient during the slope is negative. In summary, using the parameters of the interest rate of long-term and short term bonds to judge the economic growth rate is best.