| Summary: | 碩士 === 淡江大學 === 管理科學學系碩士班 === 101 === 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.
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