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|Other Titles: ||A study of the relationships among population structure, macroeconomic variables and government bond yield rate|
|Authors: ||游婷伊;Yu, Ting-Yi|
|Keywords: ||公債殖利率;生育率;總體經濟變數;縱橫資料;government bond yield;Fertility rate;macroeconomic variables;Panel Data|
|Issue Date: ||2011-12-28 18:20:58 (UTC+8)|
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.
|Appears in Collections:||[企業管理學系暨研究所] 學位論文|
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