Corporate Financial Management and Modeling Paper
Data Analysis about 90-day U.S. Treasury Bill Rate and
Civilian Employment-Population Ratio
This data set contains 132 monthly observations, from January 2002 to December, 2012, using three different rates: three-month Treasury bill rate from the secondary market, the implied three-month forward rate of interest computed by pure expectation, and civilian employment- population ratio.
2.1 Data Description
Date is in the format of YYYY-MM-DD.
3MTB is the 3 month Treasury bill rate from secondary market,
Civil EM-PO ratio is civilian employment- population ratio,
6MTB is the 6 month Treasury bill rate from secondary ...view middle of the document...
|Kurtosis |-1.548738392 | |Kurtosis |-0.662146828 |
|Skewness |-0.552063262 | |Skewness |0.841235356 |
|Range |5.2 | |Range |5.02 |
|Minimum |58.2 | |Minimum |0.01 |
|Maximum |63.4 | |Maximum |5.03 |
|Sum |8076.8 | |Sum |216.04 |
|Count |132 | |Count |132 |
|Mean |1.875299571 |
|Standard Error |0.148118202 |
|Median |1.300929521 |
|Mode |1.912967033 |
|Standard Deviation |1.701748583 |
|Sample Variance |2.895948241 |
|Kurtosis |-0.937868214 |
|Skewness |0.68997997 |
|Range |5.101142524 |
|Minimum |0.070891089 |
|Maximum |5.172033613 |
|Sum |247.5395433 |
|Count |132 |
3.1 Three-month Treasury bill rate and civilian employment-population ratio
3.1.1 Regression Model
The regression model is 3MTB= -39.174+0.667*Civil EM-PO ratio.
Based on the scatter plot, we can conclude that the Civilian Employment-Population Ratio may follow the simple regression model.
The Civilian Employment-Population Ratio is referred to as the independent variable, the risk free rate if referred to as the dependent variable, or the response variable.
|Multiple R |0.776760232 |
|R Square |0.603356457 |
|Adjusted R Square |0.600305353 |
|Standard Error |1.059885735 |
|Observations |132 |
In the S-Plus output of the previous example, we see that R-Square is 0.603356457. Thus, about 60.34% of the total variability of the 3 month Treasury bill rate from secondary market is explained by the...