From a philosophical perspective I recommend reading Alain de Bottons 'Status Anxiety,' if you havn't already.
I understand your situation, I was a graduate from a good university, good degree, well travelled, well read. Not saying I'm smart, I genuinly do not think I am, but I beleive I have skills at least. Couldn't find a decent job...impossible...no decent work experience = no decent job. Thats the very hard truth about todays current climate. Even when you do have experience, its still tough to get a job.
Sounds like your sister got lucky. Not so long ago companies took in bright graduates, and even sponsered them to do Msc's to further their career. Not anymore.
Based on what you are saying, this appears to be no reflection of yourself. This isn't your own failing.
Children who are told they are bright, and often are bright, often have trouble adjusting to adult life when they realise it isn't that straight forward, been bright doesn't guarantee any kind of success. I am sure you are smart, and thats why you feel so bored in these jobs. You require stimulus, and purpose. You are going to have to find ways of living that can fulfill your psychological needs. You're smart, so maybe you need to try to think out of the box somewhat to come up with ideas...as the current job market is pants.
I'm not trying to be negative here, just a realist.....god knows I had job/status/anxiety for a number of years, and it does nothing for your self esteem, self worth, or confidence.
Are there other ways you can try to build confidence?
I'm not trying to belittle your feeling here, the situation you're in really knocks your self esteem in a culture in which success and status is everything, especially to those of us with aspirations.
I the process of overcoming all of this, and you will, in the long run you will be a stronger, more confident and experienced human being.
Love Steve X