基于真实经济周期理论的美林时钟修正研究

发布时间：2018-06-29 15:46

本文选题：美林投资时钟 + 经济周期　；参考：《吉林大学》2017年硕士论文

【摘要】：美国美林证券公司(Merrill Lynch)在2004年11月发布的一篇名为《投资时钟,特别报道1从宏观经济研究中赚钱》的研究报告中第一次完整阐述了美林投资时钟理论。该篇报告选取了美国产出缺口估计值和消费者物价指数作为划分经济周期的指标,把美国1969年7月至2003年8月近35年的经济走势划分成了几个完整周期,每个周期包括四个阶段,分别是复苏期、过热期、滞胀期和衰退期。每个阶段依次轮动,形成了4-6个经济周期。后通过验证近35年的债券收益率、股票收益率、大宗商品收益率和货币收益率得出不同经济阶段应对应配置不同类别的资产,能超过大市赚取超额资本回报的结论。报告继续深入研究了不同经济阶段具体应该配置哪类行业。资产美林时钟思路清晰,框架完整,以科学、具有逻辑性的论证方法让普通投资者识别经济周期,进而得出配置最优资产的组合,以实现风险相等的情况下的收益最大化和收益相等情况下的风险最小化,对于普通投资者的指导意义巨大。本文根据美林投资时钟思想指导,选取中国工业增加值同比增长数据趋势数据和消费者物价指数作为划分中国经济周期的二维数据,计算了在各个阶段四类资产的收益率情况,发现实务对角线中仅有两类周期与理论一致,后进行方差分析验证,发现按照美林时钟划分的经济周期在各个阶段下的各个收益率均没有统计学意义上的显著差别。实证检验表明美林时钟在中国失灵,成为“坏钟”。本文根据真实经济周期(RBC)理论的指导,选取产能利用率作为划分经济周期的唯一指标。参照并改进了美国经济学家Shaikh and Moudud测度产能利用率的方法,通过资本存量数据和工业产出值数据得到了中国产能利用率的波动值。根据产能利用率的波动值,本文按照美国国民经济研究局(NBER)对于经济周期的定义把1998年4月到2016年12月224个月的经济情况划分成了两个周期,每个周期对应繁荣和萧条两个阶段。通过计算各个阶段四类资产的收益率,发现四类资产分别在繁荣期和萧条期具有显著差别,得出萧条期应配置债券和现金,繁荣期应配置大宗商品和股票的结论,从而修正了美林时钟,给予普通投资者资产配置建议,最大程度的降低风险,获得收益。
[Abstract]:Merrill Lynch (Merrill Lynch) in November 2004 published a research report called "Investment clock, Special report 1" from macroeconomic research, the first complete elaboration of Merrill Lynch investment clock theory. The report selects the estimates of the United States output gap and the consumer price index as indicators for the division of the economic cycle, dividing the economic trend of the United States from July 1969 to August 2003 into several complete cycles. Each cycle consists of four stages, namely, recovery, overheating, stagflation and recession. Each stage rotates in turn, forming 4-6 economic cycles. Through the verification of the bond yield, stock yield, commodity yield and currency yield of nearly 35 years, it is concluded that different types of assets should be allocated in different economic stages, which can outperform the market in earning excess return on capital. The report continues to examine in depth which industries should be deployed at different stages of the economy. Asset Merrill Lynch has a clear clock, a complete framework, and a scientific, logical demonstration method that allows ordinary investors to identify economic cycles, and then arrive at a combination of optimal asset allocation. It is of great significance for the ordinary investors to maximize the return under the condition of equal risk and minimize the risk under the condition of equal return. According to the idea of Merrill Lynch investment clock, this paper selects the trend data of China's industrial value-added growth data and the consumer price index as the two-dimensional data to divide the Chinese economic cycle, and calculates the return rate of the four types of assets in each stage. It is found that there are only two types of cycles in the actual diagonal line consistent with the theory, and then the variance analysis is carried out. It is found that there is no statistically significant difference in the return rates of the economic cycles divided according to the Merrill Lynch clock in each stage. Empirical test shows that Merrill Lynch clock failure in China, become a "bad clock." Under the guidance of real economic cycle (RBC) theory, this paper selects productivity utilization as the only index to divide economic cycle. Referring to and improving the method used by American economist Shaikh and Moudud to measure capacity utilization rate, the fluctuation value of China's capacity utilization ratio is obtained by using capital stock data and industrial output value data. According to the fluctuation of capacity utilization rate, this paper divides the economic situation from April 1998 to December 2016 into two cycles according to the definition of the economic cycle by the National Economic Research Agency (NBER). Each cycle corresponds to both boom and bust phases. By calculating the return rate of the four types of assets in each stage, it is found that there are significant differences between the four types of assets in the boom period and the depression period, and the conclusion is drawn that bonds and cash should be allocated during the depression period, and commodities and stocks should be allocated during the boom period. Thus fixed the Merrill Lynch clock, giving ordinary investors asset allocation advice to minimize risk and gain.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F424;F726

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