投资时钟下我国经济周期的划分与资产配置

发布时间：2018-02-27 08:52

  本文关键词： 美林投资时钟 X--ARIMA HP滤波 资产配置　出处：《统计与决策》2017年17期 　论文类型：期刊论文

【摘要】：如何在经济不同阶段进行资产最佳配置是目前的研究热点。文章借鉴美林投资时钟理论划分我国经济周期并进行资产配置以探求其在我国市场的可行性。运用样条插值解决数据混频问题,并利用X-12-ARIMA季节调整与HP滤波对我国进行周期划分。在此基础上对各大类资产在不同经济阶段下的收益进行统计分析。实证发现通过投资时钟得到的经济周期为短周期,对资产配置更具指导意义。美林投资时钟在我国具有一定的可行性。
[Abstract]:How to optimize the allocation of assets in different stages of economy is a hot research topic at present. This paper draws lessons from Merrill Lynch investment clock theory to divide the economic cycle and allocate assets in order to find out the feasibility of the asset allocation in our country market. Bar interpolation to solve the problem of data mixing, By using X-12-Arima seasonal adjustment and HP filter, we divide the cycle of our country. On this basis, we make a statistical analysis of the income of various kinds of assets in different economic stages. The empirical results show that the economic cycle obtained by the investment clock is a short period. Merrill Lynch investment clock has certain feasibility in China.
【作者单位】： 暨南大学经济学院;暨南大学管理学院;
【基金】：广东省知识产权局软科学研究计划项目(GDIP2014-k1)
【分类号】：F124.8;F224
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本文编号：1541984