本文選題：美林投資時(shí)鐘 + 經(jīng)濟(jì)周期��； 參考：《吉林大學(xué)》2017年碩士論文

【摘要】：美國美林證券公司(Merrill Lynch)在2004年11月發(fā)布的一篇名為《投資時(shí)鐘,特別報(bào)道1從宏觀經(jīng)濟(jì)研究中賺錢》的研究報(bào)告中第一次完整闡述了美林投資時(shí)鐘理論。該篇報(bào)告選取了美國產(chǎn)出缺口估計(jì)值和消費(fèi)者物價(jià)指數(shù)作為劃分經(jīng)濟(jì)周期的指標(biāo),把美國1969年7月至2003年8月近35年的經(jīng)濟(jì)走勢(shì)劃分成了幾個(gè)完整周期,每個(gè)周期包括四個(gè)階段,分別是復(fù)蘇期、過熱期、滯脹期和衰退期。每個(gè)階段依次輪動(dòng),形成了4-6個(gè)經(jīng)濟(jì)周期。后通過驗(yàn)證近35年的債券收益率、股票收益率、大宗商品收益率和貨幣收益率得出不同經(jīng)濟(jì)階段應(yīng)對(duì)應(yīng)配置不同類別的資產(chǎn),能超過大市賺取超額資本回報(bào)的結(jié)論。報(bào)告繼續(xù)深入研究了不同經(jīng)濟(jì)階段具體應(yīng)該配置哪類行業(yè)。資產(chǎn)美林時(shí)鐘思路清晰,框架完整,以科學(xué)、具有邏輯性的論證方法讓普通投資者識(shí)別經(jīng)濟(jì)周期,進(jìn)而得出配置最優(yōu)資產(chǎn)的組合,以實(shí)現(xiàn)風(fēng)險(xiǎn)相等的情況下的收益最大化和收益相等情況下的風(fēng)險(xiǎn)最小化,對(duì)于普通投資者的指導(dǎo)意義巨大。本文根據(jù)美林投資時(shí)鐘思想指導(dǎo),選取中國工業(yè)增加值同比增長(zhǎng)數(shù)據(jù)趨勢(shì)數(shù)據(jù)和消費(fèi)者物價(jià)指數(shù)作為劃分中國經(jīng)濟(jì)周期的二維數(shù)據(jù),計(jì)算了在各個(gè)階段四類資產(chǎn)的收益率情況,發(fā)現(xiàn)實(shí)務(wù)對(duì)角線中僅有兩類周期與理論一致,后進(jìn)行方差分析驗(yàn)證,發(fā)現(xiàn)按照美林時(shí)鐘劃分的經(jīng)濟(jì)周期在各個(gè)階段下的各個(gè)收益率均沒有統(tǒng)計(jì)學(xué)意義上的顯著差別。實(shí)證檢驗(yàn)表明美林時(shí)鐘在中國失靈,成為“壞鐘”。本文根據(jù)真實(shí)經(jīng)濟(jì)周期(RBC)理論的指導(dǎo),選取產(chǎn)能利用率作為劃分經(jīng)濟(jì)周期的唯一指標(biāo)。參照并改進(jìn)了美國經(jīng)濟(jì)學(xué)家Shaikh and Moudud測(cè)度產(chǎn)能利用率的方法,通過資本存量數(shù)據(jù)和工業(yè)產(chǎn)出值數(shù)據(jù)得到了中國產(chǎn)能利用率的波動(dòng)值。根據(jù)產(chǎn)能利用率的波動(dòng)值,本文按照美國國民經(jīng)濟(jì)研究局(NBER)對(duì)于經(jīng)濟(jì)周期的定義把1998年4月到2016年12月224個(gè)月的經(jīng)濟(jì)情況劃分成了兩個(gè)周期,每個(gè)周期對(duì)應(yīng)繁榮和蕭條兩個(gè)階段。通過計(jì)算各個(gè)階段四類資產(chǎn)的收益率,發(fā)現(xiàn)四類資產(chǎn)分別在繁榮期和蕭條期具有顯著差別,得出蕭條期應(yīng)配置債券和現(xiàn)金,繁榮期應(yīng)配置大宗商品和股票的結(jié)論,從而修正了美林時(shí)鐘,給予普通投資者資產(chǎn)配置建議,最大程度的降低風(fēng)險(xiǎn),獲得收益。
[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.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F424;F726

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