本文關(guān)鍵詞： 美林投資時鐘 X--ARIMA HP濾波 資產(chǎn)配置　出處：《統(tǒng)計與決策》2017年17期 　論文類型：期刊論文

【摘要】：如何在經(jīng)濟不同階段進行資產(chǎn)最佳配置是目前的研究熱點。文章借鑒美林投資時鐘理論劃分我國經(jīng)濟周期并進行資產(chǎn)配置以探求其在我國市場的可行性。運用樣條插值解決數(shù)據(jù)混頻問題,并利用X-12-ARIMA季節(jié)調(diào)整與HP濾波對我國進行周期劃分。在此基礎(chǔ)上對各大類資產(chǎn)在不同經(jīng)濟階段下的收益進行統(tǒng)計分析。實證發(fā)現(xiàn)通過投資時鐘得到的經(jīng)濟周期為短周期,對資產(chǎn)配置更具指導(dǎo)意義。美林投資時鐘在我國具有一定的可行性。
[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.
【作者單位】： 暨南大學(xué)經(jīng)濟學(xué)院;暨南大學(xué)管理學(xué)院;
【基金】：廣東省知識產(chǎn)權(quán)局軟科學(xué)研究計劃項目(GDIP2014-k1)
【分類號】：F124.8;F224
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本文編號：1541984