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页数:25页
时间:2020-05-07
《巴黎银行-全球-宏观策略-从资产价格推断经济周期(更新)-20190705.pdf》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、DEEPDIVE
2、GLOBALPleaserefertoimportantinformationat5July2019theendofthisreportEMSTRATEGY
3、MACROQUANT&DERIVATIVESInferringeconomiccyclesfromassetprices;UpdateKEYMESSAGESOurapproach:Economiccycles–alsoknownasbusinessortradecycles–refertotheeconomy-wideBothourmarket-basedindi
4、catorandanequivalentindexfluctuationsinproduction,tradeandgeneralactivity.basedonpublishedmacroeconomicdatapointtotheUS,Fromaconceptualpointofview,acycleisoftenEurozoneandJapanhavingenteredthelatestageofthedefinedbytheupwardordownwardlong-termtrendeconomiccycle.ofrealGDP
5、andothermacroindicators,suchasChinaalreadyseemstohaveundergoneadecelerationandisindustrialproduction,income,employmentorsales.intheearlystageofacycle.MarketsareaheadofdataforChina,suggestingthatinvestorsseerecentstabilizationTheconventionalapproachistogatherandsortoutasa
6、turningpoint.economicvariablestodeterminethephaseofthecycle.ButwhatifdatacouldbemodelledtoinfertheInEMs,Brazil,SouthAfricaandIndonesiaareinthephaseofthecyclesfrommarketprices?middlestageofthecycle,withpricesindicatingexpansioninthosecountries.Wehavedesignedaquantitativet
7、oolthatusestheMarketslooktobeaheadofthedatainBrazilandMexico,performanceofselectedfinancialassetstoextractbutbehindthedatainSouthAfrica,TurkeyandPoland.theimpliedstageoftheeconomiccycle.Seeappendixforatechnicaldescriptionoftheapproach.Unlikethestandardapproachtoeconomicc
8、ycles,wehaveusedonlyassetpricestomeasurethestage,paceandduration(actualandprojected)ofthecurrentcycleforeachcountry.Fig.1:Marketandeconomic-basedcurrentstageofthecycleMarketpricesbasedindexSinceourgoalwastoextractmarketperceptiononEconomicdatabasedindexwhereselectedmarke
9、tsareintermsofeconomicA-Growth10、ethodbasedonpublishedmacroeconomicdata.BrazilMexicoOurresults:TheresultsofouranalysisareSouthAfricaillu
10、ethodbasedonpublishedmacroeconomicdata.BrazilMexicoOurresults:TheresultsofouranalysisareSouthAfricaillu
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