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

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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-Growth

10、ethodbasedonpublishedmacroeconomicdata.BrazilMexicoOurresults:TheresultsofouranalysisareSouthAfricaillu