信用货币周期下大类资产配置  

Major Asset Allocation under the Credit Monetary Cycle

作　　者：缪智伟 黄国文 MIAO Zhiwei;HUANG Guowen(Department of Mathematics,Shantou University,Shantou 515063,Guangdong,China)

机构地区：[1]汕头大学数学系,广东汕头515063

出　　处：《汕头大学学报（自然科学版）》2024年第2期17-30,共14页Journal of Shantou University：Natural Science Edition

摘　　要：本文在融合了金融中介理论(信贷、货币周期)的美林时钟框架下,结合VAR向量自回归预测、LSTM宏观经济预测模型,采用Black-Litterman策略进行大类资产配置.本文以信贷货币周期理论基础,拓展了美林时钟经济周期划分判别准则,将2001年-2021年国内的宏观经济运行状况划分成不同的经济状态.紧接着,构建了基于LSTM深度学习宏观经济预测模型,模拟中国未来五年的经济增长、通胀、利率(反映货币政策松紧程度)等宏观经济环境,以及未来四类资产(股票、大宗商品、债券、现金及其等价物)的四个指数收益率.随后,本文使用单资产配置、避险配置以及Markowitz夏普比率最大进行资产配置.但是Markowitz策略缺点是对于预期收益率的输入比较敏感.根据前面未来宏观经济环境的预测,本文发现未来的经济状态的主旋律主要是滞涨和衰退经济轮动,本文认为由于经济环境的利率上升和信贷渠道的萎缩导致的流动性下降,现金和大宗商品相对于股票和债券相对而言比较强势.为了更好的融入本文对于未来经济周期的观点,本文采用Black-Litterman资产配置策略.最后本文在计算了不同资产配置策略下投资组合的风险收益特征,并结合各自策略特性进行比较与分析.In this paper,Black-Litterman strategy is adopted for asset allocation under the Merrll Lynch clock framework that integrates financial intermediation theory(credit and money cycle),combined with VAR vector autoregressive forecasting and LSTM macroeconomic forecasting model.Based on the theory of credit and money cycle,the classification criterion of Merlin clock economic cycle is expanded,so as to divide the domestic macroeconomic operation status into different economic states from 2001 to 2021.A deep learning macroeconomic forecasting model based on LSTM is constructed to simulate China's macroeconomic environment in the next five years,including economic growth,inflation,interest rate(reflecting the degree of monetary policy tightening),as well as four index yields of four types of assets(stocks,commodities,bonds,cash and their equivalents).Finally,single asset allocation,hedge allocation and Markowitz Sharpe ratio maximum is used for asset allocation.However,Markowitz strategy is sensitive to the input of expected rate of return.According to the previous prediction of the future macroeconomic environment,this paper finds that the main theme of the future economic state is stagflation and recession economic rotation.This paper believes that due to the rise of interest rates in the economic environment and the decline of liquidity caused by the contraction of credit channels,cash and commodities are relatively strong compared with stocks and bonds.In order to better fit into this paper's views on future economic cycles,Black-Litterman asset allocation strategy is adopted.Finally,this paper calculates the risk-return characteristics of the portfolio under different asset allocation strategies,and combines them with their own strategy characteristics for comparison and analysis.

关 键 词：美林时钟 货币周期 信贷周期 LSTM 向量自回归 Black-Litterman 

分 类 号：F832.51[经济管理—金融学] F224.9