Page 9 - CCFA Journal - Tenth Issue

加中金融 宏观经济 Macro Economy

美债，应该是所有人心里面最重要的安全的资产。美债十年的收益率决定了全球无风险的利率，既然你买了一个最安全的
资产，但是你的亏损却是最大的，去年美债跑得比美股还要差。去年美债的名义回报率是有史以来，我们有数据以来，我
见过最差的，比历史上任何一年都要差。你想象一下，这期间包括了二战、一战等等，去年美债的回报率是 200 多年来最
差的，很奇怪，最安全的地方变成了最危险的地方。

到了 2023 年，我们看到了一个全新的世界。很多人可能还没有意识到，还在赌美联储降息，只要硅谷银行爆了，美联储
就要降息，一看标普还在 4000 点左右，美国股票市场的估值还在历史均值以上，在 1 倍的方差之外。

那我们看一下美国经济是怎样表现。我长期做经济周期量化的分析，有人把我叫做“周期派”。经济周期的理论，我们通
过量化模型和模拟，可以非常清晰地看到，一个实体经济里经济周期是怎样运行的，以及在经济周期运行的时候，其他的
宏观经济指标是如何反映经济周期运行的。同时，在我们观测周期的时候，我们为什么说周期的力量是你没有办法抗拒的？
因为在周期运行的时候，我们观察到所有的宏观跨部门的经济变量，有规律地同时向同一个方向以既定的节奏和频率运行，
当这个浪潮袭来的时候，是没有人可以抗拒的。

US bonds should be the safest asset in everyone's mind. The ten-year yield on US bonds determines the global risk-free interest
rate. Since you bought the safest asset, but your losses are the largest, last year US bonds performed worse than US stocks. Last
year, the nominal return rate of US bonds was the worst we have seen since we have had data, worse than any year in history.
Imagine that this period includes World War II, World War I, etc., and the return rate of US bonds last year was the worst in over
200 years. It's strange that the safest place has become the most dangerous place.

In 2023, we see a brand new world. Many people may not realize it yet and are still betting on the US Federal Reserve lowering
interest rates. As long as Silicon Valley Bank collapses, the Federal Reserve will lower interest rates. Looking at the S&P still around
4000 points, US stock market valuations are still above historical averages, beyond one standard deviation.

Let's take a look at how the US economy is performing. I have been doing quantitative analysis of economic cycles for a long time,
and some people call me a "cyclicalist". With the theory of economic cycles, we can see very clearly through quantitative models
and simulations how an entity's economy operates during an economic cycle, and how other macroeconomic indicators reflect
the operation of economic cycles. At the same time, when we observe the cycle, why do we say that the power of the cycle is
irresistible? Because during the operation of the cycle, we observe that all macroeconomic variables across departments run in
the same direction with a predetermined rhythm and frequency. When this wave comes, no one can resist it.

图上蓝色的线是对应美国经济量化的指标，这个指标综合了美国各个部门领先的数据，然后我们进行量化的滤波降噪处理。
蓝色的线清晰反映了过去二三十年里美国经济周期运行的情况，基本上是三年左右，我们出现一个经济的短周期，两个三
到三点五年经济的短周期形成七到十一年的经济正周期，以此类推。所以最小的经济周期的单位，短周期的单位大约是三
至四年左右。在每一个短周期里，经济从底部运行到顶部，再回到底部，大约经历三年左右的时间。

The blue line on the chart corresponds to a quantified indicator of the US economy, which combines leading data from various
sectors of the US economy and is processed through a filtering and noise reduction algorithm. The blue line clearly reflects the
performance of the US economic cycle over the past two to three decades, which consists of a short economic cycle of approximately
three to four years, two or three of which form a long economic cycle of seven to eleven years, and so on. Therefore, the smallest
unit of economic cycle, the short cycle, is about three to four years. Within each short cycle, the economy runs from bottom to top,
and then back to bottom, taking about three years.

CCFA JOURNAL OF FINANCE March 2023
Page 9 第9页