探討美林投資時鐘景氣循環階段與資產配置建議

Abstract

本文透過兩個面向，探討美林時鐘對景氣循環時機點判斷與資產配置的影響。首先，本文以利率作為景氣循環與資產配置的橋樑，藉以判斷景氣目前所處位階；再者，本文在資產配置方面提出景氣處在復甦、擴張、趨緩、與衰退時期，分別對應的股、匯、債市與原物料可能走勢，也針對相對應的ETF資產類別提出投資建議。

在預測利率時，本文使用1970年至2022年美國市場的月資料進行迴歸分析，探討聯準會主席、總統選舉年份等制度面因素、以及不同經濟指標對於利率的影響，並輔以質性的論述。分析結果顯示聯準會主席、與總統選舉年份等制度面因素對於利率有負向的影響、且兩者皆為統計上顯著。此外，經濟諮商局的領先指標對利率為負相關，ISM製造業指數對利率則為正相關，兩者皆為統計上顯著，且所有指標之間不存在共線性。本文建議使用聯準會利率決策、搭配過往美林時鐘的景氣循環時機點判斷ETF資產配置的趨勢時，除了需觀察美林時鐘既有的產出缺口、通膨指標之外，也需持續關注制度面因素、領先指標與ISM PMI指標對利率造成的影響。

This article explores the influence of the Merrill Lynch Clock on the judgment of the phases of the economic cycle and asset allocation through two aspects. First, this article uses interest rates as a bridge between the economic cycle and asset allocation. Second, in terms of asset allocation, this article respectively puts forward the possible trends of the stock, foreign exchange, bond markets, and raw materials in the recovery, expansion, slowdown, and recession periods of the economy, correspondingly, and also provides investment suggestions for the corresponding ETFs.

When predicting interest rates, this article uses the monthly data of the U.S. market from 1970 to 2022 for regression analysis and studies the impacts of institutional factors such as chairmen of the Federal Reserve Board, years of the presidential election, and different economic indicators on interest rates, supplemented by qualitative discussion. The results show that institutional factors such as chairmen of the Federal Reserve Board and years of the presidential election negatively affect the interest rate, and both are statistically significant. Meanwhile, the leading indicators of the Conference Board negatively affect the interest rate but the ISM manufacturing index positively affect it. Both are statistically significant and there is no collinearity between all indicators. This article suggests that when using the Federal Reserve’s interest rate decision and the past business cycle timing of the Merrill Lynch Clock to judge the trend of ETF asset allocation, one needs to consider the existing output gap and inflation indicators of the Merrill Lynch Clock, and also needs to pay attention to the impacts of institutional factors, leading indicators, and ISM PMI indicators on interest rates.