name: 全球宏观分析框架 description: 全球宏观分析框架，覆盖央行政策传导、汇率预测、地缘政治风险与资本流动，用于构建驱动跨资产配置的宏观因子信号。 category: analysis
Global Macro Analysis
Overview
Builds a macro analysis framework from three dimensions: central-bank policy, exchange-rate regimes, and geopolitics. Outputs quantifiable macro factor signals to drive cross-asset allocation decisions. Core logic: macro cycles determine major asset direction, while micro-level timing is delegated to other skills.
Core Concepts
1. Central Bank Policy Transmission Chain
Policy-rate changes → government bond yield curve → credit spreads → financing costs for the real economy → corporate earnings → equity valuation
Monitoring framework for the three major central banks:
| Central Bank | Core Indicators | Forward Signals | Lagging Confirmation |
|---|---|---|---|
| Federal Reserve (Fed) | FFR, dot plot, SEP | CME FedWatch probabilities | nonfarm payrolls / CPI / PCE |
| European Central Bank (ECB) | Main refinancing rate | Eurozone PMI, HICP | credit growth |
| Bank of Japan (BOJ) | YCC band, policy rate | JPY exchange rate, JGB yields | core CPI |
Historical transmission of Fed hiking / cutting cycles to China A-shares (empirical):
- Late in a Fed hiking cycle (the last 1-2 hikes), China A-shares often have already priced it in, and the average drawdown of the CSI 300 narrows to -3%
- In the 3 months after the first Fed cut, the CSI 300 has averaged +8.2% (mean of the 2001 / 2007 / 2019 cycles)
- But rate cuts do not automatically mean gains. In 2008, cuts came with recession and China A-shares still fell
2. Exchange Rate Forecasting Framework
Three-layer model:
| Model | Applicable Horizon | Core Variables | Accuracy |
|---|---|---|---|
| Purchasing Power Parity (PPP) | 3-5 years | CPI gap between two countries | Long-term anchor |
| Interest Parity (UIP/CIP) | 3-12 months | rate differential + forward premium/discount | Medium-term direction |
| BEER model | 1-3 years | terms of trade + net foreign inflows + productivity | Equilibrium estimate |
USD/CNY practical checklist:
- China-US 10Y spread > 0: appreciation pressure on the RMB (capital inflows)
- China-US 10Y spread < -150bp: rising depreciation pressure on the RMB
- Net FX settlement surplus / deficit: directly reflects conversion direction of corporates and households
- PBOC fixing vs market expectation: signal that the countercyclical factor has been activated
3. Geopolitical Risk Assessment
Quantitative approach (proxy for the GPR index):
# Geopolitical risk proxy indicators
risk_indicators = {
"vix": "Fear index > 25 = high risk",
"gold_oil_ratio": "Gold / oil > 25 = rising risk aversion",
"usd_index": "DXY jump > 2% / week = capital flowing back to USD",
"credit_spread": "IG spread > 150bp = credit tightening",
"em_spread": "EMBI spread widening > 50bp / month = emerging-market stress"
}
Typical asset impacts of geopolitical events (historical averages):
- Local conflicts: gold +3-5%, oil +5-15%, equities -2-5%, with impact lasting 1-4 weeks
- Trade friction: affected sectors -10-20%, beneficiary substitute sectors +5-10%, lasting 3-6 months
- Financial sanctions: sanctioned-country currency -10-30%, commodity supply side hit
4. Global Capital Flow Tracking
Key data sources:
- EPFR fund flows: weekly net inflows into global equity / bond funds
- Northbound flows (Shanghai-Shenzhen-Hong Kong Stock Connect): daily, with net buying > 10 billion RMB in a day as a strong signal
- US Treasury TIC data: monthly, showing changes in foreign holdings of Treasuries
- FX reserve changes: quarterly, indicating central-bank asset allocation direction
Northbound flow signal rules (China A-share practice):
| Signal | Condition | Meaning |
|---|---|---|
| Strong buy | Net buying for 5 consecutive days and cumulative amount > 20 billion RMB | Foreign investors are building positions trendwise |
| Weak buy | Single-day net buying > 8 billion RMB | Short-term sentiment is bullish |
| Warning | Net selling for 5 consecutive days and cumulative amount > 15 billion RMB | Foreign investors are reducing positions trendwise |
| Neutral | Daily net flow within ±3 billion RMB | No directional signal |
5. Dollar Cycle and Emerging Markets
Four-stage dollar cycle model:
Strong-dollar phase (DXY rising) → capital outflows from emerging markets → EM currency depreciation → EM equities and bonds both sell off
Weak-dollar phase (DXY falling) → capital flows back into EM → EM currency appreciation → EM assets outperform developed markets
Practical mapping:
- DXY > 105 and trending up: underweight emerging markets (China A-shares / Hong Kong stocks), overweight USD assets
- DXY < 100 and trending down: overweight emerging markets, underweight USD assets
- DXY in the 100-105 range: allocate selectively based on fundamentals
Analysis Framework
Steps for Building a Macro Dashboard
- Data collection: rates (US 10Y / China 10Y government bonds), FX (DXY / USD-CNY), commodities (gold / oil / copper), capital flows (northbound / EPFR)
- Cycle positioning: which stage are we in now: hiking / cutting / pause? Strong-dollar or weak-dollar cycle?
- Factor scoring: score each macro factor from -2 to +2 (-2 = extremely bearish, +2 = extremely bullish)
- Asset mapping: macro factor scores → recommended weights for major asset classes
Example Macro Factor Scoring
macro_factors = {
"fed_policy": +1, # Hiking pause, dovish tilt
"cny_pressure": -1, # RMB depreciation pressure
"geopolitical": 0, # Neutral geopolitical risk
"northbound_flow": +2, # Persistent net northbound buying
"usd_cycle": -1, # Stronger USD
}
# Composite score = sum(values) / len(values) = +0.2 → neutral to mildly bullish
Output Format
## Macro Analysis Report
### Cycle Positioning
- Federal Reserve: [late hiking / pause / early cutting]
- Dollar cycle: [strong / range-bound / weak]
- China monetary policy: [easing / neutral / tightening]
### Factor Scores (-2 ~ +2)
| Factor | Score | Basis |
|------|------|------|
| Central bank policy | +1 | Fed paused hiking and the market expects cuts this year |
| FX pressure | -1 | USD/CNY broke above 7.2 and FX settlement turned into deficit |
| Capital flows | +2 | Northbound net buying exceeded 20 billion RMB continuously |
### Asset Allocation Recommendations
- China A-shares: [overweight / neutral / underweight] — rationale
- Hong Kong stocks: [overweight / neutral / underweight] — rationale
- Gold: [overweight / neutral / underweight] — rationale
- US Treasuries: [overweight / neutral / underweight] — rationale
### Risk Warnings
- [specific risk events and potential impacts]
Notes
- Macro analysis provides directional guidance, not precise timing. Leave timing to skills such as
technical-basicorvolatility - Central-bank policy judgment should be based on official statements and meeting minutes. Do not over-interpret unofficial messages
- Exchange-rate forecasting has large errors. PPP deviations can persist for years, so use it for direction only, not exact levels
- Northbound flows contain noise (arbitrage / hedging), so persistence matters (at least 3 consecutive days in the same direction)
- Geopolitical shocks are usually short-lived (1-4 weeks) unless they change fundamentals (such as long-term sanctions or trade wars)
- This framework is not investment advice and is for research backtesting only