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