"巴黎银行全球宏观策略：资产价格推断经济周期更新"

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The document "巴黎银行-全球-宏观策略-从资产价格推断经济周期(更新)-0705-25页.pdf" provided by BNP Paribas offers insights into global macroeconomic strategies and how to infer economic cycles from asset prices. The report covers various countries such as Poland, Turkey, South Korea, Indonesia, South Africa, Mexico, Brazil, Japan, China, Eurozone, and the US, and analyzes market prices and economic data to categorize the stages of economic cycles. The stages are divided into B- Early stage, C- Mid stage, D- Late stage, and A- Growth < potential. The sources used for the analysis include Bloomberg LLP and BNP Paribas. The report also includes a deep dive by Luca Maia on EM/FX. The document is a comprehensive analysis of the global macroeconomic landscape, providing a detailed overview of different countries' economic situations and how to interpret them based on asset prices and economic data. The report offers valuable insights for investors, policymakers, and economists to understand the current stage of the economic cycle in various countries and make informed decisions based on the analysis presented. In summary, the report "巴黎银行-全球-宏观策略-从资产价格推断经济周期(更新)-0705-25页.pdf" is an important resource for anyone interested in understanding and analyzing the global macroeconomic environment. It provides a comprehensive and detailed analysis of various countries' economic cycles and how to interpret them using market prices and economic data. The insights presented in the report are valuable for making informed decisions in the global economic landscape.

B - EARL Y

C - MID

D - LATE

A - BOTTOM OUT/

GROWTH BELOW

45°

135°

225°

315°

| DEEP DIVE 05/07/2019 5

Luca Maia, EM/FX&IR Latin America Strategy

Gabriel Gersztein, Global Head of Emerging Markets Strategy

Banco BNP Paribas Brasil

The next step was to divide an economic cycle into

four stages: early-cycle, mid-cycle, late-cycle and

bottom out cycle. For each cycle, we identified how

the main financial indicators react. Our conclusions are

shown in Fig. 24.

Modelling economic cycles

EM STRATEGY | CROSS-ASSET

Table 2 and Fig. 24-27: Breakdown of an economic cycle and examples of variables for Brazil

Sources: BNP Paribas

Using the cycle index as the base, our

next step was to identify the part of the

cycle of each emerging market. We

concluded that the best way to do this

was to fit the cycle index using a

sinusoid function and calculate the value

of the angle at each point (month) of the

series. We divided the sinusoid function

into four regions, each with a 90-degree

interval, as shown in Fig. 28 below.

To ensure that the fit does not

overshoot, we included a constraint for

each new observation – the modelled

angle will not move more than 10% of a

full cycle of 360°. We also estimated the

initial frequency of the economic cycle by

extracting the first harmonic using a

Fourier transformation (see Technical

Appendix for a detailed explanation).

Sources: Bloomberg LLP, BNP Paribas

Step 1: Construction of the

cycle index using market asset

prices.



Step 2: Smoothing process

using HP filter.



Step 3: Sinusoid fit and

calculation of its angle at each

point (month) of the smoothed

cycle index.



Step 4: Definition of the cycles

using the calculation in Step 3.



Step 5: Analysis and

calculation of the historical

duration of each phase of the

cycle index.



Strategy recommendations

based on the difference

between the phase of the cycle

(extracted from market prices)

and the macro view from

BNPP's economics team.

Fig. 28: Dividing the sinusoid function into four regions

Activity Rebounds (GDP, IP)

Grow th peaking Grow th moderating

Falling Activity

Inflation



Credit begins to grow

Credit grow th gains pace Credit tightens

Credit dries up

Profits grow rapidly Profit grow th peaks

Earnings under pressure

Profits decline

Policy stimulative

Policy neutral

Policy contractionary

Policy easing nearing

Inventories low

Inventories, sales grow

Inventories grow ;

Inventories fall;

Sales improve

Inflation



Sales grow th falls

Sales fall

Very high grow th

Pos Grow th

Neg Grow th or

Very low grow th

Yield

Bull Steepening Bear Flattening

Bear Steepening Bear Flattening

Curv e

V-Shaped sharp recovery from

Typically the longest phase of

Monetary policy starts to be Contraction in

recession or near-recession

the economic cycle restrictive. Inflation picks up

economic activity

Small Caps; Value x Grow th

Activity gathers momentum

Inventories tend to build as sales Credit scarce and

Equities over fixed income

Strong credit grow th, healthy

grow th declines.

profits



profitability against an

Fixed Income over Equities

Monetary policy

accommodative (through

Large Caps; Value x Grow th

becomes more

increasingly neutral) monetary backdrop accommodative

Equities over fixed income

EA RL Y

MID

LATE

BOTTOM OUT

RECOVERY

EXPA NSION

BOTTOM OUT

GROWTH BELOW POTENTIAL

-300

-150

150

300

-40% -13% 15% 43%

Brazil Slope 5x1- LT average

Perf ormance Equity - Fixed Income

Ibovespa

outperforming

Fixed Income

outperforming

-300

-150

150

300

450

-150 - 30 90 210 330

Δ Y oY

Brazil Slope 5x1 since 2002

Bull Steepening

Bear

Flattening

-200

-50

100

250

-30% 10% 50% 90% 130%

Brazil Slope 5x1

MSCI Brazil (Small-Large) ΔYoY

Flattening

Steepening

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