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計量金融分析師如何看待升息這件事？
作者：Ralph Cheng 鄭宇和
許多人問我，計量分析師是否也關心新聞。我們當然關心，對我們來說新聞就是以敘事形態呈現的數據。不過，計量金融分析師運用新聞的方式不一定都相同，有些人會進行文字的數據探勘，經過量化後協助決策制訂；而其他人，像我自己，則是單純瀏覽新聞，尋找尚未納入我們量化模組的邏輯或因子。
過去這一個月，直至美國聯準會(Fed)的利率決策公告之前，我看到不少新聞評論員討論升息將如何損害經濟以及股市。不過，我對他們的說詞抱持保留態度，而到頭來的市場方向也完全不出乎意料。
大致來說，聯準會的利率決策，是一個專業和學術單位都深入研究的宏觀經濟議題。中央銀行的利率決策中有幾個重要的已知因子，像是 GDP 成長率、通貨膨脹率、失業率。當然，一個嘗試建立更全面的經濟模型的人，可能還會在模組中加入許多其他的經濟數據，如消費者物價指數、非農就業人口、產業生產力及其他類似的經濟指標。
為了避免景氣過熱，當經濟進入了 GDP 成長及通貨膨脹加速而失業率下降的時期，正常運作的中央銀行都會以升息方式因應，反之亦然。如此的利率升降，將隨著持續數月或甚至數年的景氣循環而變化。
由於我所尋找的，是基礎宏觀經濟模組並未涵蓋的特例，例如聯準會因應極端景氣狀況所採取的量化寬鬆或「扭轉操作」，因此在過去這個月的聯準會利率決策相關消息裡，我並沒有發現有用的新資訊。
聯準會上個星期的升息，我並不驚訝，因為美國的經濟狀況正處於自上次金融危機以來的最佳狀態，並且持續復甦。無論媒體在此一課題如何渲染負面的氛圍，單就經濟理論來看，升息乃是完全合理的舉措。
A Quant’s View On The Rate Hike
Many people ask me whether quants care about news. We certainly do—news is data in narrative form. But not every quant uses news in the same way: some do text mining and quantify it to help them make decisions, and others, such as me, merely browse through the news for logic or factors not yet included in our quantitative models.
This past month, leading up to the Fed’s interest rate decision, I have seen news commentators talking about how raising the interest rate could hurt the economy and the equity market. I took their comments with a grain of salt, though, and ultimately saw nothing that surprised me.
Generally speaking, Fed interest rate decisions are a well-studied macroeconomic topic. Indeed, some of the most important factors in central bank interest rate decision making are known to be GDP growth rate, inflation rate, and unemployment rate. Of course, someone seeking to build a more comprehensive model might include many other economic data as well, such as CPI index, nonfarm payroll, industrial production, and the like. To prevent the economy from overheating, a properly functioning central bank raises interest rates when GDP growth rate and inflation rate accelerate and unemployment rate decreases, and vice versa. These rate hikes and cuts go through cycles that persist for months or even years.
I found no useful new information from news on the Fed’s interest rate decision in the past month, for I was only looking for special means not included in the ordinary interest rate model, such as quantitative easing or the Fed’s “operation twist,” used during extreme economic conditions. The Fed’s rate hike of last week came out no surprise to me, because the United States’ economic condition is in its best shape since the last crisis and continues to recover. The rate hike was an entirely reasonable move in light of economic theory—no matter the affected negativity of the media on this matter.
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【作者簡介】Ralph Cheng 鄭宇和
海外量化對沖基金經理人
畢業於西雅圖華盛頓大學 University of Washington – Seattle
Acquisition International 2017 東亞最具創新基金經理人
Acquisition International 2017 年度最佳對沖基金
