2015年3月17日 星期二

用就業數據猜FED升息的正確方法

拜讀總大的文章:

總經指標的雜訊:非農業就業人口與FED升息之間的零關連性


忍不住要回應一下:非農不是雜訊.只是FED決定升息,真正看的是失業率與通膨.非農是單月的變量,失業率是累積量,但失業率必然受非農影響

早在30年前就已經有經驗公式Taylor rule:

FED合理利率=8.5%+1.4(核心通膨-失業率)

(聖路易FED網站上可以下載數據)




上圖是公式計算出來的結果.看起來並不算規律.


若把當時FED的利率水準考慮進來,就能看出規律:FED只要兩者利差驟減時,就會升息.

PS:FED快速降息時,也會拉低此利差,但那是經濟數據落後反映的結果.(請自行分辨)

3 則留言:

匿名 提到...

應該是Taylor Rule~

Unknown 提到...

Blog27999 提到...

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