{
  "title": "US10Y × 标普500：相关性制度与 Liz Ann Sonders 框架",
  "generated_on": "2026-07-14",
  "page": "/macro-correlation/us10y-sp500-correlation-regimes/",
  "scope": {
    "long_history": "1953-01 至 2026-06，月频",
    "recent_window": "2016-07-14 至 2026-07-10，日频",
    "primary_question": "标普500回报与 US10Y 收益率变动/债券总回报的相关性何时、为何改变？"
  },
  "long_history_method": {
    "source": "Robert Shiller Online Data workbook",
    "stock": "名义总回报指数 = Real Total Return Price × CPI；取月度对数变化",
    "yield": "GS10 从 t 到 t+1 的月度变动，换算为小数",
    "bond": "Shiller Monthly Total Bond Returns 的对数回报；为合成 10 年期政府债总回报",
    "alignment": "源工作簿中债券回报记在 t 行，代表 t→t+1；股票与收益率同样以该前瞻区间计算",
    "rolling_windows_months": [24, 60, 120]
  },
  "recent_method": {
    "sources": ["FRED SP500", "FRED DGS10"],
    "stock": "日频价格指数对数变化，不含股息",
    "yield": "DGS10 日度变动",
    "rolling_windows_trading_days": [30, 60, 252]
  },
  "descriptive_regimes": [
    {"period": "1953-01/1969-12", "label": "近零 / 混合"},
    {"period": "1970-01/1997-12", "label": "旧 Temperamental / 通胀与政策冲击"},
    {"period": "1998-01/2001-12", "label": "符号切换"},
    {"period": "2002-01/2020-12", "label": "Great Moderation 资产定价期"},
    {"period": "2021-01/2022-12", "label": "通胀紧缩 / 股债同跌"},
    {"period": "2023-01/2026-06", "label": "近零 / 新混合，制度待验证"}
  ],
  "figures": [
    {
      "file": "assets/rolling-correlation-1953-2026.svg",
      "purpose": "展示 60/120 个月股票—收益率滚动相关与零轴切换"
    },
    {
      "file": "assets/regime-correlation-bars.svg",
      "purpose": "比较六个固定阶段的股票—收益率与股债总回报相关"
    },
    {
      "file": "assets/recent-window-sensitivity.svg",
      "purpose": "展示近期 30/252 交易日窗口对结论的影响"
    }
  ],
  "outputs": [
    "assets/monthly-correlation.csv",
    "assets/recent-daily-correlation.csv",
    "assets/regime-summary.json",
    "build_analysis.py"
  ],
  "caveats": [
    "阶段边界是描述性分段，不是 Bai-Perron 等结构断点检验的唯一结果",
    "Shiller 债券序列为合成常期 10 年政府债回报，不是单一 CUSIP 的实现回报",
    "相关性不识别因果；机制判断需要通胀、实际利率、期限溢价、盈利与信用的交叉验证",
    "2023-01 至 2026-06 样本较短，不足以确认持久的新制度"
  ]
}