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Chinese Macroeconomic Surprises and the Global Financial Cycle

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  • Camila Gutierrez
  • Javier Turen
  • Alejandro Vicondoa

Abstract

We study the international spillover effects of a macroeconomic surprise in China. Using high-frequency data, we show that the surprise component of the release of macro data in China brings a sizeable and significant effect on asset prices and global risk, across different economies. We document that the dynamic effect of Chinese Macro surprises is both significant and persistent for a broad range of financial variables worldwide. When assessing the relative importance of Chinese surprises relative to other known drivers of the Global Financial Cycle, we show that while the Monetary Policy in the US still accounts for most of the reaction, our measure is equally relevant to account for the reaction of commodities and the EMBI.

Suggested Citation

  • Camila Gutierrez & Javier Turen & Alejandro Vicondoa, 2024. "Chinese Macroeconomic Surprises and the Global Financial Cycle," Documentos de Trabajo 577, Instituto de Economia. Pontificia Universidad Católica de Chile..
    • Handle: RePEc:ioe:doctra:577
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    References listed on IDEAS

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    More about this item

    Keywords

    Spillovers; Global Financial Cycle; China; High-frequency;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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