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Global Financial Spillovers of ChineseMacroeconomic Surprises

Author

Listed:
  • Camila Gutierrez

    (International Monetary Fund)

  • Javier Turen

    (Pontificia Universidad Catolica de Chile)

  • Alejandro Vicondoa

    (Pontificia Universidad Católica de Chile)

Abstract

We study how Chinese macroeconomic surprises affect global financial markets. Exploiting forecast errors around key data releases and a 60-minute window around therelease, we show that positive industrial production (IP) surprises lead to immediate increases in Chinese and Asia-Pacific stock returns, global long-term yields, andcommodity prices highly demanded by China. A complementary identification strategy, which builds on different time-zones, confirms positive spillovers to international equity markets, with stronger effects in countries more exposed to Chinese trade. Our results highlight the role of both Hedging Premia and Growth Expectations in driving asset price comovement. The findings support China’s growing influence in global markets and position it as a driver of the Global Financial Cycle.

Suggested Citation

  • Camila Gutierrez & Javier Turen & Alejandro Vicondoa, 2025. "Global Financial Spillovers of ChineseMacroeconomic Surprises," Working Papers 366, Red Nacional de Investigadores en Economía (RedNIE).
    • Handle: RePEc:aoz:wpaper:366
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    File URL: https://rednie.eco.unc.edu.ar/files/DT/366.pdf
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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
    • F30 - International Economics - - International Finance - - - General
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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