Macroeconomic news, the financial cycle and the commodity cycle: the Chinese footprint

Flavia Corneli, Fabrizio Ferriani and Andrea Giovanni Gazzani

No 772, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: China has become a major player in the global economy. Our new and original database of Chinese macroeconomic surprises shows the significant impact they have on equity markets worldwide. These surprises also affect commodity prices, the US nominal effective exchange rate and the VIX Index. Finally, we establish that positive Chinese macroeconomic news is associated with the expansion of global trade and industrial production. Overall, we provide evidence of the growing role of the Chinese economy as a driving force for both the real and the financial global cycle.

Keywords: global financial cycle; China macroeconomic announcements; international spillovers; commodity prices (search for similar items in EconPapers)
JEL-codes: E44 F21 F40 G15 (search for similar items in EconPapers)
Date: 2023-06
New Economics Papers: this item is included in nep-cna, nep-fdg, nep-ifn and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: Macroeconomic news, the financial cycle and the commodity cycle: The Chinese footprint (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_772_23

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