China’s financial spillovers to emerging markets

Rodolfo Campos, Ana-Simona Manu, Luis Molina Sánchez and Marta Suárez-Varela
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Marta Suárez-Varela: Banco de España

No 2435, Working Papers from Banco de España

Abstract: This paper analyzes the financial spillovers of shocks originating in China to emerging markets. Using a high-frequency identification strategy based on sign and narrative restrictions, we find that equity markets react strongly and persistently to Chinese macroeconomic shocks, while monetary policy shocks have limited or no spillovers. The impact is particularly strong in Latin American equity markets, with the likely channel being the effect of shocks in China on international commodity prices. These effects extend to various financial variables, such as sovereign and corporate spreads and exchange rates, suggesting that macroeconomic shocks in China may have implications for economic cycles and financial stability in emerging markets.

Keywords: China; emerging markets; financial spillovers (search for similar items in EconPapers)
JEL-codes: F31 F37 F62 F65 G15 N26 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2024-10
New Economics Papers: this item is included in nep-cba, nep-cna, nep-fdg and nep-opm
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:2435

DOI: 10.53479/37815

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