Global Financial Spillovers of Chinese Macroeconomic Surprises

Camila Gutierrez, Javier Turen and Alejandro Vicondoa

No 2025/133, IMF Working Papers from International Monetary Fund

Abstract: We study how Chinese macroeconomic surprises affect global financial markets. Exploiting forecast errors around key data releases and a 60-minute window around the release, we show that positive industrial production (IP) surprises lead to immediate increases in Chinese and Asia-Pacific stock returns, global long-term yields, and commodity 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 highlight China’s growing influence in global markets and position it as a driver of the Global Financial Cycle.

Keywords: Spillovers; Global Financial Cycle; China; High-frequency; asset price comovement; asset prices response; identification strategy; stock return; yield response; Stock markets; Stocks; Asset prices; Industrial production; Commodity prices; Global; Asia and Pacific (search for similar items in EconPapers)
Pages: 84
Date: 2025-07-04
New Economics Papers: this item is included in nep-ifn and nep-opm
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Working Paper: Global Financial Spillovers of ChineseMacroeconomic Surprises (2025)
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