Economics at your fingertips  

Financial spillovers and spillbacks: New evidence from China and G7 countries

Yi Fang, Zhongbo Jing, Yukun Shi and Yang Zhao

Economic Modelling, 2021, vol. 94, issue C, 184-200

Abstract: With the increasing openness of the Chinese economy, Chinese financial markets are becoming more integrated with those in developed markets. The goal of this paper is to comprehensively investigate the spillovers and spillbacks in stock, bond, and foreign exchange markets between China and the G7 countries using data from 2000 to 2018. Four important findings emerge: (1) financial spillovers account for a large proportion of the variations in bond, stock, and foreign exchange markets, indicating that the international spillover effect has become an important driver of asset prices; (2) Chinese financial markets have a growing impact on global financial markets over time, especially during periods of turbulence; (3) spillovers from the G7 to China are still higher than the spillbacks from China, suggesting that Chinese markets are more influenced by the financial markets in the G7 economies than the other way around; (4) economic policy uncertainty is the main driver of cross-border financial spillovers. Our findings have important implications for policy makers who aim to promote international macroprudential policy coordination.

Keywords: Financial spillovers; Financial spillbacks; Emerging markets; VAR model; Transmission channels (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.econmod.2020.09.022

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-06-30
Handle: RePEc:eee:ecmode:v:94:y:2021:i:c:p:184-200