Global Financial Spillovers of ChineseMacroeconomic Surprises
Camila Gutierrez,
Javier Turen and
Alejandro Vicondoa
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Camila Gutierrez: International Monetary Fund
Javier Turen: Pontificia Universidad Catolica de Chile
Alejandro Vicondoa: Pontificia Universidad Católica de Chile
No 366, Working Papers from Red Nacional de Investigadores en Economía (RedNIE)
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.
Keywords: Spillovers; Global Financial Cycle; China; High-frequency (search for similar items in EconPapers)
JEL-codes: E44 F21 F30 F40 G15 (search for similar items in EconPapers)
Pages: 79 pages
Date: 2025-07
New Economics Papers: this item is included in nep-fdg
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Persistent link: https://EconPapers.repec.org/RePEc:aoz:wpaper:366
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