Biblioteca

We study the international spillover effects of a macroeconomic surprise in China.
Using high-frequency data, we show that the surprise component of the release of macro
data in China brings a sizeable and significant effect on asset prices and global risk,
across different economies. We document that the dynamic effect of Chinese Macro
surprises is both significant and persistent for a broad range of financial variables
worldwide. When assessing the relative importance of Chinese surprises relative to
other known drivers of the Global Financial Cycle, we show that while the Monetary
Policy in the US still accounts for most of the reaction, our measure is equally relevant
to account for the reaction of commodities and the EMBI.