Impact of Chinese financial shocks: A GVAR approach

Luccas Assis Attílio; Luccas Assis Attílio

doi:10.3934/NAR.2024002

National Accounting Review

2024, Volume 6, Issue 1: 27-49. doi: 10.3934/NAR.2024002

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Research article

Impact of Chinese financial shocks: A GVAR approach

Luccas Assis Attílio ^,

Federal University of Ouro Preto, Mariana, Brazil

Received: 08 September 2023 Revised: 10 January 2024 Accepted: 29 January 2024 Published: 01 February 2024
JEL Codes: E37, E44, G01

This article analyzes the influence of Chinese financial shocks on emerging and advanced economies using a GVAR (Global Vector Autoregressive) from 1985Q4 to 2016Q4. We summarize our findings in five points: i) adverse shocks in Chinese financial markets can cause a global recession; ii) these shocks trigger the "flight to quality", leading to the depreciation of domestic currencies to the U.S. dollar; iii) stock and exchange markets contribute to transmitting the shock to domestic economies; iv) commodity prices are sensitive to these shocks; v) the impact of the Chinese financial shock increased in the new millennium. Finally, the financial system of China has the potential to provoke worldwide macroeconomic fluctuations.
- financial system,
- credit,
- exchange rate,
- GDP,
- China
Citation: Luccas Assis Attílio. Impact of Chinese financial shocks: A GVAR approach[J]. National Accounting Review, 2024, 6(1): 27-49. doi: 10.3934/NAR.2024002

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Abstract

This article analyzes the influence of Chinese financial shocks on emerging and advanced economies using a GVAR (Global Vector Autoregressive) from 1985Q4 to 2016Q4. We summarize our findings in five points: i) adverse shocks in Chinese financial markets can cause a global recession; ii) these shocks trigger the "flight to quality", leading to the depreciation of domestic currencies to the U.S. dollar; iii) stock and exchange markets contribute to transmitting the shock to domestic economies; iv) commodity prices are sensitive to these shocks; v) the impact of the Chinese financial shock increased in the new millennium. Finally, the financial system of China has the potential to provoke worldwide macroeconomic fluctuations.

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