ECB paper analyses impact of Chinese financial shocks
“China shocks” affect global commodities and equities, but less than US equivalents, researchers find
A working paper published by the European Central Bank analyses the global impact of Chinese financial shocks.
In China’s footprint in global financial markets, David Lodge, Ana-Simona Manu and Ine Van Robays examine “risk shocks” originating from the US, China and globally. They identify them using a Bayesian vector autoregression model, using daily financial markets data.
Differentiating between the origin of shocks ensures that their estimates of spillovers from China “do not reflect common
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