Resumen de Chinese Macroeconomic Surprises and the Global Financial Cycle

Alejandro Vicondoa, Javier Turén, Camila Gutierrez

• 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.