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The Influential Factors of Financial Cycle Spillover: Evidence from China

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  • Yue Liu
  • Zhenghui Li
  • Manrui Xu

Abstract

This study explores the non-linear effects of economic policy uncertainty, bilateral trade intensity, and capital flow on China’s financial cycle spillover when institutional distance changes over the period 1997Q1-2017Q4. Main findings indicate that there is a linear effect of these influential factors on China’s financial cycle spillover during the overall sample period and a non-linear effect during the normal and crisis periods. The transition function exhibits a smooth and gradual change trend during the normal period and a double-threshold effect during the crisis one. Furthermore, these influential factors present differences with regard to facilitating and restraining effect in different periods. These results have important implications for policymakers to make macroprudential policies.

Suggested Citation

  • Yue Liu & Zhenghui Li & Manrui Xu, 2020. "The Influential Factors of Financial Cycle Spillover: Evidence from China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(6), pages 1336-1350, May.
    • Handle: RePEc:mes:emfitr:v:56:y:2020:i:6:p:1336-1350
    DOI: 10.1080/1540496X.2019.1658076
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    Cited by:

    1. Shan Huang & Yan Ding & Pierre Failler, 2022. "Does the Government’s Environmental Attention Affect Ambient Pollution? Empirical Research on Chinese Cities," Sustainability, MDPI, vol. 14(6), pages 1-19, March.
    2. Wang, Ruting & Althof, Michael & Härdle, Wolfgang Karl, 2023. "A financial risk meter for China," Emerging Markets Review, Elsevier, vol. 56(C).
    3. Che, Ming & Zhu, Zixiang & Li, Yujia, 2023. "Geopolitical risk and economic policy uncertainty: Different roles in China's financial cycle," International Review of Financial Analysis, Elsevier, vol. 90(C).
    4. Qingqing Hu & Tinghui Li & Xue Li & Hao Dong, 2021. "Dynamic Characteristics of Oil Attributes and Their Market Effects," Energies, MDPI, vol. 14(13), pages 1-22, June.
    5. Wenxuan Ma, 2022. "Exploring the Role of Educational Human Capital and Green Finance in Total-Factor Energy Efficiency in the Context of Sustainable Development," Sustainability, MDPI, vol. 15(1), pages 1-18, December.
    6. Fen Li & Cunyi Yang & Zhenghui Li & Pierre Failler, 2021. "Does Geopolitics Have an Impact on Energy Trade? Empirical Research on Emerging Countries," Sustainability, MDPI, vol. 13(9), pages 1-24, May.
    7. Yanhui Yin & Bowen Yang, 2023. "Environmental Protection or Development? Multiple Policy Effects Evaluation of the Resource Tax Collection Reform for Iron Ore Enterprises in China," IJERPH, MDPI, vol. 20(5), pages 1-15, February.
    8. Nikolaos Rodousakis & George Soklis & Theodore Tsekeris, 2022. "A Supply and Use Model for Estimating the Contribution of Costs to Energy Prices," Energies, MDPI, vol. 15(19), pages 1-10, September.
    9. Yue Liu & Pierre Failler & Zhiying Liu, 2022. "Impact of Environmental Regulations on Energy Efficiency: A Case Study of China’s Air Pollution Prevention and Control Action Plan," Sustainability, MDPI, vol. 14(6), pages 1-21, March.

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