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Macroeconomic news, the financial cycle and the commodity cycle: the Chinese footprint

Author

Listed:
  • Flavia Corneli

    (Bank of Italy)

  • Fabrizio Ferriani

    (Bank of Italy)

  • Andrea Gazzani

    (Bank of Italy)

Abstract

China has become a major player in the global economy. Our new and original database of Chinese macroeconomic surprises shows the significant impact they have on equity markets worldwide. These surprises also affect commodity prices, the US nominal effective exchange rate and the VIX Index. Finally, we establish that positive Chinese macroeconomic news is associated with the expansion of global trade and industrial production. Overall, we provide evidence of the growing role of the Chinese economy as a driving force for both the real and the financial global cycle.

Suggested Citation

  • Flavia Corneli & Fabrizio Ferriani & Andrea Gazzani, 2023. "Macroeconomic news, the financial cycle and the commodity cycle: the Chinese footprint," Questioni di Economia e Finanza (Occasional Papers) 772, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_772_23
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    Cited by:

    1. Simone Emiliozzi & Fabrizio Ferriani & Andrea Gazzani, 2023. "The European energy crisis and the consequences for the global natural gas market," Questioni di Economia e Finanza (Occasional Papers) 824, Bank of Italy, Economic Research and International Relations Area.
    2. Camila Gutierrez & Javier Turen & Alejandro Vicondoa, 2024. "Chinese Macroeconomic Surprises and the Global Financial Cycle," Documentos de Trabajo 577, Instituto de Economia. Pontificia Universidad Católica de Chile..

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    More about this item

    Keywords

    global financial cycle; China macroeconomic announcements; international spillovers; commodity prices;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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