Green Finance, 2019, 1(4): 364-386. doi: 10.3934/GF.2019.4.364.

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Chinese financial cycle spillovers to developed countries

1 School of Economics and Statistics, Guangzhou University, Guangzhou 510006, China
2 Department of Accounting & Finance, Strathclyde Business School, Glasgow G4 0QU, UK
3 Department of Economics and Finance, Portsmouth Business School, University of Portsmouth, Portsmouth, P01 3DE, UK

In this paper, we quantify the spillovers of Chinese financial cycles from 1990Q1 to 2017Q4. We construct a spillover index for Chinese financial cycles and fit the Markov-switching autoregressive model. Our main findings indicate that Chinese financial cycle spillover shows several general characteristics and has significant time-varying features that are very sensitive to specific events. We examine the three different regimes of net spillovers, labeling them contraction, moderation, and expansion, and find that the moderation regime dominates.
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Keywords Chinese financial cycle; developed countries; dynamic factor model; DY spillover index; Markov-switching autoregressive model

Citation: Tinghui Li, Junhao Zhong, Hai Zhang, Pierre Failler. Chinese financial cycle spillovers to developed countries. Green Finance, 2019, 1(4): 364-386. doi: 10.3934/GF.2019.4.364


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