No. 772 - Macroeconomic news, the financial cycle and the commodity cycle: the Chinese footprint
This paper studies the impact of Chinese macroeconomic surprises – defined as the difference between published macroeconomic data and analysts' expectations – on the global equity returns of the main advanced and emerging countries, on commodity prices and on investors' risk appetite. This allows us to estimate how Chinese macroeconomic developments affect the global economic and financial cycle and the commodity cycle.
This study shows that positive Chinese macroeconomic surprises (particularly those relating to industrial production, the manufacturing PMI and the trade balance) have a significant and positive impact on equity index returns in the rest of the world, on commodity prices and on investors' risk appetite. These surprises are also reflected in a continuous expansion of industrial production and global trade.
YouTube
X - Banca d'Italia
Linkedin
RSS
E-mail Alert
