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We are grateful to Patrick Blagrave, Mai Dao, Luc Everaert, Jaime Guajardo, Emmanouil Kitsios, Vladimir Klyuev, Ruy Lama, Malhar Nabar, Jin Zhongxia and seminar participants at the IMF for helpful comments and suggestions.
Faculty of Economics and Girton College, University of Cambridge, UK.
While this paper focuses on negative spillovers from a GDP growth shock in China, it should be noted that the stimulus-induced growth in China after the global financial crisis significantly benefited the global economy during its recovery phase.
ASEAN-5 countries include: Indonesia, Malaysia, the Philippines, Singapore and Thailand.
This index measures price movements relative to trend, with a historical average value of zero (implying neutral financial market conditions). The magnitude of the shock is comparable to the 2002 episode of market volatility in advanced economies and is much smaller than the Global Financial Crisis shock.
Weak exogeneity test results for all countries and variables are available upon request.
The results for the other countries in our sample, listed in Table 1, are not reported here, but are available on request.
For a conditional forecast analysis of China’s hard landing in a GVAR context, see Gauvin and Rebillard (2015).
The figures showing the statistical significance for the different weights are not reported here, but are available from the authors upon request.