Front Matter Page
SPILLOVER NOTES
SPILLOVERS FROM CHINA:
Financial Channels
Nkunde Mwase, Papa N’Diaye, Hiroko Oura, Frantisek Ricka, Katsiaryna Svirydzenka, and Yuanyan Zhang
5 SEPTEMBER 2016
SPILLOVER TASK FORCE | INTERNATIONAL MONETARY FUND
Front Matter Page
© 2016 International Monetary Fund
Cover Design: IMF Multimedia Services
Composition: AGS, an RR Donnelley Company
Cataloging-in-Publication Data
Joint Bank-Fund Library
Names: Mwase, Nkunde. | N’Diaye, Papa M’B. P. (Papa M’Bagnick Paté) | Oura, Hiroko.| Ricka, Frantisek. | Svirydzenka, Katsiaryna. | Zhang, Yuanyan Sophia. | International Monetary Fund. Research Department.
Title: Spillovers from China : financial channels / the authors of this note are Nkunde Mwase, Papa N’Diaye, Hiroko Oura, Frantisek Ricka, Katsiaryna Svirydzenka, and Yuanyan Zhang.
Other titles: Spillover notes (International Monetary Fund) ; 5
Description: [Washington, DC] : Research Department, International Monetary Fund, 2016. | Spillover notes / International Monetary Fund, ISSN nnnn-nnnx ; 5 | September 2016. | Includes bibliographic references.
Identifiers: ISBN 978
Subjects: LCSH: China—Commerce—21st century. | Economic development—China. | China—Economic financial relations.
Classification: LCC HC427.95.M93 2016
ISBN 978-1-47553-948-6
DISCLAIMER: Spillover Notes present detailed IMF work on spillover issues. The views expressed in Spillover Notes are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Contents
Overview
Introduction
China’s Integration in Global Financial Markets
Direct Financial Exposure to China
Reserves Accumulation
Cross-Border Banking
Concentration of Cross-Border Banking Links
Outward FDI
Inward FDI
Spillovers through Asset Markets
Co-movements in Asset Prices
External Transmission of Economic and Financial Shocks
Size of Spilovers Using Event Analysis
Size of Spillovers Using Longer Time Span Data
Conclusion
Annex 1. Stress Test
Annex 2. Diebold-Yilmaz Connectedness Index
Annex 3. Event Study
Annex 4. Vector Autoregression Model
Figures
1. Total International Investment Position
2. China’s Assets and Liabilities
3. China’s International Reserves and U.S. Treasury Market
4. Cross-Border Bank Exposures to Greater China
5. Chinese Banks’ Cross-Border Exposures
6. Outward FDI from China
7. Outward FDI from China to LIDCs and LIDC Exports to China: Sectoral Decomposition
8. Inward FDI into China
9. Financial Market Co-movement with China
10. Which Markets Were Most Affected?
11. Trade Exposure to China
12. Commodity Dependence
13. Country Risk
14. Impact on EMs of China Economic and Financial Shocks
15. Asymmetric Spillover Effects
16. Role of Global Factors
17. Role of Commodity Dependence
18. Financial Spillovers from China: Summary