Front Matter

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
Spillovers from China: Financial Channels
Author: Miss Nkunde Mwase, Mr. Papa M N'Diaye, Ms. Hiroko Oura, Mr. Franto Ricka, Katsiaryna Svirydzenka, and Ms. Yuanyan S Zhang