Chinese financial cycle spillovers to developed countries

Junhao Zhong, Hai Zhang, Pierre Failler

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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.
Original languageEnglish
Pages (from-to)364-386
Number of pages23
JournalGreen Finance
Issue number4
Publication statusPublished - 26 Nov 2019


  • Chinese financial cycle
  • developed countries
  • dynamic factor model
  • DY spillover index
  • Markov-switching autoregressive model


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