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