{"title":"Impact of China on commodity exporters","authors":"Arpita Chatterjee, Richa Saraf","doi":"10.1111/roie.12738","DOIUrl":null,"url":null,"abstract":"We compare the effect of a domestic shock in China and the US on the real economy and financial markets of various commodity‐exporting countries. To obtain a reliable indicator for China's macroeconomic conditions, we estimate a Bayesian dynamic factor model using block‐exclusion restrictions to identify a China factor and a US factor from monthly macroeconomic data for China and the US. We, then, assess the implications of a negative shock to both factors on the macroeconomy of a commodity‐exporting nation using Bayesian FAVARs based on recursive identification. A negative China shock leads to output loss and a fall in stock prices in these countries. China shock affects the output of only a subset of countries in our sample compared to the US shock, which affects all countries. China shock has a larger, quicker and more persistent impact on the stock markets of commodity‐exporting countries compared to the US shock. Countries with weaker institutional or business environments experience a larger negative real effect of the China shock, whereas countries with less stable financial systems demonstrate stronger financial effects. Using historical decomposition, we establish a growing role of the China factor over time, in particular for large emerging economies such as Brazil and Russia.","PeriodicalId":47712,"journal":{"name":"Review of International Economics","volume":null,"pages":null},"PeriodicalIF":1.0000,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of International Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1111/roie.12738","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
We compare the effect of a domestic shock in China and the US on the real economy and financial markets of various commodity‐exporting countries. To obtain a reliable indicator for China's macroeconomic conditions, we estimate a Bayesian dynamic factor model using block‐exclusion restrictions to identify a China factor and a US factor from monthly macroeconomic data for China and the US. We, then, assess the implications of a negative shock to both factors on the macroeconomy of a commodity‐exporting nation using Bayesian FAVARs based on recursive identification. A negative China shock leads to output loss and a fall in stock prices in these countries. China shock affects the output of only a subset of countries in our sample compared to the US shock, which affects all countries. China shock has a larger, quicker and more persistent impact on the stock markets of commodity‐exporting countries compared to the US shock. Countries with weaker institutional or business environments experience a larger negative real effect of the China shock, whereas countries with less stable financial systems demonstrate stronger financial effects. Using historical decomposition, we establish a growing role of the China factor over time, in particular for large emerging economies such as Brazil and Russia.
期刊介绍:
The Review of International Economics is devoted to the publication of high-quality articles on a full range of topics in international economics. The Review comprises controversial and innovative thought and detailed contributions from other directly related fields such as economic development; trade and the environment; and political economy. Whether theoretical, empirical or policy-oriented, its relevance to real world problems is of paramount concern.