China's Slowdown and Global Financial Market Volatility: Is World Growth Losing Out?
IMF Working Papers, March 15, 2016
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Bibliographic details
- Authors: Paul Cashin, Kamiar Mohaddes, Mehdi Raissi
- Published: March 15, 2016
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781513590455.001
Summary
- China's GDP growth slowdown and a surge in global financial market volatility could both adversely affect an already weak global economic recovery.
- To quantify the global macroeconomic consequences of these shocks, the authors employ a GVAR model estimated for 26 countries/regions over the period 1981Q1 to 2013Q1.
- Authors: Paul Cashin, Kamiar Mohaddes, Mehdi Raissi.
- Publication date: March 15, 2016.
- Working Paper No. 2016/063; Pages: 22; DOI: https://doi.org/10.5089/9781513590455.001.
Methods and model
- Model: Global Vector Autoregression (GVAR) model.
- Sample: 26 countries/regions.
- Estimation period: 1981Q1 to 2013Q1.
- Objective: Quantify global macroeconomic repercussions of (i) a China GDP shock and (ii) a global financial market volatility shock.
Key findings and quantitative results
- China GDP shock:
- A one percent permanent negative GDP shock in China (equivalent to a one-off one percent growth shock) could have significant global macroeconomic repercussions.
- World growth reducing by 0.23 percentage points in the short-run.
- Global financial market volatility shock:
- A surge in global financial market volatility could translate into a fall in world economic growth of around 0.29 percentage points.
- Such a volatility surge could also have negative short-run impacts on global equity markets, oil prices and long-term interest rates.
Themes and subjects covered
- Econometric analysis
- Financial sector policy and analysis
- Financial services
- Financial soundness indicators
- International trade
- Long term interest rates
- Oil prices
- Plurilateral trade
- Prices
- Vector autoregression
Keywords
- China slowdown, China’s slowdown, commodity price linkage, financial market volatility, Financial soundness indicators, Global, global financial market volatility, Global VAR, growth spillover, GVAR model, international business cycle, Long term interest rates, Oil prices, Plurilateral trade, slowdown pose, trade weight, Vector autoregression, volatility shock, world commodity market, WP
Source: IMF Working Paper — "China's Slowdown and Global Financial Market Volatility: Is World Growth Losing Out?", Paul Cashin, Kamiar Mohaddes, Mehdi Raissi, March 15, 2016.