Dünya ekonomisinde reel ve finansal piyasaların etkileşimi: Çin'in oynadığı rol nedir?

This paper uses financial and industrial indicators in order to measure the interdependence of real and financial dynamics between several developed markets and the mainland China. We use realized volatility of stock prices and Industrial Production Growth to capture the dynamics in stock market and real economy respectively. Our main goal is to analyze whether there is a co-movement between China and developed markets in terms of industrial production and stock market volatility. We employ a Structural-VAR model with Sign Restrictions by constructing our indicators as monthly measures for 5-countries which are the US, the UK, Germany, Japan and the mainland China Our first result suggests that Chinese financial and production markets are disconnected, i.e. a shock to Chinese financial market has very little impact on its industrial production growth performance. Second, we find that China is more integrated to the world financial market via Hong Kong Stock Exchange channel, but relatively less through Shanghai Stock Exchange. Third, we observe a very close relationship between Japan, US, UK and Germany in terms of both industrial production and realized volatility. Also, with volatility-to-volatility sign restrictions imposed, we find that a volatility increase in one financial market increases other countries' realized volatility in the short-run. When we impose volatility-to-industrial production growth sign restrictions, we observe that an increase in volatility has a negative impact on other countries' industrial production growth in the short and middle-run. However, China has a different story: The movement in Chinese industrial production growth is mainly determined by its own domestic conditions, i.e. foreign markets has a relatively low impact on Chinese industrial production growth.