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Global commodity prices and global stock market volatility shocks: Effects across countries

Wensheng Kang, Ronald Ratti and Joaquin Vespignani ()

Journal of Asian Economics, 2020, vol. 71, issue C

Abstract: We investigate the time-varying dynamics of global stock market volatility, commodity prices, domestic output and consumer prices. We find (i) stock market volatility and commodity price shocks impact each other and the economy in a gradual and endogenous adjustment process, (ii) impact of commodity price shock on global stock market volatility is significant during global financial crises, (iii) effects of global stock market volatility on the US output are amplified by endogenous commodity price responses, (iv) effects of global stock market volatility shocks on the economy are heterogeneous across nations and relatively larger in twelve developed countries, (v) four developing/small economies are more vulnerable to commodity price shocks.

Keywords: Global commodity prices; Global stock market volatility; Output; Heterogeneity (search for similar items in EconPapers)
JEL-codes: D80 E44 E66 F62 G10 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:71:y:2020:i:c:s1049007820301299

DOI: 10.1016/j.asieco.2020.101249

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