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

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper investigates the time-varying dynamics of global stock volatility, commodity prices, and domestic output and consumer prices. The main empirical findings of this papers are: (i) stock volatility and commodity price shocks impact each other and the economy in a gradual and endogenous adjustment process; (ii) the impact of a commodity price shock on global stock volatility is far greater during the global financial crisis than at other times; (iii) the effects of global stock volatility on the US output are amplified by the endogenous commodity price responses; (iv) in the long run, shocks to commodity prices (stock market volatility) account for 11.9% (6.6%) and 25.1% (11.6%) of the variation in US output and consumer prices; (v) the effects of global stock volatility shocks on the economy are heterogeneous across nations and relatively larger in the developed countries.

Keywords: Global commodity prices; Global stock volatility; Output; Heterogeneity (search for similar items in EconPapers)
JEL-codes: D80 E44 E66 F62 G10 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2017-05
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-opm
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Citations: View citations in EconPapers (3)

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https://cama.crawford.anu.edu.au/sites/default/fil ... ratti_vespignani.pdf (application/pdf)

Related works:
Working Paper: Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries (2017)
Working Paper: Global commodity prices and global stock volatility shocks: effects across countries (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2017-36

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