Revising the Impact of Global Commodity Prices and Global Stock Market Volatility Shocks: Effects across Countries

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

MPRA Paper from University Library of Munich, Germany

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: E00 E3 E40 E66 (search for similar items in EconPapers)
Date: 2019-12-03
New Economics Papers: this item is included in nep-agr, nep-mac and nep-ore
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Related works:
Working Paper: Revising the Impact of Global Commodity Prices and Global Stock Market Volatility Shocks: Effects across Countries* (2020)
Working Paper: Revising the impact of global commodity prices and global stock market volatility shocks: effects across countries (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:103035

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