Global Commodity Prices and Global Stock Volatility Shocks

Joaquin Vespignani, Wensheng Kang and Ronald Ratti

MPRA Paper from University Library of Munich, Germany

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 paper 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; (vi) developing/small economies are relatively more vulnerable upon commodity price shocks.

Keywords: Global commodity prices; Global stock volatility; Output; Heterogeneity (search for similar items in EconPapers)
JEL-codes: E0 E00 E30 (search for similar items in EconPapers)
Date: 2018-01-01
New Economics Papers: this item is included in nep-agr and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:84250

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