Revising the impact of global commodity prices and global stock market volatility shocks: effects across countries
Wensheng Kang (),
Ronald Ratti and
Joaquin Vespignani ()
Additional contact information
Wensheng Kang: Department of Economics at Kent State University, Ohio, USA, https://www.kent.edu/business/wensheng-kang-phd
No 2020-10, Working Papers from University of Tasmania, Tasmanian School of Business and Economics
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)
Pages: 42 pages
New Economics Papers: this item is included in nep-fdg and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Published by the University of Tasmania. Discussion paper 2020-10
Downloads: (external link)
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 (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:tas:wpaper:34827
Access Statistics for this paper
More papers in Working Papers from University of Tasmania, Tasmanian School of Business and Economics Contact information at EDIRC.
Bibliographic data for series maintained by Oscar Pavlov ().