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

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...

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Bibliographic Details
Published in:Journal of Asian economics 2020-12, Vol.71, p.101249, Article 101249
Main Authors: Kang, Wensheng, Ratti, Ronald A., Vespignani, Joaquin
Format: Article
Language:English
Subjects:
Global commodity prices
Global stock market volatility
Heterogeneity
Output
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Summary: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.
ISSN:1049-0078
1873-7927
DOI:10.1016/j.asieco.2020.101249