2017-05_Kang_Ratti_Vespignani.pdf (961.27 kB)
Global commodity prices and global stock volatility shocks: effects across countries
reportposted on 2023-05-28, 00:12 authored by Kang, W, Ratti, RA, Joaquin VespignaniJoaquin Vespignani
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.
PublisherUniversity of Tasmania
Place of publicationHobart
Rights statementCopyright 2017 The University of Tasmania