TY - JOUR
T1 - Global commodity prices and global stock market volatility shocks: Effects across countries
AU - Kang, Wensheng
AU - Ratti, Ronald A.
AU - Vespignani, Joaquin
PY - 2020
Y1 - 2020
N2 - 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.
AB - 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.
U2 - 10.1016/j.asieco.2020.101249
DO - 10.1016/j.asieco.2020.101249
M3 - Article
VL - 71
SP - 1
EP - 15
JO - Journal of Asian Economics
JF - Journal of Asian Economics
SN - 1049-0078
ER -