Global Commodity Prices and Global Stock Volatility Shocks

Vespignani, Joaquin and Kang, Wensheng and Ratti, Ronald (2018): Global Commodity Prices and Global Stock Volatility Shocks.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Global commodity prices, Global stock volatility, Output, Heterogeneity
• Subjects: E - Macroeconomics and Monetary Economics > E0 - General; E - Macroeconomics and Monetary Economics > E0 - General > E00 - General; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E30 - General

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