Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries

Kang, Wensheng; Ratti, Ronald A.; Vespignani, Joaquin L.

doi:10.24149/gwp311

Working Paper

Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries

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 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.

JEL Classification: D80; E44; E66; F62; G10;

https://doi.org/10.24149/gwp311