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Federal Reserve Bank of Dallas
Globalization Institute Working Papers
Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries
Wensheng Kang
Ronald A. Ratti
Joaquin L. Vespignani
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.


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Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries, Federal Reserve Bank of Dallas, Globalization Institute Working Papers 311, 01 Apr 2017.
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DOI: 10.24149/gwp311
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