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

35 Pages Posted: 5 May 2017

See all articles by Wensheng Kang

Wensheng Kang

Ronald A. Ratti

Western Sydney University - Department of Economics & Finance

Joaquin Vespignani

University of Tasmania - School of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: May 4, 2017

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 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.

Keywords: Global commodity prices, Global stock volatility, Output, Heterogeneity

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

Suggested Citation

Kang, Wensheng and Ratti, Ronald A. and Vespignani, Joaquin, Global Commodity Prices and Global Stock Volatility Shocks: Effects Across Countries (May 4, 2017). CAMA Working Paper No. 36/2017 . Available at SSRN: https://ssrn.com/abstract=2963431 or http://dx.doi.org/10.2139/ssrn.2963431

Ronald A. Ratti

Western Sydney University - Department of Economics & Finance ( email )

Sydney, NSW 1797
Australia

Joaquin Vespignani (Contact Author)

University of Tasmania - School of Economics and Finance ( email )

Commerce Building,
Sandy Bay Campus
Sandy Bay, TAS, Tasmania 7005
Australia

No contact information is available for Wensheng Kang

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
43
Abstract Views
407
PlumX Metrics