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 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. Show more