Global commodity prices and global stock market volatility shocks: Effects across countries

Wensheng Kang; Ronald A. Ratti; Joaquin Vespignani

doi:10.1016/j.asieco.2020.101249

Global commodity prices and global stock market volatility shocks: Effects across countries

Wensheng Kang^*, Ronald A. Ratti, Joaquin Vespignani

^*Corresponding author for this work

Indonesia Project

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

We investigate the time-varying dynamics of global stock market volatility, commodity prices, domestic output and consumer prices. We find (i) stock market volatility and commodity price shocks impact each other and the economy in a gradual and endogenous adjustment process, (ii) impact of commodity price shock on global stock market volatility is significant during global financial crises, (iii) effects of global stock market volatility on the US output are amplified by endogenous commodity price responses, (iv) effects of global stock market volatility shocks on the economy are heterogeneous across nations and relatively larger in twelve developed countries, (v) four developing/small economies are more vulnerable to commodity price shocks.

Original language	English
Article number	101249
Journal	Journal of Asian Economics
Volume	71
DOIs	https://doi.org/10.1016/j.asieco.2020.101249
Publication status	Published - Dec 2020

Access to Document

10.1016/j.asieco.2020.101249

Cite this

@article{ae9cc0d5707344b38e488f13fc6cdbad,

title = "Global commodity prices and global stock market volatility shocks: Effects across countries",

abstract = "We investigate the time-varying dynamics of global stock market volatility, commodity prices, domestic output and consumer prices. We find (i) stock market volatility and commodity price shocks impact each other and the economy in a gradual and endogenous adjustment process, (ii) impact of commodity price shock on global stock market volatility is significant during global financial crises, (iii) effects of global stock market volatility on the US output are amplified by endogenous commodity price responses, (iv) effects of global stock market volatility shocks on the economy are heterogeneous across nations and relatively larger in twelve developed countries, (v) four developing/small economies are more vulnerable to commodity price shocks.",

keywords = "Global commodity prices, Global stock market volatility, Heterogeneity, Output",

author = "Wensheng Kang and Ratti, {Ronald A.} and Joaquin Vespignani",

note = "Publisher Copyright: {\textcopyright} 2020 Elsevier Inc.",

year = "2020",

month = dec,

doi = "10.1016/j.asieco.2020.101249",

language = "English",

volume = "71",

journal = "Journal of Asian Economics",

issn = "1049-0078",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Global commodity prices and global stock market volatility shocks

T2 - Effects across countries

AU - Kang, Wensheng

AU - Ratti, Ronald A.

AU - Vespignani, Joaquin

PY - 2020/12

Y1 - 2020/12

N2 - We investigate the time-varying dynamics of global stock market volatility, commodity prices, domestic output and consumer prices. We find (i) stock market volatility and commodity price shocks impact each other and the economy in a gradual and endogenous adjustment process, (ii) impact of commodity price shock on global stock market volatility is significant during global financial crises, (iii) effects of global stock market volatility on the US output are amplified by endogenous commodity price responses, (iv) effects of global stock market volatility shocks on the economy are heterogeneous across nations and relatively larger in twelve developed countries, (v) four developing/small economies are more vulnerable to commodity price shocks.

AB - We investigate the time-varying dynamics of global stock market volatility, commodity prices, domestic output and consumer prices. We find (i) stock market volatility and commodity price shocks impact each other and the economy in a gradual and endogenous adjustment process, (ii) impact of commodity price shock on global stock market volatility is significant during global financial crises, (iii) effects of global stock market volatility on the US output are amplified by endogenous commodity price responses, (iv) effects of global stock market volatility shocks on the economy are heterogeneous across nations and relatively larger in twelve developed countries, (v) four developing/small economies are more vulnerable to commodity price shocks.

KW - Global commodity prices

KW - Global stock market volatility

KW - Heterogeneity

KW - Output

UR - http://www.scopus.com/inward/record.url?scp=85092792413&partnerID=8YFLogxK

U2 - 10.1016/j.asieco.2020.101249

DO - 10.1016/j.asieco.2020.101249

M3 - Article

SN - 1049-0078

VL - 71

JO - Journal of Asian Economics

JF - Journal of Asian Economics

M1 - 101249

ER -

Global commodity prices and global stock market volatility shocks: Effects across countries

Abstract

Access to Document

Other files and links

Fingerprint

Cite this