Global commodity prices and global stock market volatility shocks: Effects across countries |
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| Institution: | 1. Kent State University, Department of Economics, USA;2. University of Missouri, Department of Economics, USA;3. University of Tasmania, Tasmanian School of Business and Economics, Australia;4. Centre for Applied Macroeconomics Analysis, ANU, Australia;5. Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas, USA |
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| 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. |
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| Keywords: | Global commodity prices Global stock market volatility Output Heterogeneity |
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