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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.

Item Type:	Report (Discussion Paper)
Authors/Creators:	Kang, W and Ratti, RA and Vespignani, JL
Keywords:	global commodity prices, global stock volatility, output, heterogeneity
Publisher:	University of Tasmania
Copyright Information:	Copyright 2017 The University of Tasmania
Item Statistics:	View statistics for this item

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