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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.

Item Type:	Report (Discussion Paper)
Authors/Creators:	Kang, W and Ratti, R and Vespignani, JL
Keywords:	Global commodity prices, global stock market volatility, output, heterogeneity
Publisher:	University of Tasmania
Copyright Information:	Copyright 2020 University of Tasmania
Additional Information:	Discussion Paper Series N 2020-10 JEL Classification Numbers: D80, E44, E66, F62, G10
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