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

Kang, W, Ratti, RA and Vespignani, J ORCID: 0000-0003-0265-4377 2020 , 'Global commodity prices and global stock market volatility shocks: Effects across countries' , Journal of Asian Economics, vol. 71 , pp. 1-15 , doi: 10.1016/j.asieco.2020.101249.

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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: Article
Authors/Creators:Kang, W and Ratti, RA and Vespignani, J
Keywords: global commodity prices, global stock market volatility, output, heterogeneity
Journal or Publication Title: Journal of Asian Economics
Publisher: Elsevier BV
ISSN: 1049-0078
DOI / ID Number: 10.1016/j.asieco.2020.101249
Copyright Information:

© 2020 Elsevier Inc.

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