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

Citation

Kang, W and Ratti, RA and Vespignani, J, Global commodity prices and global stock market volatility shocks: Effects across countries, Journal of Asian Economics, 71 pp. 1-15. ISSN 1049-0078 (2020) [Refereed Article]


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DOI: doi:10.1016/j.asieco.2020.101249

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 Details

Item Type:Refereed Article
Keywords:global commodity prices, global stock market volatility, output, heterogeneity
Research Division:Economics
Research Group:Applied economics
Research Field:Agricultural economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Balance of payments
UTAS Author:Vespignani, J (Associate Professor Joaquin Vespignani)
ID Code:142620
Year Published:2020
Deposited By:Economics and Finance
Deposited On:2021-02-01
Last Modified:2021-04-22
Downloads:0

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