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Global commodity prices and global stock market volatility shocks: Effects across countries
journal contribution
posted on 2023-05-20, 20:35 authored by Kang, W, Ratti, RA, Joaquin VespignaniJoaquin VespignaniWe 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.
History
Publication title
Journal of Asian EconomicsVolume
71Pagination
1-15ISSN
1049-0078Department/School
TSBEPublisher
Elsevier BVPlace of publication
NetherlandsRights statement
© 2020 Elsevier Inc.Repository Status
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