IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Global commodity prices and global stock volatility shocks: effects across countries

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://eprints.utas.edu.au/23501/1/2017-05_Kang_Ratti_Vespignani.pdf
Download Restriction: no

Paper provided by University of Tasmania, Tasmanian School of Business and Economics in its series Working Papers with number 2017-05.

as
in new window

Length: 33 pages
Date of creation: 2017
Publication status: Published by the University of Tasmania. Discussion paper 2017-05
Handle: RePEc:tas:wpaper:23501
Contact details of provider: Postal:
Private Bag 85, Hobart, Tasmania 7001

Phone: +61 3 6226 7672
Fax: +61 3 6226 7587
Web page: http://www.utas.edu.au/business-and-economics

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Robert Johnson & Luc Soenen, 2009. "Commodity Prices and Stock Market Behavior in South American Countries in the Short Run," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 45(4), pages 69-82, July.
  2. Creti, Anna & Joëts, Marc & Mignon, Valérie, 2013. "On the links between stock and commodity markets' volatility," Energy Economics, Elsevier, vol. 37(C), pages 16-28.
  3. Hakkio, Craig S. & Sly, Nicholas, 2016. "Global Uncertainty in the Wake of Brexit," Macro Bulletin, Federal Reserve Bank of Kansas City, pages 1-4, Sept 12.
  4. repec:dau:papers:123456789/14980 is not listed on IDEAS
  5. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, 05.
  6. Jordi Galí & Luca Gambetti, 2015. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 233-257, January.
  7. Lutz Kilian & Cheolbeom Park, 2009. "The Impact Of Oil Price Shocks On The U.S. Stock Market," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(4), pages 1267-1287, November.
  8. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
  9. Robert Johnson & Luc Soenen, 2009. "Commodity Prices and Stock Market Behavior in South American Countries in the Short Run," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 45(4), pages 69-82, July.
  10. Mario Crucini & Ayhan Kose & Christopher Otrok, 2011. "What are the driving forces of international business cycles?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 156-175, January.
  11. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
  12. Sly, Nicholas, 2016. "Global Uncertainty and U.S. Exports," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 5-23.
  13. Wensheng Kang & Ronald A. Ratti & Joaquin Vespignani, 2017. "The impact of global uncertainty on the global economy, and large developed and developing economies," CAMA Working Papers 2017-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  14. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy‐Duong Tô, 2016. "The Return–Volatility Relation in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 127-152, 02.
  15. Beja, Avraham & Goldman, M Barry, 1980. " On the Dynamic Behavior of Prices in Disequilibrium," Journal of Finance, American Finance Association, vol. 35(2), pages 235-248, May.
  16. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," Review of Economic Studies, Oxford University Press, vol. 72(3), pages 821-852.
  17. Damodaran, Aswath, 1993. " A Simple Measure of Price Adjustment Coefficients," Journal of Finance, American Finance Association, vol. 48(1), pages 387-400, March.
  18. Grossman, Valerie & Mack, Adrienne & Martinez-Garcia, Enrique, 2013. "Database of global economic indicators (DGEI): a methodological note," Globalization and Monetary Policy Institute Working Paper 166, Federal Reserve Bank of Dallas, revised 01 Apr 2014.
  19. Lee, Kiseok & Ni, Shawn, 2002. "On the dynamic effects of oil price shocks: a study using industry level data," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 823-852, May.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:tas:wpaper:23501. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vitali Alexeev)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.