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.