In this paper, we provide a comprehensive study of the linkages between global commodity price shocks and national financial markets. We consider an overall price index, three proxies of global oil shocks (overall, supply and demand) and non-oil (metal) price shocks and assess their causal relationships with the stock prices of a large set of heterogeneous countries in terms of development. Using a mixed-frequency VAR approach in a time-varying setting, we construct a Global Commodity Connectivity Index and a Global Stock Connectivity Index to monitor the prevalence, over time, of Granger-Causality from commodities to stock markets and vice versa. Our results show the existence of time-varying causality during the observed period depending on the level of country development and the position on the global commodity shocks super-cycles: the commodities depression of the 1980s and 1990s, the commodity boom of the 2000s and the post-Global Financial Crisis.

中文翻译：

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大宗商品价格与国家股票市场之间的全球连通性：时变 MIDAS 分析

在本文中，我们对全球大宗商品价格冲击与国家金融市场之间的联系进行了全面研究。我们考虑总体价格指数、全球石油冲击（总体、供给和需求）和非石油（金属）价格冲击的三个指标，并评估它们与大量异质国家发展方面股票价格的因果关系。在时变环境中使用混合频率 VAR 方法，我们构建了全球商品连通性指数和全球股票连通性指数，以监测随着时间的推移，从商品到股票市场的格兰杰因果关系的流行程度，反之亦然。我们的结果表明，在观察期内，时变因果关系的存在取决于国家发展水平和在全球大宗商品冲击超级周期中的地位：