Global supply chain pressure and commodity markets: evidence from multiple wavelet and quantile connectedness analyses

Gozgor, Giray, Khalfaoui, Rabeh and Yarovaya, Larisa (2023) Global supply chain pressure and commodity markets: evidence from multiple wavelet and quantile connectedness analyses. Finance Research Letters, 54, [103791]. (doi:10.1016/j.frl.2023.103791).

Record type: Article

Abstract

This paper examines the time-scale impacts of global supply chain pressure on commodity markets under extreme market conditions from January 2000 to July 2022. The paper uses a novel quantile-based connectedness approach and vector wavelet coherence. It shows that the supply chain pressure transmits shocks to commodities at all time horizons. The findings also report that the joined effect of the global supply chain pressure and real global economic activity is more pronounced in the long-run horizon.

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Accepted/In Press date: 11 March 2023

e-pub ahead of print date: 28 March 2023

Published date: June 2023

Keywords: climate policy uncertainty, commodity markets, global real economic activity, global supply chain pressure, quantile-based connectedness, vector wavelet coherence

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