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

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

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.

climate policy uncertainty, commodity markets, global real economic activity, global supply chain pressure, quantile-based connectedness, vector wavelet coherence
1544-6123
Gozgor, Giray
bdc8cabd-6fc3-4d7b-a35a-67ae84c8e439
Khalfaoui, Rabeh
02629fc0-d482-408d-87ca-fe4ceb354abc
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Gozgor, Giray
bdc8cabd-6fc3-4d7b-a35a-67ae84c8e439
Khalfaoui, Rabeh
02629fc0-d482-408d-87ca-fe4ceb354abc
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

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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More information

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

Identifiers

Local EPrints ID: 476736
URI: http://eprints.soton.ac.uk/id/eprint/476736
ISSN: 1544-6123
PURE UUID: d1f9d273-1b18-4155-bba2-2baa8b225d64
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 12 May 2023 16:59
Last modified: 17 Mar 2024 03:54

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Contributors

Author: Giray Gozgor
Author: Rabeh Khalfaoui
Author: Larisa Yarovaya ORCID iD

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