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

Giray Gözgör, Rabeh Khalfaoui and Larisa Yarovaya

Finance Research Letters, 2023, vol. 54, issue C

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.

Keywords: Commodity markets; Global supply chain pressure; Global real economic activity; Climate policy uncertainty; Quantile-based connectedness; Vector wavelet coherence (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (11)

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Working Paper: Global supply chain pressure and commodity markets: Evidence from multiple wavelet and quantile connectedness analyses (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001642

DOI: 10.1016/j.frl.2023.103791

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