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

Rabeh Khalfaoui (), Giray Gözgör and Larisa Yarovaya
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Rabeh Khalfaoui: ICN Business School, CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine

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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.

Date: 2023-06
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Published in Finance Research Letters, 2023, 54, pp.103791. ⟨10.1016/j.frl.2023.103791⟩

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Journal Article: 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:hal:journl:hal-04144035

DOI: 10.1016/j.frl.2023.103791

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