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

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  • Gozgor, Giray
  • Khalfaoui, Rabeh
  • Yarovaya, Larisa

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.

Suggested Citation

  • Gozgor, Giray & Khalfaoui, Rabeh & Yarovaya, Larisa, 2023. "Global supply chain pressure and commodity markets: Evidence from multiple wavelet and quantile connectedness analyses," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001642
    DOI: 10.1016/j.frl.2023.103791
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