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

Author

Listed:
  • Rabeh KHALFAOUI

    (ICN Business School, CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine)

  • Giray Gozgor

    (University of Bradford)

  • Larisa Yarovaya

    (University of Southampton)

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

  • Rabeh KHALFAOUI & Giray Gozgor & Larisa Yarovaya, 2023. "Global supply chain pressure and commodity markets: Evidence from multiple wavelet and quantile connectedness analyses," Post-Print hal-04144035, HAL.
    • Handle: RePEc:hal:journl:hal-04144035
    DOI: 10.1016/j.frl.2023.103791
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    References listed on IDEAS

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    Cited by:

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    2. Liang Wang & Xianyan Xiong & Ziqiu Cao, 2023. "Time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-14, December.
    3. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
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    5. Ren, Xiaohang & Fu, Chenjia & Jin, Chenglu & Li, Yuyi, 2024. "Dynamic causality between global supply chain pressures and China's resource industries: A time-varying Granger analysis," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    6. Zheng, Xiaxuan & Chen, Yueyan, 2024. "Does supply-chain-finance help to improve the efficiency of outward foreign direct investment?," Finance Research Letters, Elsevier, vol. 59(C).
    7. Chen, Yan & Zhang, Ruiqian & Lyu, Jiayi & Ma, Xin, 2024. "The butterfly effect of cloud computing on the low-carbon economy," Technological Forecasting and Social Change, Elsevier, vol. 204(C).
    8. Guchhait, Rekha & Sarkar, Biswajit, 2024. "A decision-making problem for product outsourcing with flexible production under a global supply chain management," International Journal of Production Economics, Elsevier, vol. 272(C).
    9. Kong, Fanna & Gao, Zhuoqiong & Oprean-Stan, Camelia, 2023. "Green bond in China: An effective hedge against global supply chain pressure?," Energy Economics, Elsevier, vol. 128(C).
    10. Bouri, Elie & Nekhili, Ramzi & Todorova, Neda, 2023. "Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis," Finance Research Letters, Elsevier, vol. 55(PB).

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