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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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