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

被引：33

作者：

Gozgor, Giray ^{[1
,4
,5
]}

Khalfaoui, Rabeh ^{[2
]}

Yarovaya, Larisa ^{[3
]}

机构：

[1] Univ Bradford, Sch Management, Bradford, England

[2] Univ Lorraine, ICN Business Sch, CEREFIGE, Lorraine, France

[3] Univ Southampton, Southampton Business Sch, Southampton, England

[4] Istanbul Medeniyet Univ, Fac Polit Sci, Istanbul, Turkiye

[5] Lebanese Amer Univ, Adnan Kassar Sch Business, Beirut, Lebanon

来源：

FINANCE RESEARCH LETTERS | 2023年 / 54卷

关键词：

Commodity markets; Global supply chain pressure; Global real economic activity; Climate policy uncertainty; Quantile-based connectedness; Vector wavelet coherence; IMPULSE-RESPONSE ANALYSIS;

D O I：

10.1016/j.frl.2023.103791

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：12

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