Impact of supply chain pressure on traditional energy and metal markets: A Wavelet-based Quantile-on-Quantile perspective

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2025-03-17 DOI:10.1016/j.jcomm.2025.100472

Ahmed H. Elsayed , Giray Gozgor , Rabeh Khalfaoui , Salma Tarchella

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Abstract

This paper investigates the impact of the global supply chain pressure and geopolitical tensions on prominent energy and metals markets using data from January 1998 to April 2023. To this end, the study adopts Wavelet-based Quantile-on-Quantile estimations to scrutinise the time-varying nature of the relationships over the sample period and under different market conditions. The results reveal that the global supply chain pressure predicts commodity returns across various time horizons and quantiles, particularly during extreme supply chain pressures. Conversely, the impacts of geopolitical risks are more pronounced in the short- and mid-term, suggesting investors adjust energy and metal investments accordingly. The paper also indicates that commodities can play a dual role as investment and diversification assets, offering a hedge against global supply chain disruptions and geopolitical events. These findings contribute valuable insights into risk management, investment strategies, and policymakers' decision-making processes.

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.