Cryptocurrency price dynamics during supply chain disruptions: A quantile-on-quantile connectedness approach

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2026-03-01 Epub Date: 2026-02-12 DOI:10.1016/j.frl.2026.109600

Meriem Youssef , Salma Gallas , Christian Urom

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Abstract

Supply-side disruptions have risen to prominence as a critical factor determining macroeconomic conditions and financial market trajectories. This paper analyzes the dynamic connectedness between Supply-chain Bottlenecks Index (SBI) and cryptocurrency (Bitcoin, Ethereum and Cardano) prices using a quantile-on-quantile connectedness approach for the period from December 31, 2017 to September 30, 2025. We constructed a global SBI using Principal Component Analysis (PCA) to capture global supply-chain bottlenecks while we use the SBI for China, the USA and Euro-zone as proxies for Asia, America and Europe. Results show dynamic and state-dependent connectedness between global and regional SBI and cryptocurrencies that intensifies at the joint and cross extreme quantile combinations. Connectedness is strongest between SBI for China and Ethereum at the joint extreme upper quantile pair. At upper and lower quantile pairs, SBI is largely a net transmitter of shocks while at mid quantile combinations, cryptocurrencies dominate the spillover of risks with important implications for supply chain, cryptocurrency portfolio and systemic risk management.

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供应链中断期间的加密货币价格动态：分位数对分位数连通性方法

供给方面的中断已成为决定宏观经济状况和金融市场轨迹的关键因素。本文分析了供应链瓶颈指数（SBI）与加密货币（比特币、以太坊和卡尔达诺）价格之间的动态连通性，使用了2017年12月31日至2025年9月30日期间的分位数对分位数连通性方法。我们使用主成分分析（PCA）构建了一个全球SBI来捕捉全球供应链瓶颈，同时我们使用中国、美国和欧元区的SBI作为亚洲、美洲和欧洲的代理。结果显示，全球和区域SBI与加密货币之间的动态和依赖状态的连通性在联合和交叉极端分位数组合中得到加强。中国SBI和以太坊之间的连通性在联合极端上分位数对上最强。在上分位数和下分位数组合中，SBI在很大程度上是冲击的净传递者，而在中分位数组合中，加密货币主导了风险的溢出，对供应链、加密货币投资组合和系统性风险管理具有重要影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance