Quantile‐Dependent Volatility Interconnectedness Between Commodity Markets, Oil Price Uncertainty, and Global Supply Chain Pressure
AUSTRALIAN ECONOMIC PAPERS, 2026 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Basım Tarihi: 2026
- Doi Numarası: 10.1111/1467-8454.70030
- Dergi Adı: AUSTRALIAN ECONOMIC PAPERS
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, Periodicals Index Online, ABI/INFORM, EconLit, Public Affairs Index, Business Source Ultimate (EBSCO)
- Bilecik Şeyh Edebali Üniversitesi Adresli: Evet
Özet
This study examines volatility interconnectedness among selected agricultural commodities and precious/industrial metals,together with oil price uncertainty and global supply chain pressure, over the period January 1998 to June 2024 using a Quantile-on- Quantile connectedness framework. The approach captures distribution-sensitive and state-dependent transmission patternsacross normal and extreme market conditions beyond conventional mean-based methods. The results show that volatility inter-connectedness is pervasive but highly heterogeneous across quantiles, with stronger and more uneven transmission patternsunder extreme market states. Within this unified commodity–uncertainty system, oil price uncertainty, and global supply chainpressure are deeply embedded in the volatility network but predominantly occupy receiver-type, macro-indicative positions,while directional roles across commodity markets remain state dependent and time varying. Further analysis indicates thatmajor global stress episodes, including the 2007–2008 food price crisis, COVID-19, and the post-Russia–Ukraine conflict period,are associated with denser and more synchronized volatility transmission structures.