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)
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Erciyes 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 patterns across normal and extreme market conditions beyond conventional mean-based methods. The results show that volatility interconnectedness is pervasive but highly heterogeneous across quantiles, with stronger and more uneven transmission patterns under extreme market states. Within this unified commodity-uncertainty system, oil price uncertainty, and global supply chain pressure 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 that major 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.