Impact of supply chain pressure on traditional energy and metal markets: A Wavelet-based Quantile-on-Quantile perspective
研究了1998年至2023年全球供应链压力和地缘政治风险对能源及金属市场的影响，发现供应链压力在极端情况下能预测商品回报，而地缘政治风险在短期和中期影响更显著。
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.