Quantile‐Dependent Volatility Interconnectedness Between Commodity Markets, Oil Price Uncertainty, and Global Supply Chain Pressure

ABSTRACT

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.