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The relationship between commodity prices and world trade uncertainty

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  • Karabulut, Gokhan
  • Bilgin, Mehmet Huseyin
  • Doker, Asli Cansin

Abstract

This paper investigates the relationship between commodity prices and world trade uncertainty for the period of 1996Q1–2019Q3. World Trade Uncertainty Index (WTU), developed by Ahir et. al. (2018), and Commodity Price Index for the United States of America (USA) have been used in the analyses. For analyzing this relationship Continuous Wavelet Transform (CWT), Wavelet Coherency (WTC), and Wavelet Power Spectrum (WPS) techniques have been applied in the paper. Results indicate that there are strong noises for WTU between 2009–2010 and 2015–2016; for CPI between 2008–2009 and 2015–2016 and between 2008–2009 and 2017–2018 with a positively correlated and significant causal prediction.

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  • Karabulut, Gokhan & Bilgin, Mehmet Huseyin & Doker, Asli Cansin, 2020. "The relationship between commodity prices and world trade uncertainty," Economic Analysis and Policy, Elsevier, vol. 66(C), pages 276-281.
    • Handle: RePEc:eee:ecanpo:v:66:y:2020:i:c:p:276-281
    DOI: 10.1016/j.eap.2020.05.001
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    7. Chu, Meifen, 2021. "Bitcoin and traditional currencies during the Covid-19 pandemic period," MPRA Paper 110117, University Library of Munich, Germany.
    8. Meifen Chu, 2020. "Wavelet Analysis of the Euro and its Co-Movement with Four Exchange Rates," Eurasian Journal of Social Sciences, Eurasian Publications, vol. 8(3), pages 123-133.
    9. Zhang, Zitao & Qin, Yun, 2022. "Study on the nonlinear interactions among the international oil price, the RMB exchange rate and China's gold price," Resources Policy, Elsevier, vol. 77(C).
    10. Xue Gong & Weiguo Zhang & Weijun Xu & Zhe Li, 2022. "Uncertainty index and stock volatility prediction: evidence from international markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-44, December.
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    15. Carlos Abreo & Ricardo Bustillo & Carlos Rodriguez, 2022. "An empirical analysis of Colombia's trade liberalization process and its effect on the equilibrium of its structural trade deficit," Review of Development Economics, Wiley Blackwell, vol. 26(2), pages 736-755, May.
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    More about this item

    Keywords

    Commodity price; World trade uncertainty; Wavelet analysis; The USA economy;
    All these keywords.

    JEL classification:

    • F1 - International Economics - - Trade
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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