The asymmetric and time-varying effects of trade policy uncertainty on the insurance premiums in China: Evidence from cross-quantilogram

Feiyun Xiang and Yimang Fu

Finance Research Letters, 2024, vol. 67, issue PB

Abstract: This study investigates the asymmetric and time-varying effects of trade policy uncertainty (TPU) on China's insurance premiums by applying the bivariate cross-quantilogram approach across different quantiles of TPU. The results suggested that the impacts of TPU on the insurance market are different across different quantiles of TPU, indicating an asymmetric effect. Besides, the effect of TPU on insurance markets is time-varying when considering different time horizons ranging from 1 to 24 months. In the short run, TPU negatively impacts the insurance market, while, in the long run, insurance premiums increase with the increase of TPU.

Keywords: Trade policy uncertainty; Insurance; Cross-quantilogram; Asymmetric; Time-varying (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:67:y:2024:i:pb:s154461232400970x

DOI: 10.1016/j.frl.2024.105940

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