Economics at your fingertips  

Time-frequency coherence and quantile causality between trade policy uncertainty and rare earth prices: Evidence from China and the US

Liya Hau, Huiming Zhu, Yang Yu and Dongwei Yu

Resources Policy, 2022, vol. 75, issue C

Abstract: This study explores the dependence and causality between rare earth elements prices and trade policy uncertainty of both China and the US at different frequencies and market conditions. To this end, we employ the wavelet analysis and nonparametric causality-in-quantiles tests in the time-frequency domain. Our empirical evidence indicates that the dependence between rare earth elements and trade policy uncertainty is dynamic through time and frequencies. In the long-run (approximately 32–64 months), the correlation between rare earth elements and trade policy uncertainty of China is negative and it's positive in the US. While in the short- and medium-run (approximately 1–32 months), we can only find some weak evidence of association. Moreover, meaningful horizon-specific information can be revealed conditional on the market environment. In normal market conditions, the bi-directional causality-in-mean and in-variance relationship have been found for long time scales. While in short time scales, the significant causality can be found in extreme downside market scenarios. Our results can provide insightful implications for policymakers and investors to make decisions over different investment horizons and market conditions.

Keywords: Rare earth elements; Trade policy uncertainty; Wavelet coherence; Causality-in-quantiles (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.resourpol.2021.102529

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2022-07-02
Handle: RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005365