The relationship between commodity prices and world trade uncertainty

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. (c) 2020 Economic Society of Australia, Queensland. Published by Elsevier B.V. All rights reserved.