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

•The cross-quantilogram method is applied to explore the asymmetric and time-varying effects of trade policy uncertainty (TPU) on insurance premiums in China.•The impacts of TPU on the insurance market are different across different quantiles of TPU.•In the short run, TPU negatively impacts the insurance market, while insurance markets positively react to the shocks of TPU in the long run.•Insurers should adjust their actions over time when they encounter serious impacts from trade and economics. 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.