Using DCC-GARCH model, this paper finds that, since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of ‘very weak correlation—negative correlation—enhanced negative correlation—weakening negative correlation’, but the existing research does not provide enough reasonable explanation. Therefore, this paper proposed a ‘key mediating factors’ hypothesis which points out that whether there is a common ‘key mediating factor’ is important source of the time-varying relationship between two assets. We argue that market trend and financial market sentiment undertook the role of ‘key mediating factor’ during the period of the 2002 to the financial crisis and financial crisis to 2013, while other periods lack the ‘key mediating factors’.

The Perceived Macroeconomic Uncertainty (PMU) is seen as unpredictable volatility about the future economic development at aggregate level. While prior research explains how uncertainty (in general) influences international trade flows, research on the role of PMU in international trade flows is scarce. This article attempts to address this lack of understanding. Utilizing the gravity model and multicountry level data, our results show that: (1) the level of PMU in both importing countries and exporting countries has a significant negative impact on exports, but the effect of PMU of importing countries is larger than that of PMU of exporting countries; (2) PMU in importing countries has a trade diversion effect, suggesting that exporters are more willing to export to countries with relatively lower level of PMU; (3) the negative effects of PMU on trade have declined after the 2008 Great Financial Crisis, which may be related to the relative stability of the PMU index since the Great Financial Crisis and the increased concern of traders about other factors, such as trade policy uncertainty and Sino-US economic conflicts. Our research enriches prior findings that examine the effects of uncertainty on trade flows and carries important policy implications.