Does Trade Uncertainty Shake Sustainability? Insights From the ESG ‐Based Sustainability Uncertainty Index ( ESGUI ) Using Wavelet Tools

This study examines the scale‐dependent association between trade policy uncertainty (TPU) and ESG‐based sustainability uncertainty (ESGUI) at the global, US, and China levels. Monthly data from November 2002 to June 2025 are analyzed with continuous, multiple, and partial wavelet methods, while the CASS Shipments Index captures freight activity. The results reveal heterogeneous conditional coherence rather than a uniform crisis effect: the global, US, and China panels display different timing and persistence patterns. In lag‐only models that control for global economic policy uncertainty, market volatility, geopolitical risk, freight activity, and crisis episodes, lagged TPU remains jointly associated with global ESGUI but not China ESGUI. Baltic Dry Index substitution and wavelet‐specification checks preserve the broad time–frequency structure. The evidence supports a conditional and temporally ordered association, not causal transmission. The study clarifies the distinct constructs, tests common‐shock explanations, and identifies institutionally heterogeneous sustainability‐risk horizons.