On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy
使用时变系数VAR模型，发现经济政策不确定性对美国实际GDP的影响在不同时期（大通胀、大缓和、大衰退）存在差异，大衰退期间冲击更持久，解释了复苏缓慢的原因。
Abstract We study the impact of Economic Policy Uncertainty (EPU) on the US Economy by using a VAR with time‐varying coefficients. The coefficients are allowed to evolve gradually over time which allows us to discover structural changes without imposing them a priori . We find three different regimes, which match the three major periods of the US economy, namely the Great Inflation, the Great Moderation and the Great Recession. The initial impact on real GDP ranges between −0.2% for the Great Inflation and Great Recession and −0.15% for the Great Moderation. In addition, the adverse effects of EPU are more persistent during the Great Recession providing an explanation for the slow recovery. This regime dependence is unique for EPU as the macroeconomic consequences of Financial Uncertainty turn out to be rather time invariant.