Dynamic response pattern of gold prices to economic policy uncertainty

Based on a time-varying parameter structural vector autoregression with stochastic volatility (TVP-SVAR-SV) model, the time-varying effects and country differences of economic policy uncertainty (EPU) on gold prices from August 2006 to December 2017 were examined. The results show that the effects of global economic policy uncertainty (GEPU) shock on gold prices change over time. The changes were positive during 2006−2008 and 2013−2017, while...