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.

中文翻译：

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经济政策不确定性对美国经济的时变效应

我们通过使用具有时变系数的VAR研究经济政策不确定性（EPU）对美国经济的影响。允许系数随时间逐渐发展，这使我们能够发现结构变化而无需先验施加。我们发现了三种不同的制度，它们与美国经济的三个主要时期相匹配，即大通货膨胀，大缓和和大衰退。对实际GDP的初始影响范围介于通货膨胀和经济大衰退的-0.2％和经济缓和的-0.15％之间。此外，在大萧条期间，EPU的不利影响更加持久，这为缓慢复苏提供了解释。这种制度上的依存关系对于EPU而言是独一无二的，因为金融不确定性的宏观经济后果证明是时间不变的。