This paper examines the dynamic effect of economic policy uncertainty (EPU) on return and volatility in gold futures via the time varying parameter VAR (TVP-VAR) model with stochastic volatility applied to high-frequency data. We show that the impulse responses of gold returns and volatility to EPU shocks are time-varying and exhibit asymmetric patterns alternately over the sample period. While the effect of EPU on gold volatility is generally stronger in the intermediate to long horizons, the opposite is observed in the case of gold returns, underscoring the additive effects of uncertainty shocks on gold market volatility. The effect of EPU on gold volatility is found to be asymmetric with respect to the nature of shocks and stronger in times of crisis or major events, with such events implied by high EPU values associated with positive volatility jumps in the gold market. Our findings have significant implications for the valuation of gold derivatives and the effectiveness of gold as a potential hedge for financial investors and suggest that investors may risk mis-valuations and consequently, ineffective and costly hedges in response to uncertainty shocks if the time-variation in the response of gold return dynamics to uncertainty shocks is ignored.

本文通过将随机波动率应用于高频数据的时变参数VAR（TVP-VAR）模型，研究了经济政策不确定性（EPU）对黄金期货收益和波动率的动态影响。我们显示，金价收益率和波动率对EPU冲击的脉冲响应是随时间变化的，并且在采样期间交替显示出不对称的模式。尽管从中长期到长期以来，EPU对黄金波动的影响通常都比较强，但在黄金收益率方面却观察到相反的情况，这突显了不确定性冲击对黄金市场波动的累加效应。人们发现，EPU对黄金波动性的影响在冲击性质方面是不对称的，在危机或重大事件发生时更强，这些事件是由于EPU值过高而暗示的，而EPU值与黄金市场的正波动性有关。我们的发现对黄金衍生品的估值以及黄金作为金融投资者的潜在对冲的有效性具有重大影响，并建议投资者可能会误估值，因此，如果时间变化在一定范围内，对冲不确定性冲击的套期无效，成本高昂。黄金回报动态对不确定性冲击的反应被忽略了。