Abstract: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 the impacts were negative during 2009-2012, implying that the efficiency of gold as a safe haven is not stable and depends on economic conditions. There are significant country differences regarding the impact of EPU on the price of gold, particularly during the international financial crisis, European debt crisis and Trump election. During the international financial crisis, EPU exerts a positive impact on gold prices in most countries. During the European debt crisis, the impact of EPU on gold prices is mainly negative in the examined countries. While during the Trump election, the impact displays positive and negative alternating in most countries.

Key words: economic policy uncertainty; gold price; time-varying effects; TVP-SVAR-SV model