Prüser, Jan; Schlösser, Alexander - In: Oxford Bulletin of Economics and Statistics 82 (2020) 5, pp. 1217-1237
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,...