Based on data from March 2008 to June 2020, we use the TVP-SVAR-SV model to study the time-varying impact of economic policy uncertainty on Chinese commodity prices and analyze the effect of economic policy uncertainty on Chinese commodity prices in different periods. The results show that: Firstly, economic policy uncertainty has a significant time-varying impact effect on Chinese commodity prices, and the short-term effect is larger than the long-term effect. Secondly, economic policy uncertainty positively affects Chinese commodity prices during the Chinese stock market crash in June 2015; economic policy uncertainty negatively affects Chinese commodity prices during the global financial crisis in December 2008 and the COVID-19 outbreak in December 2019, and the negative effect is greater during the global financial crisis in December 2008.

Jun Qian. Time-varying effects of economic policy uncertainty on commodity prices in China: an empirical analysis based on the TVP-SVAR-SV model. Academic Journal of Business & Management (2023) Vol. 5, Issue 5: 133-140. https://doi.org/10.25236/AJBM.2023.050519.

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