This article explores the extent to which economic policy uncertainty (EPU) influences selected macroeconomic variables in South Africa (SA).Methods: To this end, I construct a constant parameter vector autoregressive (VAR) model and a time-varying parameter (TVP) VAR model, where the latter model evaluates if the impact of uncertainty on the macroeconomic variables has changed over time. Setting:The models are estimated using quarterly South African data over the period 1990 to 2015, which include industrial production growth, consumer price inflation, 10-year government bond yield, real effective exchange rate, and economic policy uncertainty. Cholesky ordering of the variables are imposed to recover the orthogonal shocks. Results:The results of the constant parameter VAR model suggest that an unanticipated positive shock to the uncertainty index results in a decline in industrial production and real effective exchange rate, while fostering an increase in the general price level and 10-year government bond yield. Time-varying impulse responses show that the impact of uncertainty shocks on the selected macroeconomic variables has declined systematically over time. This is perhaps intuitive as the new unanticipated information is gradually picked up by media over time and incorporated into rational agents' decision-making. Conclusion:The transmission of a positive uncertainty shock to the real economy has timevarying implications.

In 1964 (revisited in 1993), the late well-known Nobel Laureate in Economics, Milton Friedman, proposed the "guitar string" theory or better known "plucking model" for recessions, according to which he postulated that deep recessions are followed by rapid recoveries, just as a guitar string bounces right back after it is pulled and then released (Friedman 1964, Friedman 1993). However, the economic performance in many economies since the Great Recession of 2008-2009 has not followed that proposition, but instead economies globally experienced slow economic recovery. Many economists and policymakers, following the seminal work of Bloom ( 2009), have highlighted heightened economic uncertainty as the main source of this macroeconomic instability and anemic recovery. 1 While, traditionally, the transmission of uncertainty shocks has been linked to real frictions (Bernanke 1983;Bloom 2009), recent studies have documented the crucial role of financial frictions in the transmission mechanism (

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