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Commodity price changes and the predictability of economic policy uncertainty

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Listed:
  • Wang, Yudong
  • Zhang, Bing
  • Diao, Xundi
  • Wu, Chongfeng

Abstract

In this study, we forecast economic policy uncertainty (EPU) using input on 23 commodity price changes. We reveal the significant predictability of EPU using three forecast combinations. This indicates that commodity price changes can be taken as a leading indicator of EPU.

Suggested Citation

  • Wang, Yudong & Zhang, Bing & Diao, Xundi & Wu, Chongfeng, 2015. "Commodity price changes and the predictability of economic policy uncertainty," Economics Letters, Elsevier, vol. 127(C), pages 39-42.
    • Handle: RePEc:eee:ecolet:v:127:y:2015:i:c:p:39-42
    DOI: 10.1016/j.econlet.2014.12.030
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    References listed on IDEAS

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    More about this item

    Keywords

    Commodity prices; Economic policy uncertainty; Forecast combination;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory

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