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Commodity price changes and the predictability of economic policy uncertainty

Yudong Wang, Bing Zhang, Xundi Diao and Chongfeng Wu

Economics Letters, 2015, vol. 127, issue C, 39-42

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.

Keywords: Commodity prices; Economic policy uncertainty; Forecast combination (search for similar items in EconPapers)
JEL-codes: C53 E44 E52 E60 E62 (search for similar items in EconPapers)
Date: 2015
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