Abstract

© 2020 Elsevier Inc. This paper investigates whether economic policy uncertainty is predictable using three sets of commodity futures market variables, namely the equal-weighted average of futures excess returns, the excess returns on a portfolio of going long in backwardated commodities, and the excess returns on a portfolio of going short in contango commodities as predictors. We find significant evidence of both in-sample and out-of-sample predictability. Combination forecasts also reveal strong evidence of predictability. Our findings remain unchanged following several robustness tests.

RAS ID

32515

Document Type

Journal Article

Date of Publication

3-31-2021

Volume

72

School

School of Business and Law

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Publisher

Elsevier

Comments

This is an author's accepted manuscript of: Bannigidadmath, D., & Narayan, P. K. (2021). Commodity futures returns and policy uncertainty. International Review of Economics & Finance, 72, 364-383. https://doi.org/10.1016/j.iref.2020.11.009

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Link to publisher version (DOI)

10.1016/j.iref.2020.11.009