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Commodity futures returns and policy uncertainty

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  • Bannigidadmath, Deepa
  • Narayan, Paresh Kumar

Abstract

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.

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  • Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Commodity futures returns and policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 364-383.
    • Handle: RePEc:eee:reveco:v:72:y:2021:i:c:p:364-383
    DOI: 10.1016/j.iref.2020.11.009
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