Oil price forecastability and economic uncertainty

•Information on economic policy uncertainty matters in predicting oil price changes.•Nonlinearities are revealed in their relationship via a TVP-VAR approach.•We compare the forecastability of VAR models vs. benchmark AR & RW models.•The results indicate that TVP-VAR models outperform other alternatives.

Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1-2014:2.