Commodity price changes and the predictability of economic policy uncertainty

•This is the first paper to reveal the predictability of economic policy uncertainty.•We use commodity price changes to detect the predictability.•The forecast combinations with time-varying parameter models are employed.

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.