We develop a theoretical model to compare forecast uncertainty estimated from time-series models to those available from survey density forecasts. The sum of the average variance of individual densities and the disagreement is shown to approximate the predictive uncertainty from well-specified...

An agent faces a decision under uncertainty with the following structure. There is a set A of “acts”; each will yield an unknown real-valued payoff. Linear combinations of acts are feasible; thus, A is a vector space. But there is no pre-specified set of states of nature. Instead, there is a...

This research investigates the effect of the US economic policy uncertainty (EPU) on the price dynamics of agricultural, energy and metal over the period 1985:01–2017:12 using wavelet coherence analysis. The results demonstrate that the price movement among the commodities and EPU indices...