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"I do think public safety is the first priority for any city. ... I think it sends the wrong signal not to have a baseball game with people," Bush said at the National Review Institute Summit in Washington DC.
"I think we need to recognize that life doesn't just get paralyzed when these tragedies occur. You can't allow that to happen," he added.
The Orioles decided not to admit the public to Oriole Park at Camden Yards for the team's game on Wednesday against the Chicago White Sox "in order to minimize safety concerns" after the outbreak of violence in Baltimore.
Protests erupted in the city after Gray, a 25-year-old African American man, died on April 19 from a fatal injury to his neck while he was in police custody. Several police officers were injured and some businesses were also damaged during the violence
In his remarks on Thursday, Bush expressed his sympathies to the Gray family but stressed the importance of a non-violent reaction.
"First I think it's important to talk about on the fact that a young man died and that's a tragedy for this country. This is not just a statistic this is a person who died," he said. "There's a lot of people that lost their livelihood because of this and I think we need to be respectful of private property."