On Forecasting Recessions via Neural Nets
In this research, we employ artificial neural networks in conjunction with selected economic and financial variables to forecast recessions in Canada, France, Germany, Italy, Japan, UK, and USA. We model the relationship between selected economic and financial (indicator) variables and recessions 1-10 periods in future out-of-sample recursively. The out-of-sample forecasts from neural network models show that among the 10 models constructed from 7 indicator variables and their combinations that we investigate, the stock price index (index) and spread between bank rates and risk free rates (BRTB) are most likely candidate variables for possible forecasts of recessions 1-10 periods ahead for most countries.
Volume (Year): 3 (2008)
Issue (Month): 13 ()
|Contact details of provider:|| |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Prasad V. Bidarkota, 2000. "Asymmetries in the Conditional Mean Dynamics of Real GNP: Robust Evidence," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 153-157, February.
- Dorsey, Robert E & Mayer, Walter J, 1995.
"Genetic Algorithms for Estimation Problems with Multiple Optima, Nondifferentiability, and Other Irregular Features,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 13(1), pages 53-66, January.
- Michael B. Gordy, . "GA.M: A Matlab routine for function maximization using a Genetic Algorithm," Matlab codes ga, , revised 12 Feb 1996.
- Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
- Khurshid Kiani, 2005. "Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models," Computational Economics, Society for Computational Economics, vol. 26(1), pages 65-89, August.
- Allan D. Brunner, 1997.
"On The Dynamic Properties Of Asymmetric Models Of Real GNP,"
The Review of Economics and Statistics,
MIT Press, vol. 79(2), pages 321-352, May.
- Allan D. Brunner, 1994. "On the dynamic properties of asymmetric models of real GNP," International Finance Discussion Papers 489, Board of Governors of the Federal Reserve System (U.S.).
- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
- Garcia, Rene & Gencay, Ramazan, 2000.
"Pricing and hedging derivative securities with neural networks and a homogeneity hint,"
Journal of Econometrics,
Elsevier, vol. 94(1-2), pages 93-115.
- René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
- repec:fiu:wpaper:0308 is not listed on IDEAS
- Hutchinson, James M & Lo, Andrew W & Poggio, Tomaso, 1994.
" A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks,"
Journal of Finance,
American Finance Association, vol. 49(3), pages 851-89, July.
- James M. Hutchinson & Andrew W. Lo & Tomaso Poggio, 1994. "A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks," NBER Working Papers 4718, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-06c00010. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.