Predicting US bank failures with internet search volume data
Florian Schaffner
No 214, ECON - Working Papers from Department of Economics - University of Zurich
Abstract:
This study investigates how well weekly Google search volumes track and predict bank failures in the United States between 2007 and 2012, contributing to the expanding literature that exploits internet data for the prediction of events. Different duration models with time-varying covariates are estimated. Higher Google search volumes go hand in hand with higher failure rates, and the coefficients for the Google volume growth index are highly significant. However, Google’s predictive power quickly dissipates for future failure rates.
Keywords: Bank failures; internet; financial crisis; Google; survival analysis (search for similar items in EconPapers)
JEL-codes: G17 G18 G19 G21 G28 (search for similar items in EconPapers)
Date: 2015-12
New Economics Papers: this item is included in nep-cfn, nep-for and nep-ict
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Citations: View citations in EconPapers (1)
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Persistent link: https://EconPapers.repec.org/RePEc:zur:econwp:214
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