 Bank deposits and Google searches in a crisis economy: Bayesian non‐linear evidence for Greece (2009–2015)Konstantinos Konstantakis, Despoina Paraskeuopoulou, Panayotis Michaelides and Mike Tsionas International Journal of Finance & Economics, 2021, vol. 26, issue 4, 5408-5424 Abstract: Due to a variety of reasons, the Greek economy faced a severe crisis being a member of EMU. Nonetheless, the country's banking system experienced a dramatic outflow of deposits, in the period 2009–2015. The present paper attempts to shed light on the possibility of forecasting bank deposits, based on the keyword “Grexit” of Google searches. In this context, apart from standard forecasting models like AR (p) and ARDL (p, q) we estimate a novel Neural Network ARDL (p, q, G) model and its respective Bayesian modification. We show that extending standard autoregressive models with the information provided by Internet Searches leads to significant improvement in the forecasting accuracy of the Bank Deposits, compared with other standard models. Furthermore, the forecasting performance of the models, which are extended with Google searches, is shown to be better than models containing only the well‐known indicators. Our findings are robust and econometrically sound. Date: 2021 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5408-5424 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
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