Related papers: Understanding the Great Recession Using Machine Le…

Even at the beginning of 2008, the economic recession of 2008/09 was not being predicted. The failure to predict recessions is a persistent theme in economic forecasting. The Survey of Professional Forecasters (SPF) provides data on…

Historically, the economic recession often came abruptly and disastrously. For instance, during the 2008 financial crisis, the SP 500 fell 46 percent from October 2007 to March 2009. If we could detect the signals of the crisis earlier, we…

Using a comprehensive sample of 2,585 bankruptcies from 1990 to 2019, we benchmark the performance of various machine learning models in predicting financial distress of publicly traded U.S. firms. We find that gradient boosted trees…

Quantitative models are an important decision-making factor for policy makers and investors. Predicting an economic recession with high accuracy and reliability would be very beneficial for the society. This paper assesses machine learning…

We investigate the effectiveness of different machine learning methodologies in predicting economic cycles. We identify the deep learning methodology of Bi-LSTM with Autoencoder as the most accurate model to forecast the beginning and end…

This paper uses standard and penalized logistic regression models to predict the Great Recession and the Covid-19 recession in the US in real time. It examines the predictability of various macroeconomic and financial indicators with…

The literature on using yield curves to forecast recessions customarily uses 10-year--three-month Treasury yield spread without verification on the pair selection. This study investigates whether the predictive ability of spread can be…

In this study, we propose a novel approach of nowcasting and forecasting the macroeconomic status of a country using deep learning techniques. We focus particularly on the US economy but the methodology can be applied also to other…

In this paper, I explored how a range of regression and machine learning techniques can be applied to monthly U.S. unemployment data to produce timely forecasts. I compared seven models: Linear Regression, SGDRegressor, Random Forest,…

The growing instability of both global and domestic economic environments has increased the risk of financial distress at the household level. However, traditional econometric models often rely on delayed and aggregated data, limiting their…

Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…

Corporate insolvency can have a devastating effect on the economy. With an increasing number of companies making expansion overseas to capitalize on foreign resources, a multinational corporate bankruptcy can disrupt the world's financial…

Decision analytics commonly focuses on the text mining of financial news sources in order to provide managerial decision support and to predict stock market movements. Existing predictive frameworks almost exclusively apply traditional…

Based on evidence gathered from a newly built large macroeconomic data set for the UK, labeled UK-MD and comparable to similar datasets for the US and Canada, it seems the most promising avenue for forecasting during the pandemic is to…

Modern macroeconomic theories were unable to foresee the last Great Recession and could neither predict its prolonged duration nor the recovery rate. They are based on supply-demand equilibria that do not exist during recessionary shocks.…

Predicting the economy's short-term dynamics -- a vital input to economic agents' decision-making process -- often uses lagged indicators in linear models. This is typically sufficient during normal times but could prove inadequate during…

I develop Macroeconomic Random Forest (MRF), an algorithm adapting the canonical Machine Learning (ML) tool to flexibly model evolving parameters in a linear macro equation. Its main output, Generalized Time-Varying Parameters (GTVPs), is a…

We study the impacts of business cycles on machine learning (ML) predictions. Using the S&P 500 index, we find that ML models perform worse during most recessions, and the inclusion of recession history or the risk-free rate does not…

Macroeconomic theories of growth and wealth distribution have an outsized influence on national and international social and economic policies. Yet, due to a relative lack of reliable, system wide data, many such theories remain, at best,…

Context: Financial system stability is determined by the condition of the banking system. A bank failure can destroy the stability of the financial system, as banks are subject to systemic risk, affecting not only individual banks but also…