Bank deposits and Google searches in a crisis economy:Bayesian non-linear evidence for Greece (2009–2015)

Konstantakis, Konstantinos N. and Paraskeuopoulou, Despoina and Michaelides, Panayotis G. and Tsionas, Efthymios G. (2020) Bank deposits and Google searches in a crisis economy:Bayesian non-linear evidence for Greece (2009–2015). International Journal of Finance and Economics. ISSN 1076-9307

[img]
Text (Bank Deposits and Google Searches)
Bank_Deposits_and_Google_Searches.pdf - Accepted Version
Restricted to Repository staff only until 19 August 2022.
Available under License Creative Commons Attribution-NonCommercial.

Download (646kB)

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.

Item Type:
Journal Article
Journal or Publication Title:
International Journal of Finance and Economics
Additional Information:
This is the peer reviewed version of the following article: Konstantakis, KN, Paraskeuopoulou, D, Michaelides, PG, Tsionas, EG. Bank deposits and Google searches in a crisis economy: Bayesian non‐linear evidence for Greece (2009–2015). Int J Fin Econ. 2020; 1– 17. https://doi.org/10.1002/ijfe.2072 which has been published in final form at https://onlinelibrary.wiley.com/doi/abs/10.1002/ijfe.2072 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2002
Subjects:
ID Code:
150578
Deposited By:
Deposited On:
08 Jan 2021 12:05
Refereed?:
Yes
Published?:
Published
Last Modified:
26 Jan 2021 12:47