dc.contributor
Universitat Politècnica de Catalunya. Departament de Teoria del Senyal i Comunicacions
dc.contributor
Universitat Politècnica de Catalunya. VEU - Grup de Tractament de la Parla
dc.contributor.author
Claveria González, Oscar
dc.contributor.author
Monte Moreno, Enrique
dc.contributor.author
Torra Porras, Salvador
dc.date.issued
2016-08-03
dc.identifier
Claveria, O.; Monte, E.; Torra Porras, S. A self-organizing map analysis of survey-based agents expectations before impending shocks for model selection: the case of the 2008 financial crisis. "Journal of international economics", 3 Agost 2016, vol. 146, p. 40-58.
dc.identifier
https://hdl.handle.net/2117/328921
dc.identifier
10.1016/j.inteco.2015.11.003
dc.description.abstract
© <2015>. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.description.abstract
This paper examines the role of clustering techniques to assist in the selection of the most indicated method to model survey-based expectations. First, relying on a Self-Organizing Map (SOM) analysis and using the financial crisis of 2008 as a benchmark, we distinguish between countries that show a progressive anticipation of the crisis, and countries where sudden changes in expectations occur. We then generate predictions of survey indicators, which are usually used as explanatory variables in econometric models. We compare the forecasting performance of a multi-layer perceptron (MLP) Artificial Neural Network (ANN) model to that of three different time series models. By combining both types of analysis, we find that ANN models outperform time series models in countries in which the evolution of expectations shows brisk changes before impending shocks. Conversely, in countries where expectations follow a smooth transition towards recession, autoregressive integrated moving-average (ARIMA) models outperform neural networks.
dc.description.abstract
Peer Reviewed
dc.description.abstract
Postprint (published version)
dc.format
application/pdf
dc.relation
https://www.sciencedirect.com/science/article/abs/pii/S2110701715000694
dc.rights
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.rights
Attribution-NonCommercial-NoDerivs 3.0 Spain
dc.subject
Àrees temàtiques de la UPC::Economia i organització d'empreses::Macroeconomia
dc.subject
Àrees temàtiques de la UPC::Matemàtiques i estadística
dc.subject
Macroeconomics
dc.subject
Cluster analysis
dc.subject
Business surveys indicators
dc.subject
Self-organizing maps
dc.subject
Artificial neural networks
dc.subject
Time series models
dc.subject
Anàlisi de conglomerats
dc.title
A self-organizing map analysis of survey-based agents expectations before impending shocks for model selection: the case of the 2008 financial crisis
