Rights statement: 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. 2021; 26: 5408– 5424. 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.
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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Bank deposits and Google searches in a crisis economy
T2 - Bayesian non-linear evidence for Greece (2009–2015)
AU - Konstantakis, Konstantinos N.
AU - Paraskeuopoulou, Despoina
AU - Michaelides, Panayotis G.
AU - Tsionas, Efthymios G.
N1 - 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. 2021; 26: 5408– 5424. 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.
PY - 2021/10/31
Y1 - 2021/10/31
N2 - 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.
AB - 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.
KW - crisis
KW - deposits
KW - forecasting
KW - Google trends
KW - Greece
KW - Grexit
U2 - 10.1002/ijfe.2072
DO - 10.1002/ijfe.2072
M3 - Journal article
AN - SCOPUS:85089524407
VL - 26
SP - 5408
EP - 5424
JO - International Journal of Finance and Economics
JF - International Journal of Finance and Economics
SN - 1076-9307
IS - 4
ER -