Economic Recession Prediction Using Deep Neural Network

• Tác giả: Kun Li, Hongfu Liu, Zihao Wang, Steve Q Xia
• Ngôn ngữ: eng
• Ký hiệu phân loại: 006.32 Neural nets (Neural networks)
• Thông tin xuất bản: 2021
• Bộ sưu tập: Metadata
• ID: 167473

Tóm tắt

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 of economic recessions in the U.S. We adopt commonly-available macro and market-condition features to compare the ability of different machine learning models to generate good predictions both in-sample and out-of-sample. The proposed model is flexible and dynamic when both predictive variables and model coefficients vary over time. It provided good out-of-sample predictions for the past two recessions and early warning about the COVID-19 recession.