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Title: Assessment of the effect of the financial crisis on agents' expectations through symbolic regression
Author: Clavería González, Óscar
Monte Moreno, Enric
Torra Porras, Salvador
Keywords: Anàlisi de regressió
Programació (Matemàtica)
Previsió econòmica
Regression analysis
Mathematical programming
Economic forecasting
Issue Date: Feb-2017
Publisher: Taylor and Francis
Abstract: Agents' perceptions on the state of the economy can be affected during economic crises. Tendency surveys are the main source of agents' expectations. The main objective of this study is to assess the impact of the 2008 financial crisis on agents' expectations. With this aim, we evaluate the capacity of survey-based expectations to anticipate economic growth in the United States, Japan, Germany and the United Kingdom. We propose a symbolic regression (SR) via genetic programming approach to derive mathematical functional forms that link survey-based expectations to GDP growth. By combining the main SR-generated indicators, we generate estimates of the evolution of GDP. Finally, we analyse the effect of the crisis on the formation of expectations, and we find an improvement in the capacity of agents' expectations to anticipate economic growth after the crisis in all countries except Germany.
Note: Versió postprint del document publicat a:
It is part of: Applied Economics Letters, 2017, vol. 24, num. 9, p. 648-652
Related resource:
ISSN: 1350-4851
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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