Amb motiu del tancament d'estiu, la validació de documents es reprendrà a partir del 28 d'agost de 2026. Disculpeu les molèsties.
Con motivo del cierre de verano, la validación de documentos se reanudará a partir del 28 de agosto de 2026. Disculpad las molestias
Due to the summer closure, document validation will resume starting August 28, 2026. We apologize for any inconvenience.

Files

659294.pdf (1.56 MB)

Document type

Article

Version

Accepted version

Publication date

2015-12-02

Publication license

cc-by-nc-nd (c) Elsevier, 2015
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/97324

A self-organizing map analysis of survey-based agents' expectations before impending shocks for model selection: The case of the 2008 financial crisis

Journal Title

Authors

Director/Tutor

Journal ISSN

Volume Title

Related resource

http://dx.doi.org/10.1016/j.inteco.2015.11.003

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.

Subject

Previsió econòmica, Desenvolupament econòmic, Xarxes neuronals (Informàtica), Anàlisi funcional no lineal

Subject (English)

Economic forecasting, Economic development, Neural networks (Computer science), Nonlinear functional analysis

Citation

Collections

Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Citation

CLAVERÍA GONZÁLEZ, Óscar, MONTE MORENO, Enric and TORRA PORRAS, Salvador. A self-organizing map analysis of survey-based agents' expectations before impending shocks for model selection: The case of the 2008 financial crisis. International Economics. 2016. Vol. 146, num. 40-58. ISSN 2110-7017. [consulted: 12 of August of 2026]. Available at: https://hdl.handle.net/2445/97324

Export metadata

JSON - METS

Share record