C45 - Neural Networks and Related Topics
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A New Approach to Infer Changes in the Synchronization of Business Cycle Phases
This paper proposes a Markov-switching framework to endogenously identify the following: (1) regimes where economies synchronously enter recessionary and expansionary phases; and (2) regimes where economies are unsynchronized, essentially following independent business cycles. -
The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables
Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts. -
Forecasting GDP Growth Using Artificial Neural Networks
Financial and monetary variables have long been known to contain useful leading information regarding economic activity. In this paper, the authors wish to determine whether the forecasting performance of such variables can be improved using neural network models. The main findings are that, at the 1-quarter forecasting horizon, neural networks yield no significant forecast improvements. […]