Unemployment has a direct impact on public finances and yields serious sociopolitical implications. This study aims to directionally forecast the euro-area unemployment rate. To the best of our knowledge, no other studies forecast the euro-area unemployment rate as a whole. The data set includes the unemployment rate and 36 explanatory variables, as suggested by theory and the relevant literature, spanning the period from 1998:4 to 2019:9 in monthly frequency. These variables are fed to three machine learning methodologies: decision trees (DT), random forests (RF), and support vector machines (SVM), while an elastic-net logistic regression (logit) model is used from the area of econometrics. The results show that the optimal RF model outperforms the other models by reaching a full-dataset forecasting accuracy of 88.5% and 85.4% on the out-of-sample.
The issue of whether or not money affects real economic activity (money neutrality) has attracted significant empirical attention over the last five decades. If money is neutral even in the short-run, then monetary policy is ineffective and its role limited. If money matters, it will be able to forecast real economic activity. In this study, we test the traditional simple sum monetary aggregates that are commonly used by central banks all over the world and also the theoretically correct Divisia monetary aggregates proposed by the Barnett Critique (Chrystal and MacDonald, 1994; Belongia and Ireland, 2014), both in three levels of aggregation: M1, M2, and M3. We use them to directionally forecast the Eurocoin index: A monthly index that measures the growth rate of the euro area GDP. The data span from January 2001 to June 2018. The forecasting methodology we employ is support vector machines (SVM) from the area of machine learning. The empirical results show that: (a) The Divisia monetary aggregates outperform the simple sum ones and (b) both monetary aggregates can directionally forecast the Eurocoin index reaching the highest accuracy of 82.05% providing evidence against money neutrality even in the short term.
The ability to accurately forecast the spot price of natural gas benefits stakeholders and is a valuable tool for all market participants in the competitive gas market. In this paper, we attempt to forecast the natural gas spot price 1, 3, 5, and 10 days ahead using machine learning methods: support vector machines (SVM), regression trees, linear regression, Gaussian process regression (GPR), and ensemble of trees. These models are trained with a set of 21 explanatory variables in a 5-fold cross-validation scheme with 90% of the dataset used for training and the remaining 10% used for testing the out-of-sample generalization ability. The results show that these machine learning methods all have different forecasting accuracy for every time frame when it comes to forecasting natural gas spot prices. However, the bagged trees (belonging to the ensemble of trees method) and the linear SVM models have superior forecasting performance compared to the rest of the models.
In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecutive windows and in the whole sample. Using these windows, we assessed the dynamic evolution in the structure and long-range trend behavior of the cryptocurrency market and evaluated possible changes in their behavior towards an efficient market. The innovation of this research is that we employ the Hurst exponent to identify the long-range properties, a tool that is seldomly used in analysis of this market. Furthermore, the use of both the R/S and the DFA analysis and the use of non-overlapping windows enhance our research’s novelty. Finally, we estimated the Hurst exponent for a wide sample of cryptocurrencies that covered more than 80% of the entire market for the last six years. The empirical results reveal that the returns follow a random walk making it difficult to accurately forecast them.
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