Short-term prediction of bank deposit flows: do textual features matter?
Apostolos G. Katsafados,
Dimitris Anastasiou
Abstract:The purpose of this study is twofold. First, to construct short-term prediction models for bank deposit flows in the Euro area peripheral countries, employing machine learning techniques. Second, to examine whether textual features enhance the predictive ability of our models. We find that Random Forest models including both textual features and macroeconomic variables outperform those that include only macro factors or textual features. Monetary policy authorities or macroprudential regulators could adopt our… Show more
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