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Predicting US bank failures with internet search volume data

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  • Florian Schaffner

Abstract

This study investigates how well weekly Google search volumes track and predict bank failures in the United States between 2007 and 2012, contributing to the expanding literature that exploits internet data for the prediction of events. Different duration models with time-varying covariates are estimated. Higher Google search volumes go hand in hand with higher failure rates, and the coefficients for the Google volume growth index are highly significant. However, Google’s predictive power quickly dissipates for future failure rates.

Suggested Citation

  • Florian Schaffner, 2015. "Predicting US bank failures with internet search volume data," ECON - Working Papers 214, Department of Economics - University of Zurich.
    • Handle: RePEc:zur:econwp:214
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    File URL: https://www.zora.uzh.ch/id/eprint/118268/1/econwp214.pdf
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    References listed on IDEAS

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    Cited by:

    1. Arnold, Ivo J.M., 2020. "Internet search volumes of UK banks during the crisis: The role of banking structure and business model," Global Finance Journal, Elsevier, vol. 45(C).

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    More about this item

    Keywords

    Bank failures; internet; financial crisis; Google; survival analysis;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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