An RNN Model for Exploring the Macroeconomic and Financial Indicators in the Context of the COVID-19 Pandemic

Ray R. Hashemi, Omid M. Ardakani, Jeffrey A. Young, Azita G. Baharami

Research output: Contribution to book or proceedingConference articlepeer-review

Abstract

A recurrent neural network (RNN) was developed to explore the impact of the COVID-19 pandemic on the stochastic macroeconomic and financial indicators of the yield spread (Spread), crude oil prices (Oil), recession (USrec), and two stock market indices of the volatility index (VIX) and Wilshire 5000 total market index (Wil5000). A time-series dataset was obtained from the Federal Reserve Bank of St. Louis (for Jan/2/1990 - Feb/2/2022). For each indicator, separately, the dataset was partitioned into 'before' and 'during' the pandemic using the dataset's breakpoint (transition block) established based on the indicator behavior. The results revealed: (a) VIX was explained by Wil5000, Spread, Oil, and USrec more accurately before the pandemic, indicating that other observed and unobserved factors arising from the COVID-19 pandemic would affect the VIX more than the macroeconomic and financial indicators, (b) USrec is predicted less accurately compared to other indicators during the pandemic, which shows the sensitivity of this indicator to health and geopolitical challenges, and (c) effects of the indicators on the bond market diminished during the pandemic. The sensitivity analysis suggests that the results remain highly robust to the changes in the number of records chosen for the different test sets.

Original languageEnglish
Title of host publicationProceedings - 2022 International Conference on Computational Science and Computational Intelligence, CSCI 2022
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages652-657
Number of pages6
ISBN (Electronic)9798350320282
DOIs
StatePublished - 2022
Event2022 International Conference on Computational Science and Computational Intelligence, CSCI 2022 - Las Vegas, United States
Duration: Dec 14 2022Dec 16 2022

Publication series

NameProceedings - 2022 International Conference on Computational Science and Computational Intelligence, CSCI 2022

Conference

Conference2022 International Conference on Computational Science and Computational Intelligence, CSCI 2022
Country/TerritoryUnited States
CityLas Vegas
Period12/14/2212/16/22

Scopus Subject Areas

  • Artificial Intelligence
  • Computer Science Applications
  • Hardware and Architecture
  • Information Systems
  • Control and Optimization

Keywords

  • COVID-19 Impact on macroeconomic and financial indicators
  • Recurrent Neural Network
  • Robustness Analysis
  • Stochastic modeling
  • Transition boundary

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