Economic policy uncertainty and bankruptcy filings

International Review of Financial Analysis. 2022. Vol. 82. Article 102174.

Fedorova E., Ledyaeva S., Drogovoz P., Nevredinov A.

Applying machine learning techniques to predict bankruptcy in the sample of French, Italian, Russian and
Spanish firms, the study demonstrates that the inclusion of economic policy uncertainty (EPU) indicator into
bankruptcy prediction models notably increases their accuracy. This effect is more pronounced when we use
novel Twitter-based version of EPU index instead of original news-based index. We further compare the prediction
accuracy of machine learning techniques and conclude that stacking ensemble method outperforms
(though marginally) machine learning methods, which are more commonly used for bankruptcy prediction, such
as single classifiers and bagging.

Keywords: банкротство, машинное обучение, Economic policy uncertainty, bankruptcy, Machine learning methods, EPU