News-driven inflation expectations and information rigidities

Vegard Larsen, Leif Thorsrud and Julia Zhulanova
Additional contact information
Julia Zhulanova: Centre for Applied Macroeconomics and Commodity Prices, BI Norwegian Business School

No 2019/5, Working Paper from Norges Bank

Abstract: We investigate the role played by the media in the expectations formation process of households. Using a novel news-topic-based approach we show that news types the media choose to report on, e.g., fiscal policy, health, and politics, are good predictors of households' stated inflation expectations. In turn, in a noisy information model setting, augmented with a simple media channel, we document that the underlying time series properties of relevant news topics explain the time-varying information rigidity among households. As such, we not only provide a novel estimate showing the degree to which information rigidities among households varies across time, but also provide, using a large news corpus and machine learning algorithms, robust and new evidence highlighting the role of the media for understanding inflation expectations and information rigidities.

Keywords: expectations; media; machine learning; inflation (search for similar items in EconPapers)
JEL-codes: C11 C53 D83 D84 E13 E31 E37 (search for similar items in EconPapers)
Pages: 61 pages
Date: 2019-02-20
New Economics Papers: this item is included in nep-big, nep-cmp, nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://www.norges-bank.no/en/Published/Papers/Working-Papers/2019/52019/

Related works:
Journal Article: News-driven inflation expectations and information rigidities (2021)
Working Paper: News-driven inflation expectations and information rigidities (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2019_05

Access Statistics for this paper

More papers in Working Paper from Norges Bank Contact information at EDIRC.
Bibliographic data for series maintained by ().