News-driven inflation expectations and information rigidities

Vegard Larsen, Leif Thorsrud and Julia Zhulanova ()

No No 03/2019, Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School

Abstract: We investigate the role played by the media in the expectations formation process of households. Using a news-topic-based approach we show that news types the media choose to report on, e.g., (Internet) technology, health, and politics, are good predictors of households' stated in ation 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 timevarying information rigidity among households. As such, we not only provide a novel estimate showing the degree to which information rigidities among households vary 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 infl ation expectations and information rigidities.

Keywords: Expectations; Media; Machine Learning; Inflation (search for similar items in EconPapers)
Pages: 76 pages
Date: 2019-04
New Economics Papers: this item is included in nep-big, nep-cmp and nep-ict
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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http://hdl.handle.net/11250/2598089

Related works:
Journal Article: News-driven inflation expectations and information rigidities (2021)
Working Paper: News-driven inflation expectations and information rigidities (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bny:wpaper:0075

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