Narrative Monetary Policy Surprises and the Media

Saskia Ter Ellen, Vegard Larsen and Leif Thorsrud

Journal of Money, Credit and Banking, 2022, vol. 54, issue 5, 1525-1549

Abstract: We propose a simple method to quantify narratives from textual data, and identify “narrative monetary policy surprises” as the difference in narrative focus in central bank communication accompanying interest rate meetings and economic media coverage prior to those meetings. Identifying narrative surprises, using Norwegian data, provides surprise measures that are uncorrelated with conventional monetary policy surprises, and, in contrast to such surprises, have a significant effect on subsequent media coverage. Narrative monetary policy surprises lead to macroeconomic responses similar to what recent monetary policy literature associates with the information component of monetary policy communication, highlighting media's role as information intermediaries.

Date: 2022
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Citations: View citations in EconPapers (16)

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https://doi.org/10.1111/jmcb.12868

Related works:
Working Paper: Narrative monetary policy surprises and the media (2019)
Working Paper: Narrative monetary policy surprises and the media (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:54:y:2022:i:5:p:1525-1549

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