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News-driven inflation expectations and information rigidities

Vegard Larsen, Leif Thorsrud and Julia Zhulanova

Journal of Monetary Economics, 2021, vol. 117, issue C, 507-520

Abstract: Using a large news corpus and machine learning algorithms we investigate the role played by the media in the expectations formation process of households, and conclude that the news topics media report on are good predictors of both inflation and inflation expectations. In turn, in a noisy information model, augmented with a simple media channel, we document that the time series features of relevant topics help explain time-varying information rigidity among households. As such, we provide a novel estimate of state-dependent information rigidities and present new evidence highlighting the role of the media in understanding inflation expectations and information rigidities.

Keywords: Expectations; Media; Machine learning; Inflation (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (45)

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Working Paper: News-driven inflation expectations and information rigidities (2019) Downloads
Working Paper: News-driven inflation expectations and information rigidities (2019) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:117:y:2021:i:c:p:507-520

DOI: 10.1016/j.jmoneco.2020.03.004

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