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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (45)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S030439322030026X
Full text for ScienceDirect subscribers only
Related works:
Working Paper: News-driven inflation expectations and information rigidities (2019) 
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:eee:moneco:v:117:y:2021:i:c:p:507-520
DOI: 10.1016/j.jmoneco.2020.03.004
Access Statistics for this article
Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser
More articles in Journal of Monetary Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().