News-driven inflation expectations and information rigidities

• 成果类型: Article
• 署名作者: Larsen, Vegard H.; Thorsrud, Leif Anders; Zhulanova, Julia
• 署名单位: Norges Bank; BI Norwegian Business School; BI Norwegian Business School; BI Norwegian Business School
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.03.004
• 发表日期: 2021
• 关键词: expectations; media; Machine Learning; inflation

摘要

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. (C) 2020 The Authors. Published by Elsevier B.V.