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News-driven inflation expectations and information rigidities

Larsen, Vegard H.; Thorsrud, Leif Anders; Zhulanova, Julia
Working paper
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URI
http://hdl.handle.net/11250/2598089
Date
2019-04-23
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [104]
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 inflation 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 inflation expectations and information rigidities.
Publisher
BI Norwegian Business School
Series
CAMP Working Paper Series;03/2019

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