Narrative Monetary Policy Surprises and the Media
提出一种从文本数据量化叙事的方法，识别央行沟通与媒体报道间的叙事差异作为“叙事性货币政策意外”，发现其对后续媒体报道有显著影响，并引发类似信息成分的宏观经济反应。
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.