Media Sentiment and Oil Price Expectations
研究了1998至2020年间媒体情绪对油价预期、预测误差和预测者分歧的影响，发现正面情绪降低预期油价，负面情绪则相反，且传统媒体影响大于社交媒体。
This paper sheds new light on oil market dynamics by investigating the role of media-based sentiments in expectation building from several perspectives. We adopt both survey- and market-based expectation measures and analyze the effects of different sentiment indicators on (i) expectations, (ii) forecast errors, and (iii) disagreement among forecasters using data from 1998 to 2020, while also taking into account different media sources and nonlinear effects. We find that media sentiments affect expectations and survey-based uncertainty measures that extend beyond information embedded in past prices, with positive (negative) sentiment resulting in lower (higher) expected oil prices. Media coverage can also affect disagreement and tends to increase forecast errors. The adjustment of expectations to sentiment news tends to be stronger for negative news and conventional news sources compared to social media.