Narrative Monetary Policy Surprises and the Media

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 su...

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Bibliographic Details
Published in:Journal of money, credit and banking credit and banking, 2022-08, Vol.54 (5), p.1525-1549
Main Authors: TER ELLEN, SASKIA, LARSEN, VEGARD H., THORSRUD, LEIF ANDERS
Format: Article
Language:English
Subjects:
Central banks
Communication
factor identification
Interest rates
Mass media
Media coverage
Monetary policy
Narratives
textual data
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Summary: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.
ISSN:0022-2879
1538-4616
DOI:10.1111/jmcb.12868