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Bad News, Good News: Coverage and Response Asymmetries

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  • Luca Gambetti
  • Nicolò Maffei-Faccioli
  • Sarah Zoi

Abstract

We study the dynamic link between economic news coverage and the macroeconomy. We construct two measures of media coverage of bad and good unemployment figures based on three major US newspapers. Using nonlinear time series techniques, we document three facts: (i) there is no significant negativity bias in economic news coverage. Newspapers’ asymmetric responsiveness to positive and negative unemployment shocks is entirely explained by their asymmetric effects on unemployment; (ii) consumption reacts to bad news, but not to good news; (iii) bad news is more informative to the agents and modifies their expectations more than good news.

Suggested Citation

  • Luca Gambetti & Nicolò Maffei-Faccioli & Sarah Zoi, 2022. "Bad News, Good News: Coverage and Response Asymmetries," Working Paper 2022/8, Norges Bank.
    • Handle: RePEc:bno:worpap:2022_8
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    More about this item

    Keywords

    News Coverage; Agents’ Information; Business Cycles; Asymmetry; Threshold-SVAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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