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Macroeconomic expectations: news sentiment analysis

Author

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  • Nataliia Ostapenko

Abstract

I investigate the role that news sentiment plays in the macroeconomy. Using an approach that combines Doc2Vec embedding and Latent Dirichlet Allocation with lexical-based models I show that the news the media choose to report and the tone of these reports contain impor- tant information for household unemployment, interest rates, and in ation expectations. Topic time series derived from the news and the sentiments they express are employed to estimate how the news a ects the macroeconomy.

Suggested Citation

  • Nataliia Ostapenko, 2020. "Macroeconomic expectations: news sentiment analysis," Bank of Estonia Working Papers wp2020-5, Bank of Estonia, revised 13 Aug 2020.
    • Handle: RePEc:eea:boewps:wp2020-5
    DOI: 10.23656/25045520/052020/0178
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    File URL: http://dx.doi.org/10.23656/25045520/052020/0178
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    Cited by:

    1. Tara M. Sinclair & Zhoudan Xie, 2021. "Sentiment and uncertainty about regulation," CAMA Working Papers 2021-54, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    More about this item

    Keywords

    expectations; sentiment; news; Latent Dirichlet Allocation (LDA); Doc2Vec;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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