Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/278759 
Year of Publication: 
2023
Series/Report no.: 
FAU Discussion Papers in Economics No. 05/2023
Publisher: 
Friedrich-Alexander-Universität Erlangen-Nürnberg, Institute for Economics, Nürnberg
Abstract: 
This paper investigates the effects of inflation news coverage on market-based inflation expectations and outcomes in the inflation-protected securities market. We employ a large corpus of news headlines from top U.S. newspapers and market data on the U.S. yield curve and inflation-protected securities. Our results indicate that news coverage, particularly regarding specific topics, exerts a significant influence on inflation compensation, expectations, and risk premiums. We observe that the impact of news diminishes as the maturity increases and varies across different news topics. This study contributes to the understanding of media influence on financial markets, specifically in shaping inflation expectations.
Subjects: 
Inflation
expectations
risk premium
newspapers
term structure
JEL: 
C22
D83
D84
E13
E31
E65
Document Type: 
Working Paper

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