通胀预期形成与信息黏性特征:基于媒体新闻视角  

Inflation Expectations and Information Rigidity:An Analysis from the Media News Perspective

作　　者：郑挺国[1] 范馨月 靳炜 方匡南[4] Zheng Tingguo;Fan Xinyue;Jin Wei;Fang Kuangnan

机构地区：[1]厦门大学宏观经济研究中心经济学院统计与数据科学系王亚南经济研究院,福建厦门361005 [2]厦门大学王亚南经济研究院 [3]鹏华基金管理有限公司 [4]厦门大学经济学院统计与数据科学系

出　　处：《世界经济》2023年第4期60-82,共23页The Journal of World Economy

基　　金：教育部人文社会科学重点研究基地重大项目(22JJD790050);国家自然科学基金面上项目(71973110);全国统计科学研究重点项目(2022LZ37)的资助。

摘　　要：本文使用主流中文财经报刊中的近百万篇新闻报道构成语料库,利用潜在狄利克雷分配模型将新闻文本转换为结构化的高维新闻主题关注度序列,旨在探讨媒体新闻对通胀预期的驱动作用。为此,本文运用LASSO、LASSO-UMIDAS模型识别对通胀预期具有重要影响的新闻主题,并基于噪声信息模型估计时变信息黏性,通过将其与媒体报道持续期和信噪比进行联合建模分析,进一步考察了媒体新闻对通胀预期的影响机制。研究表明,媒体信息会从数值驱动和速度驱动两个方面对通胀预期产生重要影响。在数值方面,媒体信息中的经济增长、物价波动、国家要闻与金融信贷等多个主题在通胀预期的形成中发挥着重要作用;在速度方面,媒体报道的持续期和信噪比会对信息黏性产生显著的正向影响,进而影响通胀预期的调整速度。Using nearly one million news articles from major national financial and economic newspapers,this paper constructs a large corpus of Chinese news and employs the latent Dirichlet allocation(LDA)model to transform news texts into structured high-dimensional news thematic attention time series to study the role of media news in driving inflation expectations.To this end,this paper uses the LASSO and LASSO-UMIDAS models to identify news topics that have a significant impact on inflation expectations,and it estimates the time-varying information rigidity based on the noise information model.By jointly modelling the information rigidity with the duration and signal-to-noise ratio of media coverage,an in-depth discussion is developed about the influence mechanism of media news.According to the results,media information will have both numerical and speed-driving effects on inflation expectations.In terms of numerical driving,some important news information,such as economic growth,price fluctuation,national news and financial credit,play a significant role in shaping inflation expectations.In terms of speed driving,the media coverage duration and signal-to-noise ratio have a significant positive impact on the information rigidity,thereby affecting the adjustment speed of inflation expectations.

关 键 词：通胀预期 信息黏性 数值驱动 速动驱动 媒体报道 

分 类 号：F822.5[经济管理—财政学]