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bevictor伟德官网碩博連讀研究生王月潔第四屆“大數據計量經濟學理論與應用——人工智能與計量經濟學建模”研讨會參會論文校内報告

[發布日期]:2024-04-10  [浏覽次數]:

一、主題:Narrative Consumer Sentiment

二、彙報人:王月潔2022級金融學碩博連讀生

三、時間地點:2024年4月10日14:00,學院3号樓224

四、摘要:This paper constructs a consumer sentiment using over one million narrative articles. Our constructed Narrative Consumer Sentiment can positively forecast future inflation growth both in-sample and out-of-sample, which performs especially well in the Great Recession and latest inflation surge. Narrative Consumer Sentiment provides incremental information beyond existing sentiment and economic variables. We also find Narrative Consumer Sentiment helps to shape the inflation expectations, and exhibits greater forecasting ability when consumers’ attention to inflation is higher. These findings support the rational expectations models of information frictions.

 

 

撰稿:王月潔

初審:位錦

終審:魏旭

 



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