Narrative Monetary Policy Surprises and the Media

We propose a simple method to quantify narratives from textual data, and identify “narrative monetary policy surprises” as the difference in narrative focus central bank communication accompanying interest rate meetings economic media coverage prior those meetings. Identifying surprises, using Norwegian provides surprise measures that are uncorrelated with conventional and, contrast such have significant effect on subsequent coverage. Narrative surprises lead macroeconomic responses similar what recent literature associates information component of communication, highlighting media's role intermediaries.