Asset returns, news topics, and media effects
Scandinavian Journal of Economics, 2022, 124(3), 838-868.
with Leif Anders Thorsrud.

We decompose the textual data in a daily Norwegian business newspaper into news topics and investigate their predictive and causal role for asset prices. Our three main findings are: (1) a one unit innovation in the news topics predict roughly a 1 percentage point increase in close-to-open returns and significant continuation patterns peaking at 4 percentage points after 15 business days, with little sign of reversal; (2) simple zero-cost news-based investment strategies yield significant annualized risk-adjusted returns of up to 20 percent; and (3) during a media shortage, due to an exogenous strike, returns for firms particularly exposed to our news measure experience a substantial fall. Our estimates suggest that between 20 to 40 percent of the news topics’ predictive power is due to the causal media effect. Together these findings lend strong support for a rational attention view where the media alleviate information frictions and disseminate fundamental information to a large population of investors.


Narrative monetary policy surprises and the media
Journal of Money, Credit and Banking, 2022, 54(5), 1525-1549.
with Saskia ter Ellen and Leif Anders Thorsrud.

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

Supplementary material: Online appendix
Column at
Bankplassen blog (in Norwegian)


News media vs. FRED-MD for macroeconomic forecasting
Journal of Applied Econometrics, 2022, 37(1), 63-81.
with Jon Ellingsen and Leif Anders Thorsrud.

Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive (DJ), we perform an in depth out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED-MD dataset. Focusing on U.S. GDP, consumption and investment growth, our results suggest that the news data contains information not captured by the hard economic indicators, and that the news-based data are particularly informative for forecasting consumption developments.

Media coverage:


Components of Uncertainty
International Economic Review, 2021, 62(2), 769-788.

Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy’s response to an uncertainty shock? This paper offers a novel identification strategy to disentangle different types of uncertainty. It uses machine learning techniques to classify different types of news instead of specifying a set of keywords. The paper finds that, depending on its source, the effects of uncertainty on a macroeconomic variable may differ. I find that both good (expansionary effect) and bad (contractionary effect) types of uncertainty exist.

Supplementary material: Online appendix, Uncertainty measures (csv, 13MB)
Media coverage:
Bankplassen blog (in Norwegian)


News-driven inflation expectations and information rigidities
Journal of Monetary Economics, 2021, 117, 507-520.
with Leif Anders Thorsrud and Julia Zhulanova.

Using a large news corpus and machine learning algorithms we investigate the role played by the media in the expectations formation process of households, and conclude that the news topics media report on are good predictors of both inflation and inflation expectations. In turn, in a noisy information model, augmented with a simple media channel, we document that the time series features of relevant topics help explain time-varying information rigidity among households. As such, we provide a novel estimate of state-dependent information rigidities and present new evidence highlighting the role of the media in understanding inflation expectations and information rigidities.

Supplementary material: Online appendix
Media coverage: Dow Jones
Bankplassen blog (in Norwegian)


The Value of News for Economic Developments
Journal of Econometrics, 2019, 210, 203-218.
with Leif Anders Thorsrud.

We decompose the textual data in a Norwegian business newspaper into news topics and investigate their role in predicting and explaining economic fluctuations. Separate full- and out-of-sample experiments show that many topics have predictive power for key economic variables, including asset prices. Unexpected innovations to an aggregated news index, derived as a weighted average of the topics with the highest predictive scores, lead to persistent economic fluctuations, and are especially associated with financial markets, credit and borrowing. Unexpected innovations to asset prices, orthogonal to news shocks and labeled as noise, have only temporary positive effects, in line with economic theory.

Supplementary material: Online appendix


Business cycles in an oil economy
Journal of International Money and Finance, 2019, 96, 283-303.
with Drago Bergholt and Martin Seneca.

The recent oil price fall has created concern among policy makers regarding the consequences of terms of trade shocks for resource-rich countries. This concern is not a minor one – the world’s commodity exporters combined are responsible for 15–20% of global value added. We develop and estimate a two-country New Keynesian model in order to quantify the importance of oil price shocks for Norway – a large, prototype petroleum exporter. Domestic supply chains link mainland (non-oil) Norway to the off-shore oil industry, while fiscal authorities accumulate income in a sovereign wealth fund. Oil prices and the international business cycle are jointly determined abroad. These features allow us to disentangle the structural sources of oil price fluctuations, and how they affect mainland Norway. The estimated model provides three key results. First, oil price movements represent an important source of macroeconomic volatility in mainland Norway. Second, while no two shocks cause the same dynamics, conventional trade channels make an economically less significant difference for the transmission of global shocks to the oil exporter than to oil importers. Third, the domestic oil industry’s supply chain is an important transmission mechanism for oil price movements, while the prevailing fiscal regime provides substantial protection against external shocks.

Supplementary material: Online appendix


Oil and Macroeconomic (In)stability
American Economic Journal: Macroeconomics, 2018, 10 (4): 128-151.
with Hilde C. Bjørnland and Junior Maih.

We analyze the role of oil price volatility in reducing U.S. macroeconomic instability. Using a Markov Switching Rational Expectation New-Keynesian model we revisit the timing of the Great Moderation and the sources of changes in the volatility of macroeconomic variables. We find that smaller or fewer oil price shocks did not play a major role in explaining the Great Moderation. Instead oil price shocks are recurrent sources of economic fluctuations. The most important factor reducing overall variability is a decline in the volatility of structural macroeconomic shocks. A change to a more responsive (hawkish) monetary policy regime also played a role.

Supplementary material: Online appendix, Replication files


Shorter papers/policy papers: 

Macroeconomic uncertainty and bank lending
Economics Letters, 2023, 225, 111041.
with Ragnar E. Juelsrud.

We investigate the impact of macro-related uncertainty on bank lending in Norway. We show that an increase in general macroeconomic uncertainty reduces bank lending. Importantly, however, we show that this effect is largely driven by monetary policy uncertainty, suggesting that uncertainty about the monetary policy stance is key for understanding why macro-related uncertainty impacts bank lending.

Supplementary material: Online appendix

We investigate whether information from news articles could improve predictions of house price inflation at a short forecast horizon. The Covid-19 pandemic led to a shutdown of the Norwegian economy on 12 March 2020. Large economic fluctuations posed challenges for models used to forecast economic developments. Our results indicate that news data contain valuable information about the direction of the housing market in periods of economic distress.

Media coverage: Finansavisen