Expectations, Economic Uncertainty, and Sentiment

ABSTRACT Objective: this article aims to help unravel if and how economic uncertainty interacts with the informational structure of sentiment. Methods: the empirical strategy is based on a non-linear and non-parametric causality test to investigate the interaction between variables as distributions. This article builds primarily on the literature on expectation formation. Results: it was found that uncertainty based on the media (ex-ante) precedes sentiment, at most, until the second moment of its distribution. In addition, sentiment helps predict the informational structure of fundamental uncertainty (ex-post) and higher order moments of ex-ante uncertainty. Conclusion: sentiment can be considered a channel for uncertainty through the tone of expectations and erroneous expectations. Ex-ante uncertainty measures can also help calibrate the rational cost-benefit calculation of attention by acting as a leading indicator of the increasing value of information.

摘要 研究目标：本文旨在厘清经济不确定性是否以及如何与情绪的信息结构产生交互作用。研究方法：本文采用基于非线性非参数因果检验的实证策略，以探究变量间以分布形式呈现的交互关系，研究主要立足于预期形成领域的相关文献。研究结果：研究发现，基于媒体的事前（ex-ante）不确定性至少在其二阶分布矩层面领先于情绪；此外，情绪可有效预测基本面不确定性的事后（ex-post）信息结构，以及事前不确定性的高阶分布矩。研究结论：情绪可通过预期基调和错误预期渠道传导不确定性；事前不确定性指标还可通过充当信息价值提升的领先指标，助力校准注意力的理性成本收益核算。