Did They Just Say That? Cable News, Policy Uncertainty and Market Volatility
44 Pages Posted: 24 Mar 2022 Last revised: 1 Apr 2022
Date Written: March 17, 2022
We capture economic policy uncertainty from mainstream TV cable networks and link it to market volatility. The novelty of our method is that we can identify who is on TV and when the news is delivered. Our measure is correlated with print-based measures of policy uncertainty at the daily level, but contains significant complementary information. Politician total airtime is not related to market volatility, but it is when they discuss policy-related matters. The news network, political party, and party control is related to the volatility reaction. Policy discussion triggers an immediate, intraday volatility response. Finally, aggregated firm-state-level volatility is correlated with home state Governor’s discussion of policy uncertainty.
Keywords: Policy uncertainty; TV media; stock market volatility; economic uncertainty; politics
JEL Classification: P16; G18; L8
Suggested Citation: Suggested Citation