We construct two measures of media coverage of bad and good unemployment figures based on three major US newspapers. Using nonlinear SVAR techniques, we document four facts. (i) There is no significant negativity bias in media coverage of economic events. The asymmetric responsiveness of newspapers to positive and negative economic shifts is entirely explained by the higher persistence of bad shocks. (ii) Bad news are more informative than good news. (iii) Bad news increase agents’ agreement about economic outcomes and modify their expectations more than good news. (iv) Consumption reacts to bad news, but not to good news.
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