Description:
I use 1.38 million TV news transcripts to investigate the relationship between U.S. home prices and immigration narrative sentiment. One standard deviation orthogonalized shock to the sentiment Granger-causes a statistically significant and economically meaningful increase in home prices. The cumulative change is equivalent to about 25 percent of the Case Shiller Price Index average monthly change during the sample period. Moreover, the effect of a narrative sentiment shocks on home prices is permanent, which suggests that the immigration narrative contains fundamental information about home prices not captured by standard economic variables. Conversely, there is no evidence that home price variation affects immigration narrative sentiment