Abstract
Abstract This paper studies the effects of anticipations of tax changes on economic activity through the release of tax news in the media in the United States. I provide a measure of anticipations by exploiting the content of television news. This information typically flows faster than standard measures of gross domestic product, thus I propose a mixed frequency dynamic factor model to estimate both the economic activity latent factor and the effects of anticipated tax shocks on it. I find that one-month-ahead anticipations of tax cuts significantly stimulate current economic activity while those of tax increases produce the opposite effect.
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