Immigration Narrative and Home Prices

Abstract

This study characterizes the relationship between U.S. National Home Prices and Immigration Narrative as portrayed on TV news. Integrating Narrative Economics and Natural Language Processing (NLP) sentiment analysis, I analyze a large dataset of 1.96 million TV news transcripts spanning July 2009 to December 2023 to capture the sentiment of the Immigration Narrative. Immigration Narrative Sentiment and U.S. Home Prices are associated. One standard deviation orthogonalized shock to the sentiment Granger-causes a statistically significant and economically meaningful increase in the Case–Shiller U.S. National Home Price. The cumulative increase is equivalent to about 26 percent of the average monthly change during the sample period. Moreover, the effect of a shock to the Immigration Narrative Sentiment on Home Prices is permanent, suggesting 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.