The Messiah spoke through David, announcing what the Father had declared of the relationship that the Father has with the Messiah,

“I will declare the decree:
The Lord has said to Me,
‘You are My Son,
Today I have begotten You.”
(Psalm 2:7)

Yahweh God is not ashamed of His Son, but declares in the most public book ever that the Messiah is the Son of God.

We learn later in the New Testament that this refers to the resurrection of Jesus of Nazareth.