Firm Inattention and the Efficacy of Monetary Policy: A Text-Based Approach
通过构建基于文本的企业对宏观经济新闻关注度指标，发现企业注意力存在两极分化且逆周期变化，注意力差异导致企业对货币政策反应不对称，注意力不足是货币非中性的重要原因。
Abstract This paper provides empirical evidence of the importance of firm attention to macroeconomic dynamics. We construct a text-based measure of attention to macroeconomic news and document that attention is polarized across firms and countercyclical. Differences in attention lead to asymmetric responses to monetary policy: expansionary monetary shocks raise the market values of attentive firms more than those of inattentive firms, and contractionary shocks lower the values of attentive firms by less. Attention also mitigates the effects of macroeconomic uncertainty on firm performance. In a quantitative rational inattention model that is calibrated with this new text-based measure, inattention drives monetary non-neutrality. As average attention varies over the business cycle, so does the efficacy of monetary policy.