Firm Inattention and the Efficacy of Monetary Policy: A Text-Based Approach

• 成果类型: Article
• 署名作者: Song, Wenting; Stern, Samuel
• 署名单位: Bank of Canada; University of Michigan System; University of Michigan
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdae102
• 发表日期: 2025
• 页码: 3438-3469
• 关键词: rational inattention; sticky prices; menu costs; INFORMATION; DYNAMICS; INVESTMENT; expectations; uncertainty

摘要

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.