企业注意力不足与货币政策效力：基于文本的方法
Firm Inattention and the Efficacy of Monetary Policy: A Text-Based Approach
Review of Economic Studies · 2024 · [{"name": "Wenting Song", "affiliation": ["Bank of Canada"]}, {"name": "Samuel Stern", "affiliation": ["University of Michigan"]}]
中文摘要
本文提供了企业注意力对宏观经济动态之重要性的经验证据。我们构建了一个基于文本的宏观经济新闻注意力度量指标，发现企业间的注意力呈现两极分化且具有逆周期性。注意力差异导致企业对货币政策的反应呈现非对称性：扩张性货币冲击使高注意力企业市场价值的上升幅度大于低注意力企业，而紧缩性冲击使高注意力企业价值的下降幅度更小。注意力还能缓解宏观经济不确定性对企业绩效的影响。在一个使用这一新的基于文本的度量进行校准的定量理性注意力不足模型中，注意力不足是推动货币非中性的原因。随着平均注意力在商业周期中变化，货币政策的效力也随之变化。
Abstract
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.