Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 13, 2020 erstellt
Description:
We document that attention to macroeconomic conditions is counter-cyclical using a natural-language-processing method that analyzes US public firms' regulatory filings. We rationalize this phenomenon as an optimal stochastic choice pattern in response to higher stakes for tracking macroeconomic developments in recessions. In general equilibrium, elevated stakes in recessions generate attention cycles in which attention to fundamentals and endogenous volatility form a positive feedback loop. In a calibrated, one-parameter extension of the real-business-cycle model with stochastic choice, attention cycles endogenously generate asymmetric, state-dependent shock propagation and stochastic volatility of output growth. Industry and firm cross-sectional tests support the theoretical mechanism