Data and Code for: Attention, Please! Listening to the Central Bank in Uncertain Times.

This paper examines how firms’ attention to the central bank influences the effectiveness of monetary policy via inflation expectations. Using text mining techniques, this paper builds a novel attention index from earnings calls transcripts. The authors find that firms more attentive to the central bank respond more strongly to monetary policy shocks—but only in low-uncertainty environments. In high-uncertainty periods, while firms overall react more to shocks, the added impact of attention diminishes, as firms already seek broader macroeconomic information. These findings are consistent with a rational inattention framework, where the marginal value of central bank signals depends on the state of macroeconomic uncertainty.