Media Attention, Macroeconomic Fundamentals, and Stock Market Activity

We create daily indices of media attention to macroeconomic fundamentals including employment, output growth, inflation, monetary policy, exchange rates, and oil prices. The measures are imperfectly correlated, showing time-varying attention to different economic risks at a variety of frequencies. Economic announcements drive short-term movements, and we identify the types of announcements that receive the most attention. Lower-frequency shifts in attention strongly relate to macroeconomic fundamentals. Controlling for economic announcements, attention is linked to variations in stock market implied volatility and trading volume.