Data
Macroeconomic attention indices (MAI)
Macroeconomic attention indices (MAI)
Fisher, Martineau, and Sheng (2022) construct MAI that are based on news articles from New York Times and Wall Street Journal.
Download the data: Excel data file (Daily and Monthly MAI 1980-2020); or check Github webpage for more explanations and data.
If you use the data, please cite Fisher, A., C. Martineau, and J. Sheng (2022) "Macroeconomic Attention and Announcement Risk Premia" Review of Financial Studies, 35, 5057–5093.
To illustrate the properties of MAI, the figure below compares monthly MAI to related macro fundamentals.
