We provide the daily and monthly monthly macroeconomic attention indices for the New York Times and Wall Street Journal used in Fisher, Martineau, and Sheng (2021) "Macroeconomic Attention and Announcement Risk Premia" [SSRN].
Columns ending with "_ni" and "_wi" corresponds to NYT and WSJ, respectively, and those without corresponds to the composite index.
The data used in the RFS paper is available in this repo and an updated time series for the monetary and unemployment attention indices is available through December 2025.
For the RFS data, we also include the 3-day average (MAI3) and the 3-day detrended MAI-Pre (dMAI3) prior to Unemployment and FOMC announcements in MAI_Unemployment_Announcement.csv and MAI_FOMC_Announcement.csv. The results reported in the paper are robust to simply taking the 3-day average prior to announcements.
If you use this data, please cite our study accordingly.
