Short and Variable Lags

Gergely Buda, Vasco Carvalho, Giancarlo Corsetti, Joao Duarte, Stephen Hansen, Afonso S. Moura, Alvaro Ortiz, Tomasa Rodrigo, Jose V. Rodreguez Mora and Guilherme Alves da Silva
Authors registered in the RePEc Author Service: Alvaro Ortiz

Janeway Institute Working Papers from Faculty of Economics, University of Cambridge

Abstract: We study the transmission of monetary policy shocks using daily consumption, corporate sales and employment series. We find that the economy responds at both short and long lags that are variable in economically significant ways. Consumption reacts in one week, reaches a local trough in one quarter, recovers, and declines again after three quarters. Sales follow a similar pattern, but the initial drop, while delayed (one month), is deeper. In contrast, employment falls monotonically for five quarters albeit with a smaller impact reaction. We show that these short lags are masked by time aggregation at lower —quarterly— frequencies.

Keywords: Economic Activity; Event-study; High-frequency data; Local projections; Monetary Policy (search for similar items in EconPapers)
JEL-codes: E31 E43 E44 E52 E58 (search for similar items in EconPapers)
Date: 2023-03-02
New Economics Papers: this item is included in nep-mon
Note: vmpmdc2, gc422
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Short and Variable Lags (2023)
Working Paper: Short and Variable Lags (2023)
Working Paper: Short and Variable Lags (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camjip:2308

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