The Short Lags of Monetary Policy

Gergely Buda, Vasco M. Carvalho, Giancarlo Corsetti, Joao Duarte, Stephen Hansen, Afonso S. Moura, Alvaro Ortiz, Tomasa Rodrigo, José V. Rodríguez Mora and Guilherme Alves da Silva

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

Abstract: We examine the transmission of monetary policy shocks to the macroeconomy at high frequency. To do this, we build daily consumption and investment aggregates using bank transaction records and leverage administrative data for measures of daily gross output and employment for Spain. We show that variables typically regarded as "slow moving", such as consumption and output, respond significantly within weeks. In contrast, the responses of aggregate employment and consumer prices are slow and peak at long lags. Disaggregating by sector, consumption category and supply-chain distance to final demand, we find that fast adjustment is led by downstream sectors tied to final consumption—in particular luxuries and durables—and that the response of upstream sectors is slower but more persistent. Finally, we find that time aggregation to the quarterly frequency alters the identification of monetary policy transmission, shifting significant responses to longer lags, whereas weekly or monthly aggregation preserves daily-frequency results.

Keywords: Event-study; Monetary Policy; Economic Activity; High-Frequency Data; Local Projections (search for similar items in EconPapers)
JEL-codes: E31 E43 E44 E52 E58 (search for similar items in EconPapers)
Date: 2025-02-11
New Economics Papers: this item is included in nep-cba, nep-inv and nep-mon
Note: vmpmdc2
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Working Paper: The Short Lags of Monetary Policy (2025)
Working Paper: The Short Lags of Monetary Policy (2025)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camjip:2504

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