Short and Variable Lags

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

No 18022, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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: Monetary policy; Local projections; Economic activity; Event-study; High-frequency data (search for similar items in EconPapers)
JEL-codes: E31 E43 E44 E52 E58 (search for similar items in EconPapers)
Date: 2023-03
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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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