Short and Variable Lags

Giancarlo Corsetti, Gergely Buda and Vasco Carvalho

No 2023/22, RSCAS Working Papers from European University Institute

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

Keywords: Event-study; Monetary Policy; Economic Activity; High-Frequency Data; Local Projections (search for similar items in EconPapers)
Date: 2023-03
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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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