Buda, G., Carvalho, V. M., Corsetti, G., Duarte, J. B., Hansen, S., Moura, A. S., Ortiz, A., Rodrigo, T., Rodríguez Mora, J. V., Alves da Silva, G.
Short and Variable Lags
JIWP Number: 2308
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
JEL Codes: E31 E43 E44 E52 E58
Author links: Vasco Carvalho Giancarlo Corsetti
PDF: jiwp2308.pdf 
Open Access Link: 10.17863/CAM.99023.2
