Short and Variable Lags
62 Pages Posted: 13 Mar 2023
There are 2 versions of this paper
Short and Variable Lags
Short and Variable Lags
Date Written: March 13, 2023
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: Event-study, Monetary Policy, Economic Activity, High-Frequency Data, Local Projections
Suggested Citation: Suggested Citation