Short and Variable Lags

62 Pages Posted: 13 Mar 2023

See all articles by Gergely Buda

Gergely Buda

Barcelona School of Economics

Vasco M. Carvalho

Universitat Pompeu Fabra/CREI; Centre for Economic Policy Research (CEPR); University of Cambridge

Giancarlo Corsetti

European University Institute

João B. Duarte

Nova School of Business and Economics

Stephen Hansen

University College London

Alvaro Ortiz

BBVA Research; IE Business School

Tomasa Rodrigo

BBVA Research

José V. Rodríguez Mora

University of Edinburgh

Multiple version iconThere are 2 versions of this paper

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

Buda, Gergely and Carvalho, Vasco M. and Corsetti, Giancarlo and Duarte, João B. and Hansen, Stephen and Ortiz, Alvaro and Rodrigo, Tomasa and Rodríguez Mora, José V., Short and Variable Lags (March 13, 2023). Robert Schuman Centre for Advanced Studies Research Paper No. 22, 2023, Available at SSRN: https://ssrn.com/abstract=4386770 or http://dx.doi.org/10.2139/ssrn.4386770

Gergely Buda (Contact Author)

Barcelona School of Economics

Vasco M. Carvalho

Universitat Pompeu Fabra/CREI ( email )

Ramon Trias Fargas, 25-27
Barcelona, 08005
Spain

HOME PAGE: http://www.crei.cat/people/carvalho/welcome.html

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

University of Cambridge ( email )

Trinity Ln
Cambridge, CB2 1TN
United Kingdom

Giancarlo Corsetti

European University Institute ( email )

Villa Schifanoia
133 via Bocaccio
Firenze (Florence), 50014
Italy

João B. Duarte

Nova School of Business and Economics ( email )

Campus de Carcavelos
Cascais
Portugal

Stephen Hansen

University College London

Gower Street
London, WC1E 6BT
United Kingdom

Alvaro Ortiz

BBVA Research ( email )

IE Business School ( email )

Spain

Tomasa Rodrigo

BBVA Research ( email )

José V. Rodríguez Mora

University of Edinburgh

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