Short and variable lags

Gergely Buda, Vasco M. Carvalho, Giancarlo Corsetti, João B. Duarte, Stephen Hansen, Afonso S. Moura, Álvaro Ortiz, Tomasa Rodrigo, José V. Rodríguez Mora, Guilherme Alves da Silva

Research output: Working paperDiscussion paper

Abstract / Description of output

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.
Original languageEnglish
Number of pages57
Publication statusE-pub ahead of print - 25 Mar 2023

Publication series


Keywords / Materials (for Non-textual outputs)

  • event-study
  • monetary policy
  • economic activity
  • high-frequency data
  • local projections


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