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Short and Variable Lags

Author

Listed:
  • Carvalho, Vasco
  • Buda, Gergely
  • Corsetti, Giancarlo
  • Duarte, Joao B.
  • Hansen, Stephen
  • Moura, Afonso S.
  • Ortiz, Alvaro
  • Rodrigo, Tomasa
  • Rodríguez Mora, José V
  • Silva, Guilherme A.

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

Suggested Citation

  • Carvalho, Vasco & Buda, Gergely & Corsetti, Giancarlo & Duarte, Joao B. & Hansen, Stephen & Moura, Afonso S. & Ortiz, Alvaro & Rodrigo, Tomasa & Rodríguez Mora, José V & Silva, Guilherme A., 2023. "Short and Variable Lags," CEPR Discussion Papers 18022, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:18022
    as

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    References listed on IDEAS

    as
    1. Altavilla, Carlo & Brugnolini, Luca & Gürkaynak, Refet S. & Motto, Roberto & Ragusa, Giuseppe, 2019. "Measuring euro area monetary policy," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 162-179.
    2. Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-787, October.
    3. Marek Jarociński & Peter Karadi, 2020. "Deconstructing Monetary Policy Surprises—The Role of Information Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 1-43, April.
    4. Eraslan, Sercan & Götz, Thomas, 2021. "An unconventional weekly economic activity index for Germany," Economics Letters, Elsevier, vol. 204(C).
    5. Rodríguez Mora, José V & Buda, Gergely & Carvalho, Vasco & Hansen, Stephen & Ortiz, Alvaro & Rodrigo, Tomasa, 2022. "National Accounts in a World of Naturally Occurring Data: A Proof of Concept for Consumption," CEPR Discussion Papers 17519, C.E.P.R. Discussion Papers.
    6. Daniel Lewis & Karel Mertens & James H. Stock, 2020. "U.S. Economic Activity During the Early Weeks of the SARS-Cov-2 Outbreak," NBER Working Papers 26954, National Bureau of Economic Research, Inc.
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    More about this item

    Keywords

    Monetary policy; Local projections; Economic activity; Event-study; High-frequency data;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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