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Short and Variable Lags

Author

Listed:
  • Buda, Gergely
  • Carvalho, Vasco
  • 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

  • Buda, Gergely & Carvalho, Vasco & 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
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    Cited by:

    1. is not listed on IDEAS
    2. S. Borağan Aruoba & Thomas Drechsel, 2024. "The Long and Variable Lags of Monetary Policy: Evidence from Disaggregated Price Indices," NBER Chapters, in: Inflation in the COVID Era and Beyond, National Bureau of Economic Research, Inc.

    More about this item

    Keywords

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    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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