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Short and Variable Lags

Author

Listed:
  • Giancarlo Corsetti
  • Gergely Buda
  • Vasco M. Carvalho

Abstract

We study the transmission of monetary policy shocks using daily consumption, corporate sales andemployment series. We find that the economy responds at both short and long lags that are variablein economically significant ways. Consumption reacts in one week, reaches a local trough in onequarter, recovers, and declines again after three quarters. Sales follow a similar pattern, but theinitial drop, while delayed (one month), is deeper. In contrast, employment falls monotonically for fivequarters albeit with a smaller impact reaction. We show that these short lags are masked by timeaggregation at lower —quarterly— frequencies.

Suggested Citation

  • Giancarlo Corsetti & Gergely Buda & Vasco M. Carvalho, 2023. "Short and Variable Lags," RSCAS Working Papers 2023/22, European University Institute.
    • Handle: RePEc:rsc:rsceui:2023/22
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    File URL: https://cadmus.eui.eu/bitstream/handle/1814/75403/RSC_WP_2023_22.pdf?sequence=1&isAllowed=y
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    Other versions of this item:

    • 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.
    • Buda, G. & Carvalho, V. M. & Corsetti, G. & Duarte, J. B. & Hansen, S. & Moura, A. S. & Ortiz, A. & Rodrigo, T. & Ortiz, A. & Ortiz, A., 2023. "Short and Variable Lags," Cambridge Working Papers in Economics 2321, Faculty of Economics, University of Cambridge.

    Citations

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    Cited by:

    1. 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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