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Faculty of Economics


Buda, G., Carvalho, V. M., Corsetti, G., Duarte, J. B., Hansen, S., Moura, A. S., Ortiz, A., Rodrigo, T., Rodríguez Mora, J. V., Alves da Silva, G.

Short and Variable Lags


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: Economic Activity, Event-study, High-frequency data, Local projections, Monetary Policy

JEL Codes: E31 E43 E44 E52 E58

Author links: Vasco Carvalho  Giancarlo Corsetti  


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