Short and variable lags
| dc.contributor.author | BUDA, Gergely | |
| dc.contributor.author | CARVALHO, Vasco M. | |
| dc.contributor.author | CORSETTI, Giancarlo | |
| dc.contributor.author | DUARTE, João B. | |
| dc.contributor.author | HANSEN, Stephen | |
| dc.contributor.author | MOURA, Afonso S. | |
| dc.contributor.author | ORTIZ, Álvaro | |
| dc.contributor.author | RODRIGO, Tomasa | |
| dc.contributor.author | RODRÍGUEZ MORA, José V. | |
| dc.contributor.author | ALVES DA SILVA, Guilherme | |
| dc.date.accessioned | 2023-03-08T10:52:32Z | |
| dc.date.available | 2023-03-08T10:52:32Z | |
| dc.date.issued | 2023 | |
| dc.description.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. | en |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.issn | 1028-3625 | |
| dc.identifier.uri | https://hdl.handle.net/1814/75403 | |
| dc.language.iso | en | en |
| dc.orcid.upload | true | * |
| dc.publisher | European University Institute | en |
| dc.relation.ispartofseries | EUI | en |
| dc.relation.ispartofseries | RSC | en |
| dc.relation.ispartofseries | Working Paper | en |
| dc.relation.ispartofseries | 2023/22 | en |
| dc.relation.ispartofseries | Pierre Werner Chair Programme | en |
| dc.rights | info:eu-repo/semantics/openAccess | en |
| dc.rights.license | Attribution 4.0 International | * |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | * |
| dc.subject | Event study | en |
| dc.subject | Monetary policy | en |
| dc.subject | Economic activity | en |
| dc.subject | High frequency data | en |
| dc.subject | Local projections | en |
| dc.title | Short and variable lags | en |
| dc.type | Working Paper | en |
| dspace.entity.type | Publication | |
| eui.subscribe.skip | true | |
| person.identifier.orcid | 0000-0001-8965-9853 | |
| person.identifier.other | 29854 | |
| relation.isAuthorOfPublication | 63f2acaf-f3ac-4485-9852-09df6ebe0761 | |
| relation.isAuthorOfPublication.latestForDiscovery | 63f2acaf-f3ac-4485-9852-09df6ebe0761 |
