@techreport{76e4d7b6bce74a5caabeeab909b2d96e,
title = "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 = "High-Frequency Data, Local Projections, Event-study, Monetary Policy, Economic Activity",
author = "Gergely Buda and Carvalho, {Vasco M.} and Giancarlo Corsetti and Duarte, {Jo{\~a}o B.} and Stephen Hansen and Moura, {Afonso S.} and {\'A}lvaro Ortiz and Tomasa Rodrigo and Mora, {Jos{\'e} V. Rodr{\'i}guez}",
note = "The authors thank, without implicating, Adrien Auclert, Daniel Dias, Fabrizia Mealli, Ricardo Reis, Antonio Rua and Christian Wolf for helpful suggestions and discussions. We thank Juan Ram{\'o}n Garc{\'i}a for providing the daily data for employment. Carvalho gratefully acknowledges funding from ERC Consolidator Grant 101001221. Duarte and Moura gratefully acknowledge funding from Funda{\c c}{\~a}o para a Ci{\^e}ncia e a Tecnologia (2022.07354.PTDC, UIDB/00124/2020 and Social Sciences DataLab, PINFRA/22209/2016, and PD/BD/150429/2019), POR Lisboa and POR Norte (Social Sciences DataLab, PINFRA/22209/2016). Hansen gratefully acknowledges financial support from ERC Consolidator Grant 864863. Carvalho and Corsetti are grateful to the Janeway Institute, for the continuing research support through the years.",
year = "2023",
month = mar,
day = "27",
language = "English",
series = "Cambridge Working Papers in Economics",
publisher = "University of Cambridge",
type = "WorkingPaper",
institution = "University of Cambridge",
}