Short and variable lags

Gergely Buda, Vasco M. Carvalho, Giancarlo Corsetti, João B. Duarte, Stephen Hansen, Afonso S. Moura, Álvaro Ortiz, Tomasa Rodrigo, José V. Rodríguez Mora

Research output: Working paper


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.
Original languageEnglish
PublisherUniversity of Cambridge
Publication statusPublished - 27 Mar 2023

Publication series

NameCambridge Working Papers in Economics
NameJaneway Institute Working Paper Series


  • High-Frequency Data
  • Local Projections
  • Event-study
  • Monetary Policy
  • Economic Activity


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