Working Paper: CEPR ID: DP18022
Authors: Gergely Buda; Vasco Carvalho; Giancarlo Corsetti; João B. Duarte; Stephen Hansen; Afonso S. Moura; Alvaro Ortiz; Tomasa Rodrigo; Sevi Rodriguez Mora; Guilherme A. Silva
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: monetary policy; local projections; economic activity; event-study; high-frequency data
JEL Codes: E31; E43; E44; E52; E58
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Monetary policy shocks (E39) | Household consumption (D10) |
| Monetary policy shocks (E39) | Corporate sales (L14) |
| Monetary policy shocks (E39) | Employment (J68) |
| Monetary policy shocks (E39) | Global trough of consumption (E21) |
| Household consumption (D10) | Corporate sales (L14) |
| Household consumption (D10) | Employment (J68) |