Published on Monday, March 6, 2023 | Updated on Tuesday, March 7, 2023

Document number 23/02

Spain | Short and Variable Lags

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.

Key points

  • Key points:
  • 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.

Documents to download


New comment

Be the first to add a comment.

Load more

You may also be interested in