Spain | Short and Variable Lags
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
Authors
- Guilherme Alves da SilvaExternal Partner
- Gergely BudaExternal Partner
- Vasco M. CarvalhoExternal Partner
- Giancarlo CorsettiExternal Partner
- João DuarteExternal Partner
- Stephen HansenExternal Partner
- Alvaro OrtizHead of Analysis with Big Data
- Afonso Pereira da Silva Souto de MouraExternal Partner
- Tomasa RodrigoLead Economist
- José V. Rodríguez MoraExternal Partner
Geographies
- Geography Tags
- Spain
Topics
- Topic Tags
- Analysis with Big Data
- Global Economy