Spain | Short and Variable Lags
Published on Monday, March 6, 2023 | Updated on Tuesday, March 7, 2023
Document number 23/02
Big Data techniques used
Spain | Short and Variable Lags
Summary
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.
Geographies
- Geography Tags
- Spain
Topics
- Topic Tags
- Macroeconomic Analysis
Authors
Guilherme Alves da Silva
Nova School of Business and Economics - External partner
Gergely Buda
Barcelona School of Economics - External partner
Vasco M. Carvalho
University of Cambridge and CEPR - External partner
Giancarlo Corsetti
European University Institute and CEPR - External partner
João Duarte
Nova School of Business and Economics - External partner
Stephen Hansen
University College London and CEPR - External partner
Alvaro Ortiz
BBVA Research - Head of Analysis with Big Data
Afonso Pereira da Silva Souto de Moura
Banco de Portugal and Nova SBE - External partner
Tomasa Rodrigo
BBVA Research - Lead Economist
José V. Rodríguez Mora
CUNEF, University of Edimburgo and CEPR - External partner