Year: 2026
Type: article
Abstract: We examine the transmission of monetary policy shocks to the macroeconomy at high frequency. To do so, we construct daily consumption and investment aggregates from bank transaction records and leverage administrative data on daily corporate sales and employment for Spain. We show that variables typically viewedas slow-moving, such as consumption and corporate sales, respond significantly within weeks. By contrast, aggregate employment and (monthly) consumer prices adjust only gradually. Disaggregating responses by sector, consumption category, and supply-chain distance from final demand, we find that fast demand adjustment is led by downstream sectors closely tied to consumption—especially luxury goods and durables—while upstream sectors respond more slowly but more persistently, ultimately accounting for the contraction in aggregate activity. Excess inventories accumulate first in retail and wholesale trade and only later among upstream manufacturers, reconciling the rapid adjustment of sales with the slower response of production and employment. Finally, we show that time aggregation to the quarterly frequency obscures the timing of monetary policy transmission by shifting estimated responses to longer horizons, whereas weekly and monthly aggregation preserve the patterns observed at daily frequency.
DOI: 10.24149/wp2631
Authors: Gergely Buda, Vasco M. Carvalho, Giancarlo Corsetti, João B. Duarte, Stephen Hansen, Afonso S. Moura, Álvaro Ortiz, Tomasa Rodrigo, José V. Rodríguez Mora, Guilherme Alves da Silva
Language: English
Domain: Social Sciences
Open Access status: green
Awards: Laboratório de Dados de Ciências Sociais, G2309010499, G3434864815, G3821169523, G388523895, Nova School of Business and Economics - Unidade de Investigação, A designar, Transformações estruturais, desigualdade e a macroeconomia, Structural Models for Text and other Unstructured Data, Micro Structure and Macro Outcomes, Nova School of Business and Economics
OpenAlex ID: W6963041555