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There are now many series deriving monetary shocks at high frequency, e.g., Jarocinski-Karadi (AEJ:M, 2020), Bauer-Swanson (NBER MA, 2023).

These typically come at a monthly frequency. However my application is otherwise predicated on quarterly data. Would there be any issues in simply aggregating these monthly shocks to a quarterly frequency ?

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You can aggregate these data to quarterly frequency, and this is commonly done.

The issue with it is that you are loosing information when you aggregate, however, if other data are not available on monthly frequency there are not really any good alternatives to aggregating.

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  • $\begingroup$ Thanks 1muflon1. this is also my take. do you know though of papers which have done this M->Q aggregation in the monetary shocks context? $\endgroup$
    – user37250
    Sep 24, 2023 at 11:00
  • $\begingroup$ @cel I can’t think of a paper in this area on top of my head. But I do not work on monetary shocks $\endgroup$
    – 1muflon1
    Sep 24, 2023 at 14:25

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