<p>You can aggregate these data to quarterly frequency, and this is commonly done.</p>
<p>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.</p>

CC BY-SA 4.0
2023-09-24T11:00:11.620Z
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?
cel
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2023-09-24T14:25:36.820Z
@cel I can’t think of a paper in this area on top of my head. But I do not work on monetary shocks
1muflon1
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2023-09-24T10:57:00.303Z
2023-09-24T10:57:00.303Z
1muflon1
<p>There are now many series deriving monetary shocks at high frequency, e.g., Jarocinski-Karadi (AEJ:M, 2020), Bauer-Swanson (NBER MA, 2023).</p>
<p>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 ?</p>

<interest-rate><monetary-policy><identification><high-frequency-data>
Can you change monthly monetary shocks into quarterly ones?
cel
# Can you change monthly monetary shocks into quarterly ones?

(Asked by: username_0 on 2023-09-24)

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 ?

**Tags:** interest-rate, monetary-policy, identification, high-frequency-data


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## 1 answers

### Answer by username_1 on 2023-09-24. Score: 0

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.

> **Comments:**
> **username_0**: Thanks username_1. this is also my take. do you know though of papers which have done this M->Q aggregation in the monetary shocks context?  
> **username_1**: @username_0 I can’t think of a paper in this area on top of my head. But I do not work on monetary shocks  

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