Aggregate a monthly shock series to quarterly frequency

Converts a monthly mp_shock object to quarterly observations using one of three aggregation methods.

Usage

mp_to_quarterly(shock, method = c("sum", "mean", "end"))

Arguments

shock

An mp_shock object from mp_shock() at monthly frequency.

method

Character(1). One of "sum" (the default, usual choice for additive shocks), "mean" (arithmetic mean of months in the quarter), or "end" (last month's value, useful for stock-like measures such as shadow rates).

Value

A data frame with one row per quarter, containing a date column set to the first day of the quarter, the aggregated shock column, and the series identifier. Class c("mp_shock", "data.frame").

Details

Method selection. For identified shocks (nakamura_steinsson, bauer_swanson, jarocinski_karadi_mp, miranda_agrippino_ricco), "sum" is the standard choice because the underlying objects are additive surprises at FOMC events. For the shadow rate (wu_xia), "end" returns end-of-quarter stance and matches the convention used in most zero-lower-bound regressions. "mean" is appropriate when the dependent variable is itself a quarterly-average interest rate.

NA handling. Missing monthly values are dropped within each quarter before aggregation. If a whole quarter is missing, the result is zero under "sum" / "mean" and NA under "end".

Examples

ns_q <- mp_to_quarterly(mp_shock("nakamura_steinsson"), method = "sum")
head(ns_q)
#> <mp_shock> nakamura_steinsson [quarterly, 6 obs, 2000-01-01 to 2001-04-01]
#>        date      shock
#>  2000-01-01  0.0187061
#>  2000-04-01  0.0274602
#>  2000-07-01  0.0126884
#>  2000-10-01  0.0537947
#>  2001-01-01 -0.1058595
#>  2001-04-01  0.0328807