Hi professors and professional colleagues:

I am doing research to understand the effects of the Covid19 outbreak on core CPI fluctuation in my country. In addition, I will include other useful macro and financial variables to the model.

However, the core CPI data, end of period exchange rate, remittance inflows, are monthly (spanned from 2012M1 to 2021M8), whereas, Covid19 is a daily freq. data (spanned from Mar 17, 2020 (the first cases was confirmed) to Aug 17, 2021. Note, Aug. 17, 2021, could still be expanded as Covid19 is still around.

For this purpose, I would appreciate it if expertise suggestions can be provided based on the below:

First, if the mixed frequencies can work using MIDAS, how can I balance the Covid19 time and the other economic indicators period?

Second, can I include a dummy variable to capture the pre and during/beginning Covid19 outbreak time?

Third, there were some key monetary policy measures that the Central Bank of my country used, as the interest rate, so can I also include a dummy for this policy issue?

Lastly, can the MIDAS regression method proposed by Ghysels et al. (2004) be used as in my case?

Best,

JG