Unexpected temperature swings significantly affect the US economy at a monthly frequency. Using daily temperature data since 1970, I construct monthly temperature shocks for each US county by capturing the surprise effect of unusually hot and cold temperatures relative to the same month in the recent past; nation-wide heat and cold shocks are then obtained by appropriately weighting county-level surprises. Using the latter as external shocks into local projections, I obtain three main findings. First, the negative macroeconomic effect of extreme temperatures is driven by cold (and not heat) shocks. Second, cold shocks are deflationary, while heat shocks have opposite price effects across seasons that average out over the year. Third, both shocks put downward pressure on short-term interest rates in the medium run. This evidence suggests that the overall economic effects of temperatures is substantially larger than that implied by rising temperatures only, and that climate change has direct implications for the conduct of monetary policy.