Authors: Martín Almuzara and Víctor Sancibrián
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Staff Reports
Micro Responses to Macro Shocks
Number 1090
March 2024 Revised August 2026
March 2024 Revised August 2026
JEL classification: C32, C33, C38, C51
We study panel data regression models when the shocks of interest are aggregate and there are omitted macro and micro-level shocks of any relative size. This speaks to a large empirical literature that targets impulse responses via panel local projections. We show how to interpret the estimated coefficients when responses are heterogeneous and that a simple recipe leads to uniformly valid inference over the macro– micro composition of the errors: including lags as controls and then clustering at the time level. Finally, we use our methods to reassess the role of firm financial frictions in shaping the transmission of monetary policy.
Author Disclosure Statement(s)
Martín “Tincho” Almuzara
I declare that I have no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy.
Víctor Sancibrián
I declare that I have no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy.
I declare that I have no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy.
Víctor Sancibrián
I declare that I have no relevant or material financial interests that relate to the research described in this paper. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy.
Suggested Citation:
Almuzara, Martín and Víctor Sancibrián. 2024. “Micro Responses to Macro Shocks.” Federal Reserve Bank of New York Staff Reports, no. 1090, revised August 2026. https://doi.org/10.59576/sr.1090
Almuzara, Martín and Víctor Sancibrián. 2024. “Micro Responses to Macro Shocks.” Federal Reserve Bank of New York Staff Reports, no. 1090, revised August 2026. https://doi.org/10.59576/sr.1090
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