Authors: Martín Almuzara and Víctor Sancibrián
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Staff Reports
Micro Responses to Macro Shocks
Number 1090
March 2024
March 2024
JEL classification: C32, C33, C38, C51
We study estimation and inference in panel data regression models when the regressors of interest are macro shocks, which speaks to a large empirical literature that targets impulse responses via local projections. Our results hold under general dynamics and are uniformly valid over the degree of signal-to-noise of aggregate shocks. We show that the regression scores feature strong cross-sectional dependence and a known autocorrelation structure induced only by leads of the regressor. In general, including lags as controls and then clustering over the cross-section leads to simple, robust inference.
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, March. 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, March. https://doi.org/10.59576/sr.1090
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