We leverage micro-data to identify macro shocks in time series settings. We exploit firm-level forecast errors on prices and production along with information on production impediments to construct a shock series capturing input material constraints. Our approach allows to separately identify...

We identify supply and demand shocks to the real price of natural gas in the Euro Area and the United States. Demand shocks are identified using exogenous temperature variations, while supply shocks are identified through a high-frequency strategy based on an extensive collection of...

We identify supply and demand shocks to the real price of natural gas in the Euro Area and the United States. Demand shocks are identified using exogenous temperature variations, while supply shocks are identified through a high-frequency strategy based on an extensive collection of...

We leverage micro-data to identify macro shocks in time series settings. We exploit firm-level forecast errors on prices and production along with information on production impediments to construct a shock series capturing input material constraints. Our approach allows to separately identify...