CNB Research Seminar "Do We Need Firm Data To Understand Macroeconomic Dynamics?"

Prague, 3 February 2026

Michele Lenza (ECB)

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Michele Lenza is Head of the Monetary Policy Research Division in the Directorate General Research at the European Central Bank. His research lies at the intersection of monetary economics, macroeconomic forecasting, and applied econometrics, with a strong focus on inflation dynamics, wage setting, and the transmission of monetary policy. A central theme of his work is the use of large-scale econometric and machine-learning methods—such as Bayesian vector autoregressions, big-data techniques, and natural language processing—to improve forecasting, nowcasting, and policy analysis. His research has also examined the Phillips curve, inflation stability, density and risk forecasts, interbank market frictions, and the distributional effects of unconventional monetary policy, including quantitative easing.

Do We Need Firm Data To Understand Macroeconomic Dynamics? (abstract)

We study the role of heterogeneity in the revenues of individual firms for euro area macroeconomic dynamics. To this end, we specify two models: a standard aggregate vector autoregressive model (VAR) and a “heterogeneous VAR” (HVAR). The VAR model includes only aggregate data, while the HVAR model also incorporates the feedback loop between firms’ revenue distribution and aggregate variables. Our results demonstrate that the behavior of firms’ revenue distribution plays a significant role in explaining the dynamics of key euro area macroeconomic variables.