Can I regress company data (as firm performance - the dependent variable) on macroeconomic data (as macroeconomic uncertainty - the independent variable)? Is it econometrically right? Because all firms are subject to the same macroeconomic uncertainty at a given point in time (cross-sectionally invariant), which effect should I adopt for panel data? I'm not sure if fixed effects fits, as year fixed effects could capture most of the explanatory power of macroeconomic uncertainty (for example).

Thanks.