In the wake of the financial liberalization phenomena, the activities of firms can generate signals for financial and macroeconomic situation and the relationship between financial and macroeconomic variables can be captured by firm-based empirical evidence. In this respect, we employ Panel Vector Autoregression (PVAR) modeling to analyze the interactions between the balance sheets accounts of firms in US telecommunications and transportation sectors. Our results expose that investments, gross fixed capital formation and output in US telecommunications and transportation sectors can be highly dependent on the level of money capital and thus it is important for the firms in these sectors to maximize their output under the financing constraint. It is also revealed that increases in total assets and property may lead to a rise in economic value added, the profitability of a firm which in turn lowers the current liabilities. According to our estimations, we suggest that an optimal empirical framework should be derived to capture the microeconomic origins of macroeconomic developments in terms of effects of total productivity shocks in US telecommunications and transportation sectors.