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Macroeconomic and Asset Pricing Effects of Supply Chain Disasters

Author

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  • Vladimir Smirnyagin
  • Aleh Tsyvinski

Abstract

We build a general equilibrium production-based asset pricing model with heterogeneous firms that jointly accounts for firm-level and aggregate facts emphasized by the recent macroeconomic literature, and for important asset pricing moments. Using administrative firm-level data, we establish empirical properties of large negative idiosyncratic shocks and their evolution. We then demonstrate that these shocks play an important role for delivering both macroeconomic and asset pricing predictions. Finally, we combine our model with data on the universe of U.S. seaborne import since 2007, and establish the importance of supply chain disasters for the cross-section of asset prices.

Suggested Citation

  • Vladimir Smirnyagin & Aleh Tsyvinski, 2022. "Macroeconomic and Asset Pricing Effects of Supply Chain Disasters," NBER Working Papers 30503, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:30503
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    Cited by:

    1. Xiwen Bai & Jesús Fernández-Villaverde & Yiliang Li & Francesco Zanetti, 2024. "The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory," Economics Series Working Papers 1033, University of Oxford, Department of Economics.
    2. Elie Bouri & Oguzhan Cepni & Rangan Gupta & Ruipeng Liu, 2024. "Supply Chain Constraints and the Predictability of the Conditional Distribution of International Stock Market Returns and Volatility," Working Papers 202440, University of Pretoria, Department of Economics.

    More about this item

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • G0 - Financial Economics - - General

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