Macroeconomic and Asset Pricing Effects of Supply Chain Disasters

88 Pages Posted: 19 Oct 2022

See all articles by Vladimir Smirnyagin

Vladimir Smirnyagin

Yale University

Aleh Tsyvinski

Yale University - Cowles Foundation; Yale University

Multiple version iconThere are 2 versions of this paper

Date Written: September 19, 2022

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.

Keywords: asset pricing, supply chains, firm dynamics

JEL Classification: E23, G12

Suggested Citation

Smirnyagin, Vladimir and Tsyvinski, Aleh and Tsyvinski, Aleh, Macroeconomic and Asset Pricing Effects of Supply Chain Disasters (September 19, 2022). Available at SSRN: https://ssrn.com/abstract=4223600 or http://dx.doi.org/10.2139/ssrn.4223600

Vladimir Smirnyagin (Contact Author)

Yale University ( email )

New Haven, CT
United States

Aleh Tsyvinski

Yale University ( email )

New Haven, CT 06520
United States

Yale University - Cowles Foundation ( email )

28 Hillhouse Ave
New Haven, CT 06520-8268
United States
203-432-9163 (Phone)

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