Macroeconomic and Asset Pricing Effects of Supply Chain Disasters

89 Pages Posted: 26 Sep 2022 Last revised: 4 Nov 2024

See all articles by Vladimir Smirnyagin

Vladimir Smirnyagin

University of Virginia - Department of Economics

Aleh Tsyvinski

Yale University - Cowles Foundation; Yale University

Multiple version iconThere are 2 versions of this paper

Date Written: September 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.

Suggested Citation

Smirnyagin, Vladimir and Tsyvinski, Aleh and Tsyvinski, Aleh, Macroeconomic and Asset Pricing Effects of Supply Chain Disasters (September 2022). NBER Working Paper No. w30503, Available at SSRN: https://ssrn.com/abstract=4229126

Vladimir Smirnyagin (Contact Author)

University of Virginia - Department of Economics ( email )

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Aleh Tsyvinski

Yale University ( email )

493 College St
New Haven, CT CT 06520
United States

Yale University - Cowles Foundation ( email )

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New Haven, CT 06520-8268
United States
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