Macroeconomic and Asset Pricing Effects of Supply Chain Disasters
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.
The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research and the U.S. Census Bureau. We thank Hengjie Ai, Gianluca Benigno, Andrew Chen, Andrea Frazzini, Stefano Giglio, Urban Jermann, Yukun Liu, Dimitris Papanikolaou for useful comments. We are grateful to Tobin Center for Economic Policy at Yale for funding the data acquisition for this project. The Census Bureau’s Disclosure Review Board and Disclosure Avoidance Officers have reviewed this information product for unauthorized disclosure of confidential information and have approved the disclosure avoidance practices applied to this release. This research was performed at a Federal Statistical Research Data Center under FSRDC Project Number 2012 (CBDRBFY22-P2012-R10065).
I acknowledge financial support exceeding $10,000 from the Tobin Center for Economic Policy at Yale for funding the data acquisition for this project.