Working Paper: NBER ID: w30503
Authors: 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.
Keywords: Macroeconomics; Asset Pricing; Supply Chain Disasters; Heterogeneous Firms
JEL Codes: E0; F4; G0
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| large negative idiosyncratic productivity shocks (D89) | decline in sales growth for firms affected (F61) |
| supply chain disruptions (F69) | firm performance (L25) |
| supply chain disasters (H84) | equity premium (G12) |
| supply chain disasters (H84) | equity premium for high book-to-market firms (G12) |
| supply chain disasters (H84) | equity premium for low investment firms (G11) |
| large supply chain disruptions (F69) | returns of value stocks (G12) |
| large supply chain disruptions (F69) | returns of growth stocks (G12) |