Global supply chain pressure and macro-financial downside risk: Can monetary policy buffer the risk transmission?
研究了全球供应链冲击如何加剧宏观金融下行风险，发现2008年金融危机和2020年新冠疫情时期影响尤为显著，并指出货币政策虽能缓冲风险但存在明显时滞。
This paper investigates the relationship between global supply chain shocks and macro-financial downside risk, shedding light on how disruptions in supply chains translate into broader macroeconomic vulnerabilities. By employing quantile models and skewed-t time-varying distribution frameworks, we estimate the characteristics of macro-financial downside risk and reveal the evolving properties of macroeconomic statistical distributions along with their associated risk volatilities. Additionally, we construct a Bayesian Structural Vector Autoregression (SVAR) model based on the Global Supply Chain Pressure Index. Our findings indicate that supply chain shocks significantly heighten macro-financial downside risk, with the effects particularly pronounced during the 2008 financial crisis and the 2020 COVID-19 pandemic. This study uniquely captures the dynamic and time-varying nature of the influence of supply chain risks on macro-financial downside risk, providing fresh insights into the intricate interplay between supply chain disruptions and macroeconomic stability. Furthermore, counterfactual decompositions of the impulse response functions suggest that monetary policy can effectively establish a risk-buffering mechanism in response to these shocks, although with a notable lag.