Analysis of Upstream, Downstream, and Common Firm Shocks Using a Large Factor‐Augmented Vector Autoregressive Approach
以大型因子增广 VAR 分析企业上下游与共同冲击
ABSTRACT We evaluate the roles of upstream (supplier‐to‐user), downstream (user‐to‐supplier), and common factor shock transmission across firms by deriving interfirm networks and common factors from US equities over 1989–2017. We overcome the econometric challenges of estimating the large factor‐augmented vector autoregressive (FAVAR) system by developing two alternative approaches: one prioritizing computational efficiency and the other providing the full posterior…