Bond markets can plummet or rally on the back of sentiment-driven reactions which are unrelated to fundamentals. Therefore, changes in bond prices can not only be interpreted as reflecting risk but also mispricing of long-term assets. These perceived risks can often feed back into the economy by...

We develop a quantitative approach to evaluate the roles of upstream (supplier-to-user), downstream (user-to-supplier) and common factor shock transmission across firms. Inter-firm networks are estimated from U.S. equities over 1989-2017 using machine learning techniques. We then employ a...