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Title page 1

Contents 1

Abstract 2

Non-technical summary 3

1. Introduction 5

2. Empirical Evidence 9

2.1. Measures of Supply Chain Uncertainty 9

2.2. State-Dependent Local Projections 11

2.2.1. Robustness 15

2.3. Information Value of Energy Prices 16

2.4. Evidence from Earnings Calls 18

2.5. Summary of Empirical Evidence 20

3. A Model of the Supply Chain 20

3.1. Stylized Supply Chain Structure 21

3.2. Final and Intermediate Product Firms 22

3.3. Supply of Energy 23

3.4. Market for Transportation 24

3.4.1. A Simple Model of the Transportation Market 25

3.5. Raw Energy 28

3.6. Equilibrium in the Energy and Specialized Input Markets 28

3.6.1. Equilibrium Marginal Cost 30

3.7. Supply Chain Uncertainty 30

3.8. Pass-Through of Energy Prices under Uncertainty 33

3.9. Staggered Price Setting 36

3.9.1. New Keynesian Phillips Curve (NKPC) under Uncertainty 37

4. General Equilibrium 39

4.1. Monetary Policy and Energy Shocks: Look-Through? 41

5. Conclusions 44

References 45

Appendix 48

A. Appendix 48

A.1. Proof of Proposition 1 (Impact Pass-Through) 48

A.2. Proof of Proposition 2 (Dynamic Pass-Through) 48

A.3. Proof of Proposition 3 (Phillips Curve under Uncertainty) 50

B. Appendix on Local Projections 56

B.1. Four Measures of SCU 56

B.2. Average Congestion Rate (ACR) Index 60

B.3. LP Estimates under Global SCU, ETU Index, and GSCPI Volatility 61

B.4. LP of Inflation on Gas Shocks 64

B.5. LP Estimates under EPU Index 66

B.6. LP Estimates with Additional COVID Controls 68

B.7. LP Estimates with Additional Supply Chain Pressure Controls 68

C. Empirical Appendix 74

C.1. Kalman Filter Estimation: Procedure 74

C.2. Kalman Filter Estimation: Additional Results 77

C.3. SCU Text-mining Measures Extracted from Earnings Calls 78

C.4. Appendix: Earnings Calls Evidence 79

D. Model Appendix 81

D.1. Timeline of the Information Problem 81

D.2. Details on the State-space Model 82

D.3. Bayesian Learning 83

D.4. Kalman Gain at Steady State 84

D.5. Derivation of Equilibrium Energy 84

D.6. Calvo Price Stickiness under SCU 85

D.7. Derivation: NKPC under Uncertainty 86

D.8. Details on General Equilibrium 86

References 88

Acknowledgements 89

Tables 20

Table 1. Conditional correlates of supply chain keywords in the U.S. and Euro area 20

Table C.2. Parameter bounds for calibration and estimation 75

Table C.3. Kalman parameters for BDI and Energy inflation - U.S. and Euro area 77

Table C.4. Kalman gain for BDI and Energy inflation - U.S. and Euro area 78

Table C.5. Kalman gain for BDI and Energy Prices - U.S. and Euro area 78

Table C.6. Representative sentences with both energy and supply chain keywords 80

Figures 5

Figure 1. Supply chain uncertainty 5

Figure 2. Measures of supply-chain uncertainty (SCU) 10

Figure 3. Oil supply news shocks 12

Figure 4. Headline and core inflation responses to an oil news shock across Region-specific SCU states - U.S. and Euro area 13

Figure 5. Expected inflation responses to an oil news shock across Region-specific SCU states - U.S. and Euro area 14

Figure 6. Loading coefficients for BDI and Energy Inflation - U.S. and Euro area 18

Figure 7. Model of the supply chain 22

Figure 8. Transportation market (lower case variables in logs) 26

Figure 9. Impulse responses of the optimal intermediate product price and of the estimated transportation shock to an i.i.d. raw energy price shock:... 35

Figure 10. Effect of varying supply chain uncertainty σψ on the dynamic energy price pass-through at different horizons k 36

Figure 11. Impulse responses to an i.i.d. raw energy price shock: complete information (green) vs alternative levels of supply chain uncertainty (red and blue) 42

Figure 12. Impulse responses of inflation and one-quarter-ahead expected inflation to an i.i.d. raw energy price shock under alternative... 43

Figure B.13. Comparison of EU vs U.S. Region-specific Supply Chain Uncertainty 57

Figure B.14. Evolution of GSCPI: Level versus Volatility 60

Figure B.15. (a) Evolution of GSCPI versus ACR index, (b) GSCPI vs. ACR volatility index (원문불량) 61

Figure B.16. Headline and core inflation responses to an oil news shock across Global SCU uncertainty states - U.S. and Euro area 62

Figure B.17. Headline and core inflation responses to an oil news shock across ETU index uncertainty states - U.S. and Euro area 63

Figure B.18. Headline and core inflation responses to an oil news shock across GSCPI Volatility uncertainty states - U.S. and Euro area 64

Figure B.19. Headline and core inflation responses to a gas news shock across Region-specific SCU uncertainty states - Euro area 65

Figure B.20. Headline and core inflation responses to an oil news shock across Economic Policy Uncertainty states - U.S. and Euro area 67

Figure B.21. Headline and core inflation responses to an oil news shock with a COVID-level additional control across Region-specific SCU... 70

Figure B.22. Headline and core inflation responses to an oil news shock with a set of COVID-month additional controls across Region-specific SCU... 71

Figure B.23. Headline and core inflation responses to an oil news shock with a set of supply-chain pressures controls across Region-specific SCU... 72

Figure B.24. Headline and core inflation responses to an oil news shock with a supply-chain pressure control interacted with the oil news shock... 73

Figure C.25. Loading coefficients for BDI and Energy Prices - U.S. and Euro area 78

Figure C.26. Global SCU index extracted from newspapers versus earnings calls 79

Figure D.27. Acyclic directed graph of the state-space model 83

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