sanctions supply chain passthrough
What it checks
When a country a company sources inputs from gets sanctioned, the downstream company tends to drift down for 1-3 months due to supply-chain disruption.
Mechanism
Supply-chain disruptions in upstream suppliers transmit to downstream firms with 1-3 month lag and ~3x amplification when supplier is critical. Sanctions on a supplier country are the cleanest exogenous shock - Carvalho-Nirei-Saito-Tahbaz-Salehi 2021 network channel.
Signal rule
Filter ofac_corporate_exposure rows on supply-chain keywords (supply/supplier/sourcing/component/raw-material/import/manufactur); OFAC action against filtered country -> SHORT downstream 30/60/90d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
ofac_sdnWorker data table — see services/worker schema.
ofac_corporate_exposureWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- 150-400 bps over 30-90d (modeled)
- Paper window
- T+1 to T+90d
Carvalho et al 2021 QJE network passthrough; internal target 150-400 bps over 30-90d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
ofac sdn sanctions eventGeopoliticalNew OFAC SDN action against country C imposes step-change cost on US firms with disclosed segment exposure to C.
sanctions country basket shortGeopoliticalMulti-country OFAC sanctions in a short window impose compounding negative repricing on US-listed firms with 10-K-disclosed exposure (Caldara-Iacoviello 2022 GPR channel). Basket-level shock magnifies single-country effect.
geopolitical supply chain riskMacro compositeGeopolitical + supply-chain stress raises CAPEX timing risk and inventory cost for cyclical industrials tied to global trade tonnage. When the composite of GDELT tone, ACLED fatalities, port-throughput shock, and Baltic Dry proxy crosses +1.5σ, the cyclical-industrials basket underperforms over 10-20 days.
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