Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103430
Authors: 
Branger, Nicole
Konermann, Patrick
Meinerding, Christoph
Schlag, Christian
Year of Publication: 
2014
Series/Report no.: 
SAFE Working Paper Series 74
Abstract: 
We analyze the implications of the structure of a network for asset prices in a general equilibrium model. Networks are represented via self- and mutually exciting jump processes, and the representative agent has Epstein-Zin preferences. Our approach provides a flexible and tractable unifying foundation for asset pricing in networks. The model endogenously generates results in accordance with, e.g., the robust-yet-fragile feature of financial networks shown in Acemoglu, Ozdaglar, and Tahbaz-Salehi (2014) and the positive centrality premium documented in Ahern (2013). We also show that models with simpler preference assumptions cannot generate all these findings simultaneously.
Subjects: 
Dynamic Networks
Mutually Exciting Processes
Asset Pricing
General Equilibrium
Recursive Preferences
JEL: 
G01
G12
D85
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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