TY  - UNPD
A1  - Branger, Nicole
A1  - Konermann, Patrick
A1  - Meinerding, Christoph
A1  - Schlag, Christian
T1  - Equilibrium asset pricing in networks with mutually exciting jumps
T2  - SAFE working paper series ; No. 74
N2  - 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  exible and tractable unifying foundation for asset pricing in networks. The model endogenously generates results in accordance with, e.g., the robust-yetfragile 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.
T3  - SAFE working paper - 74 
KW  - Dynamic Networks
KW  - Mutually Exciting Processes
KW  - Asset Pricing
KW  - General Equilibrium
KW  - Recursive Preferences
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/33317
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-333172
UR  - http://ssrn.com/abstract=2521434
IS  - Version November 2014
PB  - SAFE
CY  - Frankfurt am Main
ER  -