Equilibrium asset pricing in networks with mutually exciting jumps
- 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.
| Author: | Nicole BrangerORCiDGND, Patrick Konermann, Christoph MeinerdingORCiDGND, Christian Schlag |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-333172 |
| URL: | http://ssrn.com/abstract=2521434 |
| Parent Title (German): | SAFE working paper series ; No. 74 |
| Series (Serial Number): | SAFE working paper (74) |
| Publisher: | SAFE |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2014 |
| Year of first Publication: | 2014 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2014/11/11 |
| Tag: | Asset Pricing; Dynamic Networks; General Equilibrium; Mutually Exciting Processes; Recursive Preferences |
| Issue: | Version November 2014 |
| Page Number: | 42 |
| HeBIS-PPN: | 351054065 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
