Arbeitspapier
Equilibrium asset pricing in directed networks
Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an asset's shock propagation capacity (spc). In the model, we prove: (i) Cash flow shocks of high spc assets command high market prices of risk, (ii) the price reaction of an asset to its own cash flow shocks is less pronounced for high spc assets. To illustrate our theoretical findings, we estimate an empirical network from industry cash flows and find support for these predictions.
- ISBN
-
978-3-95729-503-3
- Sprache
-
Englisch
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 37/2018
- Klassifikation
-
Wirtschaft
Financial Crises
Asset Pricing; Trading Volume; Bond Interest Rates
Network Formation and Analysis: Theory
- Thema
-
directed cash flow networks
directed shocks
mutually exciting processes
recursive preferences
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Branger, Nicole
Konermann, Patrick
Meinerding, Christoph
Schlag, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Branger, Nicole
- Konermann, Patrick
- Meinerding, Christoph
- Schlag, Christian
- Deutsche Bundesbank
Entstanden
- 2018
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