Branger, Nicole; Konermann, Patrick; Meinerding, Christoph - 2014 - First version: May 2014, This version: November 2014
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...