Financial Contagion in Network Economies and Asset Prices

• 成果类型: Article
• 署名作者: Buraschi, Andrea; Tebaldi, Claudio
• 署名单位: Imperial College London; Bocconi University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4687
• 发表日期: 2024
• 关键词: equilibrium asset pricing; Financial contagion; network economies

摘要

This paper studies intertemporal asset pricing in network economies when distress shocks can propagate through the network, similarly to epidemic outbreaks. Two classes of equilibria exist. In the first, idiosyncratic shocks are diversifiable and do not affect valuations; the consumption capital asset pricing model applies. In the second, idiosyncratic shocks generate nondiversifiable long-run cascades of shocks (financial pandemics) that introduce a new risk premium component unexplained by traditional systematic factors. We derive closed solutions for asset prices as a function of the network properties and discuss their properties. After a structural break (1984), we find evidence of a network risk premium that is statistically and economically significant.