Financial Contagion in Network Economies and Asset Prices
研究了网络经济中危机冲击通过类似疫情传播的机制影响资产定价，发现存在两种均衡：一种可分散风险，另一种产生不可分散的长期冲击链，引入传统因素无法解释的新风险溢价成分。
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. This paper was accepted by Agostino Capponi, finance. Funding: This work was supported by Ministero dell’Istruzione, dell’Università e della Ricerca [Grant PRIN-2017TA7TYC] and Baffi CAREFIN. C. Tebaldi is a fellow of Baffi CAREFIN and Innocenzo Gasaprini Institute for Economic Research Centers. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2023.4687 .