Asset prices in a production network

Publicado en

  • European Economic Review

Resumen

  • The relative importance of sectoral and aggregate productivity shocks in asset pricing is examined using a nonlinear dynamic equilibrium model where heterogeneous sectors interact in a production network. The model accounts for the heterogeneity in sectoral stock returns and endogenously generates conditional heteroskedasticity and fat tails. The equity risk premium is shown to be driven by sectoral shocks – specially to investment good producers and mining – with a limited contribution from the aggregate shock. SMM estimates of the elasticities of substitution between material inputs and between investment goods support the assumption of gross complementarity employed by previous network literature.

fecha de publicación

  • 2024

Líneas de investigación

  • Asset-pricing
  • Fat tails
  • Heteroskedasticity
  • Input–output
  • Multi-sector economy

Volumen

  • 166