The exponential family of random graphs represents an important and challenging class of network models. Despite their flexibility, conventionally used exponential random graphs have one shortcoming. They cannot directly model weighted networks as the underlying probability space consists of simple graphs only. Since many substantively important networks are weighted, this limitation is especially problematic. We extend the existing exponential framework by proposing a generic common distribution for the edge weights and rigorously analyze the associated phase transitions and critical phenomena. We then apply these general results to get concrete answers in exponential random graph models where the edge weights are uniformly distributed.