Publications of Christian Julliard

Using an equilibrium network model and a large international panel of cross-border trade, we analyse empirically the drivers of foreign currency...

We provide a novel priced Wold representation that, using the pricing restrictions of a large cross-section of asset returns, sharply identifies...

Management Science, 0(0)

We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors...

Journal of Financial Econometrics, 23 (1), nbae033

Using a unique transaction-level dataset covering the UK bilateral repo market, we show that only 61% of the repos are backed by high-quality...

We propose a novel approach to measure the cost of aggregate economic fluctuations, that does not require complete specification of investors’ risk...

Journal of Econometrics, 235 (2), 2125-2154

Journal of Financial Economics, 141(3), 831-859

The commuter hub was key to the spread of COVID-19 in London. The authors of the article estimate it contributed to over 42% of all London cases. When...

We generalise a stochastic version of the workhorse SIR (Susceptible-Infectious- Removed) epidemiological model to account for spatial dynamics...

We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...

Using information in returns we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to...