Christian Julliard
Finance Faculty
Research Interests
Macroeconomics
Finance
Applied econometrics
International economics and finance
Real estate finance
Publications
The Co-Pricing Factor Zoo
We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors...
DP 944
What Drives Repo Haircuts? Evidence from the UK Market
Using a unique transaction-level data, we document that only 60% of bilateral repos held by UK banks are backed by high quality collateral. Banks...
DP 910
The Market Cost of Business Cycle Fluctuations
We propose a novel approach to measure the costs of aggregate economic fluctuations, that does not require specification of preferences or the data...
DP 898
The spread of COVID-19 in London: Network effects and optimal lockdowns
Journal of Econometrics, 235 (2), 2125-2154
Research highlight
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Journal of Finance, 78 (1), 487-557
Network Risk and Key Players: A Structural Analysis of Interbank Liquidity
Journal of Financial Economics, 141(3), 831-859
How we learned to stop counting cases and worry about network effects instead
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...
