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...