Christian Julliard
Finance Faculty
Research Interests
Macroeconomics
Finance
Applied econometrics
International economics and finance
Real estate finance
Publications
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...
The Spread of COVID-19 in London: Network Effects and Optimal Lockdowns
We generalise a stochastic version of the workhorse SIR (Susceptible-Infectious- Removed) epidemiological model to account for spatial dynamics...
DP 817
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...
DP 791
