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Christian Julliard

@christianjulliard.net
2.8K followers 516 following 67 posts

I think, read, write, teach (and take photos). Associate Professor @LSEFinance. I study the interaction between financial markets and the macroeconomy. christianjulliard.net

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Christian Julliard @christianjulliard.net · 17/06/2025
What about time-varying risk premia?
Contrary to many models, we find no evidence that stochastic volatilities in consumption drive them.
Instead, it’s the (shocks to the) conditional mean of consumption the main link between consumption and returns. 11/n
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Christian Julliard @christianjulliard.net · 17/06/2025
We verify these mechanisms with a plethora of perturbations to specification / data / frequencies / etc No matter how we slice it, the result holds: consumption reacts slowly but strongly to financial shocks, & these slowly propagating shocks command very large risk premia. 10/n
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Christian Julliard @christianjulliard.net · 17/06/2025
Is this Long Run Risk? Not verbatim, but rather medium run / business cycle risk: consumption reacts to priced shocks fully within 2-3 years. Hence, priced consumption risk is about what happens within the next business cycle, rather than hundred years down the line. 9/n
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Christian Julliard @christianjulliard.net · 17/06/2025
We embed our estimated process into a standard recursive utility model.
With low risk aversion, it explains both the equity premium and the risk-free rate puzzles.
No need for exotic preferences or extreme calibrations. 8/n
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Christian Julliard @christianjulliard.net · 17/06/2025
To validate our identification, we turn to micro data.
Only stockholders’ consumption responds to financial shocks.
Non-stockholders’ doesn’t. Aggregate consumption sits in between.
Exactly what theory predicts. 7/n
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Christian Julliard @christianjulliard.net · 17/06/2025
These shocks aren’t just statistically significant—they’re economically meaningful. They command an annual Sharpe ratio of ~0.5 (as large as the market!) and explain a large share of stock return variation (and a modest but significant share of bond excess returns too). 6/n
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Christian Julliard @christianjulliard.net · 17/06/2025
Using a flexible state-space model we find that aggregate consumption reacts over multiple quarters to shocks spanned by financial markets, accounting for over 25% of consumption variation. 5/n
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Christian Julliard @christianjulliard.net · 17/06/2025
🚨 "Consumption in Asset Returns" (w. Svetlana Bryzgalova & Jiantao Huang) forthcoming @ Journal of Finance We use asset returns to uncover the elusive dynamics of consumption. Turns out, financial markets know a lot about future consumption—and it matters for both macro & asset pricing 🧵👇 1/n
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Christian Julliard @christianjulliard.net · 03/04/2025
(Marketing with?) fear of a run
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Christian Julliard @christianjulliard.net · 30/03/2025
If I had not cancelled already my monthly donation to @theguardian.com because of the economic illiteracy of their editorial team, this attack on central bank independence would have been the last straw
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Christian Julliard @christianjulliard.net · 16/03/2025
UK used car price trends are quite telling:
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Christian Julliard @christianjulliard.net · 23/11/2024
👇A financial economist to follow. @alex-dickerson.bsky.social Producer of great public goods for corporate bond research at openbondassetpricing.com
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Christian Julliard @christianjulliard.net · 13/11/2024
A bit of a "Death Start" too ;-) and much better in motion: tinyurl.com/554v4tn9
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Christian Julliard @christianjulliard.net · 19/10/2024
Why BFM? Unlike traditional methods, BFM provides valid credible intervals and detects weakly identified factors, making it robust yet intuitive. 3/n #AssetPricing
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Christian Julliard @christianjulliard.net · 19/10/2024
🚨New (very short) paper alert: "Bayesian Fama-MacBeth Regressions" with @SBryzgalova and Jiantao Huang tinyurl.com/bddpezz6 🧵1/n #Finance #Econometrics
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