Christian Julliard

London School of Economics & Political Science (LSE) - Department of Economics

Houghton Street

London WC2A 2AE

United Kingdom

Centre for Economic Policy Research (CEPR)

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

7

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CITATIONS
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331

Scholarly Papers (7)

1.
Downloads 293 ( 83,465)
Citation 22

Can Rare Events Explain the Equity Premium Puzzle?

Number of pages: 49 Posted: 13 Mar 2008
Christian Julliard and Anisha Ghosh
London School of Economics & Political Science (LSE) - Department of Economics and London School of Economics & Political Science (LSE)
Downloads 287 (85,000)
Citation 22

Abstract:

Rare Events, Rare Disasters, Equity Premium Puzzle, Generalized Empirical Likelihood, Semi-parametric Bayesian Inference, Calibration, Cross-Section of Asset Returns, Peso Phenomenon

Can Rare Events Explain the Equity Premium Puzzle?

CEPR Discussion Paper No. DP8899
Number of pages: 53 Posted: 04 Apr 2012
Anisha Ghosh and Christian Julliard
Carnegie Mellon University and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 6 (531,676)
Citation 21

Abstract:

Calibration, Cross-Section of Asset Returns, Equity Premium Puzzle, Generalized Empirical Likelihood, Peso Phenomenon, Rare Disasters, Rare Events, Semi-parametric Bayesian Inference

2.

What is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

AFA 2012 Chicago Meetings Paper
Number of pages: 43 Posted: 19 Mar 2011
Anisha Ghosh, Christian Julliard and Alex P. Taylor
Carnegie Mellon University, London School of Economics & Political Science (LSE) - Department of Economics and Manchester Business School
Downloads 240 (83,806)

Abstract:

Entropy Bounds, Multiplicative Decomposition of Pricing Kernel

Consumption Risk and the Cross-Section of Expected Returns

Number of pages: 48 Posted: 03 Jan 2005
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 170 (143,814)
Citation 120

Abstract:

Consumption Capital Asset Pricing Model, Expected returns, Equity

Consumption Risk and the Cross Section of Expected Returns

Journal of Political Economy, Vol. 113, pp. 185-222, February 2005
Posted: 13 Jan 2005
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

4.
Downloads 66 (281,491)
Citation 64

Money Illusion and Housing Frenzies

NBER Working Paper No. w12810
Number of pages: 48 Posted: 05 Jan 2007
Christian Julliard and Markus K. Brunnermeier
London School of Economics & Political Science (LSE) - Department of Economics and Princeton University - Department of Economics
Downloads 62 (294,495)
Citation 64

Abstract:

Money Illusion and Housing Frenzies

CEPR Discussion Paper No. DP6183
Number of pages: 50 Posted: 20 May 2008
Markus K. Brunnermeier and Christian Julliard
Princeton University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 4 (541,511)
Citation 64

Abstract:

Behavioural finance, housing, inflation illusion, interest rate, money illusion, mortgages, real estate

Money Illusion and Housing Frenzies

The Review of Financial Studies, Vol. 21, Issue 1, pp. 135-180, 2008
Posted: 26 Jun 2008
Markus K. Brunnermeier and Christian Julliard
Princeton University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Economics

Abstract:

5.

Consumption Risk and Cross-Sectional Returns

NBER Working Paper No. w9538
Number of pages: 46 Posted: 13 Mar 2003
Christian Julliard and Jonathan A. Parker
London School of Economics & Political Science (LSE) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 45 (337,255)
Citation 118

Abstract:

6.

A Comparison of International Residential Housing Risk Premia

Number of pages: 20 Posted: 08 Jul 2011
Grace Wong Bucchianeri and Christian Julliard
University of Pennsylvania - Real Estate Department and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 42 (308,402)

Abstract:

International housing markets, Housing risk premium, politics, zoning

7.

Network Risk and Key Players: A Structural Analysis of Interbank Liquidity

Columbia Business School Research Paper No. 17-6
Number of pages: 57 Posted: 14 Dec 2016 Last Revised: 19 Jan 2017
Edward Denbee, Christian Julliard, Ye Li and Kathy Yuan
Bank of England, London School of Economics & Political Science (LSE) - Department of Economics, Columbia Business School and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 0 (370,669)
Citation 2

Abstract:

Liquidity, Interbank Market, Network, Systemic Risk, Strategic Complementarity, Amplification Mechanism