Lightnews — Scholar-powered news

Reposted by Christian Julliard

Paul Goldsmith-Pinkham @paulgp.com · Jul 9

@econmsk.bsky.social and Levine's new WP on Fertility in high-income countries has two remarkable graphs

www.nber.org/papers/w3398...

The first shows the enormous shift up in share of women delaying / choosing to not have any kids across cohorts:

2 9 38

Christian Julliard @christianjulliard.net · Jul 1

A must read. 20 years of USAID avoided an estimated 91 million preventable deaths worldwide.

The 2025 cuts to 83% of its programmes are projected to result in 14 million preventable deaths by 2030.

The Lancet: 🧪 www.thelancet.com/journals/lan...

Evaluating the impact of two decades of USAID interventions and projecting the effects of defunding on mortality up to 2030: a retrospective impact evaluation and forecasting analysis

USAID funding has significantly contributed to the reduction in adult and child mortality across low-income and middle-income countries over the past two decades. Our estimates show that, unless the a...

www.thelancet.com

1

Christian Julliard @christianjulliard.net · Jun 26

My flight to Chicago landed in Milwaukee, leaving me stranded and miss my connection to London. A learning experience: consumer protection in US v EU is (dark) night v day.

2

Christian Julliard @christianjulliard.net · Jun 17

🔵 Paper: tinyurl.com/4m733etp
🔵 In 20 Slides: tinyurl.com/yc54pkz5
🔵 Codes & Replication: tinyurl.com/4c5tneh6
n/n - fin

tinyurl.com

Christian Julliard @christianjulliard.net · Jun 17

Bottom line: 
✅ Financial markets help identify the true process of consumption 
✅ This helps solve long-standing asset pricing puzzles
 ✅ Time-varying volatility of consumption? Probably not the main story behind time-varying risk premia
12/n

1

Christian Julliard @christianjulliard.net · Jun 17

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

1

Christian Julliard @christianjulliard.net · Jun 17

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

1

Christian Julliard @christianjulliard.net · Jun 17

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

1

Christian Julliard @christianjulliard.net · Jun 17

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

1

Christian Julliard @christianjulliard.net · Jun 17

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

1

Christian Julliard @christianjulliard.net · Jun 17

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

1

Christian Julliard @christianjulliard.net · Jun 17

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

1

Christian Julliard @christianjulliard.net · Jun 17

Hence, news about current and future priced consumption states are immediately reflected in prices, and we can use returns to learn about consumption dynamics.
4/n

1

Christian Julliard @christianjulliard.net · Jun 17

Our identification strategy is grounded in theory: 
📌 The Euler equation links consumption and returns 
📌 Asset prices are “jump” variables—they react to shocks as they occur
3/n

1

Christian Julliard @christianjulliard.net · Jun 17

Most consumption-based asset pricing models rely on “dark matter”--ingredients very powerful in action, yet almost impossible to see with a naked eye or easily verify.

We turn this identification problem on its head: Instead of going from consumption to returns, we go the other way round. 2/n

1 1

Christian Julliard @christianjulliard.net · Jun 17

🚨 "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

1 3

Reposted by Christian Julliard

Don Moynihan @donmoyn.bsky.social · May 30

New from @chloeneast.bsky.social at Can We Still Govern:
AEI cited her work to make the case for SNAP work requirements. Chloe explains that her and other research show that work requirements reduce SNAP access while doing nothing for employment outcomes.
donmoynihan.substack.com/p/what-aei-g...

What AEI Gets Wrong about SNAP Work Requirements

They cited my research, so let me respond!

donmoynihan.substack.com

11 130 360

Reposted by Christian Julliard

Kyle Cheney @kyledcheney.bsky.social · Apr 8

BREAKING: Judge McFadden has *granted * the AP’s injunction against the White House’s ban on access to the Oval Office and East Room.

210 2.5K 12K

Reposted by Christian Julliard

Randall Munroe @xkcd.com · Apr 8

Tariffs xkcd.com/3073

260 8.8K 32K

Reposted by Christian Julliard

Guy Berger @econberger.bsky.social · Apr 8

Google searches for "filing for unemployment":

1/ This thread is inspired by the great @aaronsojourner.org , who is a pioneer (along with @paulgp.com and Elizabeth Pancotti) in nowcasting unemployment insurance claims using Google Trends data.

7 56 270

Reposted by Christian Julliard

Dina Pomeranz @dinapomeranz.bsky.social · Apr 8

I have already decided not to come to the US for conferences or talks anymore for the time being. This is particularly painful as I used to live there (for 12 years)...

Shana Gadarian @sgadarian.bsky.social · Apr 8

International students will stop coming to American universities if their visas are going to be at risk. This will make our intellectual community poorer and also make tuition more expensive for domestic students.

Jaweed Kaleem @jaweedkaleem.bsky.social · Apr 8

UPDATED: At least 83 students -- at campuses for University of California, California State University and Stanford -- have had their visas revoked as of Monday evening.

4 12 93

Christian Julliard @christianjulliard.net · Apr 3

(Marketing with?) fear of a run

1

Christian Julliard @christianjulliard.net · Apr 2

In twelve months or so of data all macro and trade talks will be potentially classified as “anti-governmental”. It’s gonna be fun for economists.

www.theguardian.com/us-news/2025...

NYU canceled talk on USAID cuts for being ‘anti-governmental’, doctor says

University called Dr Joanne Liu, ex-head of Doctors Without Borders, after planning to speak on Gaza and federal cuts

www.theguardian.com

Christian Julliard @christianjulliard.net · Mar 30

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

Christian Julliard @christianjulliard.net · Mar 30

We should go after all the economists stating “Let $(\Omega , \mathcal{F}, P)$ denote ….” without ever citing Kolmogorov

Noah Williams @bellmanequation.bsky.social · Mar 29

Possibly the dumbest of the many dumb plagiarism claims
nationalpost.com/news/mark-ca...

1 5