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Jean-Paul Renne

Personal Details

First Name:Jean-Paul
Middle Name:
Last Name:Renne
Suffix:
RePEc Short-ID:pre174
[This author has chosen not to make the email address public]
https://sites.google.com/site/jeanpaulrenne/home

Affiliation

Départment d'économétrie et d'économie politique (DEEP)
Faculté des Hautes Études Commerciales (HEC)
Université de Lausanne

Lausanne, Switzerland
http://www.hec.unil.ch/deep/
RePEc:edi:deelsch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Christian Gourieroux & Alain Monfort & Jean-Paul Renne, 2022. "Required Capital for Long-Run Risks," Post-Print hal-03865173, HAL.
  2. Sarah Mouabbi & Jean-Paul Renne & Jean-Guillaume Sahuc, 2021. "Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective," Working papers 844, Banque de France.
  3. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.
  4. Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
  5. Sarah Mouabbi & Jean-Paul Renne & Jean-Guillaume Sahuc, 2020. "Taming Debt: Can GDP-Linked Bonds Do the Trick?," EconomiX Working Papers 2020-13, University of Paris Nanterre, EconomiX.
  6. Jean-Paul Renne & Guillaume Roussellet & Gustavo Schwenkler, 2020. "Preventing COVID-19 Fatalities: State versus Federal Policies," Papers 2010.15263, arXiv.org, revised Dec 2020.
  7. Christian Gourieroux & Alain Monfort & Jean-Paul Renne, 2020. "Identification and Estimation in Nonfundamental Structural Models," Post-Print hal-03330924, HAL.
  8. O. Grishchenko & S. Mouabbi & J.-P. Renne, 2017. "The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty," Working papers 622, Banque de France.
  9. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2017. "Identification and Estimation in Non-Fundamental Structural VARMA Models," Working Papers 2017-08, Center for Research in Economics and Statistics.
  10. Olesya V. Grishchenko & Sarah Mouabbi & Jean-Paul Renne, 2017. "Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison," Finance and Economics Discussion Series 2017-102, Board of Governors of the Federal Reserve System (U.S.).
  11. S. Fries & J.-S. Mésonnier & S. Mouabbi & J.-P. Renne, 2016. "National natural rates of interest and the single monetary policy in the Euro Area," Working papers 611, Banque de France.
  12. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2016. "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers 2016-20, Center for Research in Economics and Statistics.
  13. A. Monfort & F. Pegoraro & J.-P. Renne & G. Roussellet, 2015. "Staying at Zero with Affine Processes: An Application to Term Structure Modelling," Working papers 558, Banque de France.
  14. Monfort, A. & Renne, J.-P. & Roussellet, G., 2014. "A Quadratic Kalman Filter," Working papers 486, Banque de France.
  15. Gouriéroux, C. & Monfort, A. & Pegoraro, F. & Renne, J-P., 2013. "Regime Switching and Bond Pricing," Working papers 456, Banque de France.
  16. Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G., 2013. "Credit and Liquidity in Interbank Rates: a Quadratic Approach," Working papers 446, Banque de France.
  17. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.
  18. Romain Bouis & Łukasz Rawdanowicz & Jean-Paul Renne & Shingo Watanabe & Ane Kathrine Christensen, 2013. "The Effectiveness of Monetary Policy since the Onset of the Financial Crisis," OECD Economics Department Working Papers 1081, OECD Publishing.
  19. Renne, J-P., 2012. "A model of the euro-area yield curve with discrete policy rates," Working papers 395, Banque de France.
  20. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
  21. Borgy, V. & Laubach, T. & Mésonnier, J-S. & Renne, J-P., 2011. "Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets," Working papers 350, Banque de France.
  22. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
  23. Borgy, V. & Clerc, L. & Renne, J-P., 2009. "Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation?," Working papers 263, Banque de France.
  24. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
  25. Mésonnier, J-S. & Renne, J-P., 2007. "Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy?," Working papers 175, Banque de France.
  26. Jean-Stephane Mesonnier & Jean-Paul Renne, 2004. "A Time Varying Natural Rate of Interest for the Euro Area," Money Macro and Finance (MMF) Research Group Conference 2004 42, Money Macro and Finance Research Group.
  27. Mésonnier, J-S. & Renne, J-P., 2004. "A Time-Varying Natural Rate for the Euro Area," Working papers 115, Banque de France.
  28. Mésonnier, J-S. & Renne, J-P., 2004. "Règle de Taylor et politique monétaire dans la zone euro," Working papers 117, Banque de France.
  29. Monfort, Alain & Vitale, Giovanni & Rüffer, Rasmus & Renne, Jean-Paul, 2003. "Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects," CEPR Discussion Papers 4119, C.E.P.R. Discussion Papers.

Articles

  1. Gouriéroux, C. & Monfort, A. & Renne, J.-P., 2022. "Required Capital for Long-Run Risks," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  2. Philippe Bacchetta & Kenza Benhima & Jean-Paul Renne, 2022. "Understanding Swiss real interest rates in a financially globalized world," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 158(1), pages 1-17, December.
  3. Christian Gouriéroux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2021. "Disastrous Defaults [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, vol. 25(6), pages 1727-1772.
  4. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2020. "Identification and Estimation in Non-Fundamental Structural VARMA Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(4), pages 1915-1953.
  5. Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019. "Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
  6. Sébastien Fries & Jean‐Stéphane Mésonnier & Sarah Mouabbi & Jean‐Paul Renne, 2018. "National natural rates of interest and the single monetary policy in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 763-779, September.
  7. Gouriéroux, Christian & Monfort, Alain & Renne, Jean-Paul, 2017. "Statistical inference for independent component analysis: Application to structural VAR models," Journal of Econometrics, Elsevier, vol. 196(1), pages 111-126.
  8. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
  9. Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
  10. Renne, Jean-Paul, 2016. "A tractable interest rate model with explicit monetary policy rates," European Journal of Operational Research, Elsevier, vol. 251(3), pages 873-887.
  11. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
  12. Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
  13. Borgy, Vladimir & Clerc, Laurent & Renne, Jean-Paul, 2014. "Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles?," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 132-150.
  14. Jean‐Paul Renne, 2014. "Pricing Sovereign Bond Risk In The Emu Area: An Empirical Investigation: Comment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(1), pages 57-58, January.
  15. Alain Monfort & Jean-Paul Renne, 2014. "Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks," Review of Finance, European Finance Association, vol. 18(6), pages 2103-2151.
  16. Jean‐Paul Renne, 2014. "Using Policy Intervention To Identify Financial Stress: Comment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(1), pages 73-73, January.
  17. Christian Gourieroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2014. "Regime Switching and Bond Pricing," Journal of Financial Econometrics, Oxford University Press, vol. 12(2), pages 237-277.
  18. Gouriéroux, C. & Monfort, A. & Renne, J.P., 2014. "Pricing default events: Surprise, exogeneity and contagion," Journal of Econometrics, Elsevier, vol. 182(2), pages 397-411.
  19. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
  20. A. Bernales. & J-P. Renne., 2012. "The measurement of systemic risk. Summary of a lecture given by Robert F. Engle, winner of the Nobel Prize in Economics, Banque de France, 25 January 2012," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 25, pages 81-84, Spring.
  21. Bernales, A. & Renne, J-P., 2012. "La mesure du risque systémique. Synthèse de la conférence donnée à la Banque de France, par Robert F. Engle, prix Nobel d’économie, le 25 janvier 2012," Bulletin de la Banque de France, Banque de France, issue 188, pages 9-12.
  22. Jean-Paul Renne & Maylis Coupet, 2008. "Réformes fiscales dans un modèle DSGE France en économie ouverte," Économie et Prévision, Programme National Persée, vol. 183(2), pages 199-222.
  23. Mesonnier, Jean-Stephane & Renne, Jean-Paul, 2007. "A time-varying "natural" rate of interest for the euro area," European Economic Review, Elsevier, vol. 51(7), pages 1768-1784, October.
  24. Jean-Paul Renne, 2007. "Quelles sont les parts cyclique et structurelle du chômage en France ?," Économie et Prévision, Programme National Persée, vol. 177(1), pages 129-136.
  25. Jean-Paul Renne & Romain Bouis, 2006. "Caractéristiques des marchés du travail dans les pays de l'OCDE," Économie et Prévision, Programme National Persée, vol. 173(2), pages 171-178.

Books

  1. Renne, Jean-Paul, 2013. "Regime switching in bond yield and spread dynamics," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13651 edited by Monfort, Alain.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 24 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (19) 2004-02-29 2011-08-29 2011-12-13 2012-05-22 2012-09-09 2013-08-23 2013-10-11 2013-10-25 2013-10-25 2015-06-20 2017-01-22 2017-03-19 2017-10-15 2018-01-15 2020-02-24 2020-06-08 2020-10-12 2021-08-09 2021-11-22. Author is listed
  2. NEP-BAN: Banking (8) 2011-08-29 2011-12-13 2013-06-04 2013-10-11 2013-10-25 2020-02-24 2020-10-12 2021-08-09. Author is listed
  3. NEP-EEC: European Economics (6) 2011-11-14 2011-12-13 2012-05-22 2012-09-09 2017-03-19 2017-10-15. Author is listed
  4. NEP-MON: Monetary Economics (6) 2004-09-30 2012-09-09 2013-10-11 2017-01-22 2017-03-19 2017-10-15. Author is listed
  5. NEP-RMG: Risk Management (6) 2011-08-29 2013-06-04 2013-10-25 2020-02-24 2020-10-12 2021-08-09. Author is listed
  6. NEP-CBA: Central Banking (5) 2011-11-14 2011-12-13 2012-05-22 2013-08-23 2017-03-19. Author is listed
  7. NEP-ECM: Econometrics (4) 2011-08-29 2014-06-22 2018-01-15 2018-01-15
  8. NEP-FMK: Financial Markets (4) 2011-11-14 2012-09-09 2013-10-11 2013-10-25
  9. NEP-ETS: Econometric Time Series (3) 2014-06-22 2018-01-15 2018-01-15
  10. NEP-ORE: Operations Research (3) 2013-10-25 2014-06-22 2018-01-15
  11. NEP-FDG: Financial Development and Growth (2) 2021-08-09 2021-11-22
  12. NEP-IAS: Insurance Economics (1) 2011-12-13

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