Details about Jean-Paul Renne

Access statistics for papers by Jean-Paul Renne.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pre174

Working Papers

2025

1. Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model
   Working Paper Series, European Central Bank

2022

2. Required Capital for Long-Run Risks
   Post-Print, HAL
   See also Journal Article Required Capital for Long-Run Risks, Journal of Economic Dynamics and Control, Elsevier (2022) (2022)

2021

3. Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective
   Working papers, Banque de France View citations (1)
   See also Journal Article Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective, Journal of Banking & Finance, Elsevier (2024) (2024)
4. Disastrous Defaults
   TSE Working Papers, Toulouse School of Economics (TSE) View citations (1)
   Also in Working papers, Banque de France (2020) View citations (1)
   See also Journal Article Disastrous Defaults*, Review of Finance, European Finance Association (2021) View citations (1) (2021)

2020

5. Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion
   Working Papers, Center for Research in Economics and Statistics View citations (5)
   See also Journal Article Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion, Management Science, INFORMS (2021) View citations (4) (2021)
6. Identification and Estimation in Nonfundamental Structural Models
   Post-Print, HAL View citations (2)
7. Preventing COVID-19 Fatalities: State versus Federal Policies
   Papers, arXiv.org View citations (9)
8. Taming Debt: Can GDP-Linked Bonds Do the Trick?
   EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (1)
   Also in Working Papers, HAL (2020)

2017

9. Identification and Estimation in Non-Fundamental Structural VARMA Models
   Working Papers, Center for Research in Economics and Statistics
   See also Journal Article Identification and Estimation in Non-Fundamental Structural VARMA Models, The Review of Economic Studies, Review of Economic Studies Ltd (2020) View citations (15) (2020)
10. Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (11)
    See also Journal Article Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison, Journal of Money, Credit and Banking, Blackwell Publishing (2019) View citations (39) (2019)
11. Statistical Inference for Independent Component Analysis: Application to Structural VAR Models
    Working Papers, Center for Research in Economics and Statistics View citations (110)
    Also in Working Papers, Center for Research in Economics and Statistics (2016) View citations (2)
    See also Journal Article Statistical inference for independent component analysis: Application to structural VAR models, Journal of Econometrics, Elsevier (2017) View citations (110) (2017)
12. The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty
    Working papers, Banque de France View citations (6)

2016

13. National natural rates of interest and the single monetary policy in the Euro Area
    Working papers, Banque de France View citations (19)
    See also Journal Article National natural rates of interest and the single monetary policy in the euro area, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (28) (2018)

2015

14. Staying at Zero with Affine Processes: An Application to Term Structure Modelling
    Working papers, Banque de France View citations (13)
    See also Journal Article Staying at zero with affine processes: An application to term structure modelling, Journal of Econometrics, Elsevier (2017) View citations (35) (2017)

2014

15. A Quadratic Kalman Filter
    Working papers, Banque de France
    See also Journal Article A Quadratic Kalman Filter, Journal of Econometrics, Elsevier (2015) View citations (9) (2015)

2013

16. Credit and Liquidity in Interbank Rates: a Quadratic Approach
    Working papers, Banque de France View citations (6)
    See also Journal Article Credit and liquidity in interbank rates: A quadratic approach, Journal of Banking & Finance, Elsevier (2016) View citations (19) (2016)
17. Pricing Default Events: Surprise, Exogeneity and Contagion
    Working Papers, Center for Research in Economics and Statistics
    Also in Working papers, Banque de France (2013)
    See also Journal Article Pricing default events: Surprise, exogeneity and contagion, Journal of Econometrics, Elsevier (2014) View citations (11) (2014)
18. Regime Switching and Bond Pricing
    Working papers, Banque de France View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2013) View citations (2)
    See also Journal Article Regime Switching and Bond Pricing, Journal of Financial Econometrics, Oxford University Press (2014) View citations (5) (2014)
19. The Effectiveness of Monetary Policy since the Onset of the Financial Crisis
    OECD Economics Department Working Papers, OECD Publishing View citations (34)

2012

20. A model of the euro-area yield curve with discrete policy rates
    Working papers, Banque de France View citations (10)
    See also Journal Article A model of the euro-area yield curve with discrete policy rates, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2017) View citations (2) (2017)

2011

21. Credit and Liquidity Risks in Euro-area Sovereign Yield Curves
    Working Papers, Center for Research in Economics and Statistics View citations (14)
    Also in Working papers, Banque de France (2011) View citations (14)
22. Default, liquidity and crises: an econometric framework
    Working papers, Banque de France View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2010) View citations (3)
    See also Journal Article Default, Liquidity, and Crises: an Econometric Framework, Journal of Financial Econometrics, Oxford University Press (2013) View citations (7) (2013)
23. Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
    Working papers, Banque de France View citations (67)

2009

24. Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation?
    Working papers, Banque de France View citations (29)
25. Frequency-domain analysis of debt service in a macro-finance model for the euro area
    Working papers, Banque de France View citations (3)

2007

26. Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy?
    Working papers, Banque de France View citations (2)

2004

27. A Time Varying Natural Rate of Interest for the Euro Area
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group View citations (14)
    See also Journal Article A time-varying "natural" rate of interest for the euro area, European Economic Review, Elsevier (2007) View citations (90) (2007)
28. A Time-Varying Natural Rate for the Euro Area
    Working papers, Banque de France View citations (11)
29. R gle de Taylor et politique mon taire dans la zone euro
    Working papers, Banque de France View citations (8)

2003

30. Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (70)

Journal Articles

2024

1. Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective
   Journal of Banking & Finance, 2024, 162, (C)
   See also Working Paper Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective, Working papers (2021) View citations (1) (2021)
2. Fiscal Limits and the Pricing of Eurobonds
   Management Science, 2024, 70, (2), 1216-1237 View citations (1)

2022

3. Required Capital for Long-Run Risks
   Journal of Economic Dynamics and Control, 2022, 144, (C)
   See also Working Paper Required Capital for Long-Run Risks, Post-Print (2022) (2022)
4. Understanding Swiss real interest rates in a financially globalized world
   Swiss Journal of Economics and Statistics, 2022, 158, (1), 1-17

2021

5. Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion
   Management Science, 2021, 67, (6), 3674-3693 View citations (4)
   See also Working Paper Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion, Working Papers (2020) View citations (5) (2020)
6. Disastrous Defaults*
   (Risk premia and term premia in general equilibrium)
   Review of Finance, 2021, 25, (6), 1727-1772 View citations (1)
   See also Working Paper Disastrous Defaults, TSE Working Papers (2021) View citations (1) (2021)

2020

7. Identification and Estimation in Non-Fundamental Structural VARMA Models
   The Review of Economic Studies, 2020, 87, (4), 1915-1953 View citations (15)
   See also Working Paper Identification and Estimation in Non-Fundamental Structural VARMA Models, Working Papers (2017) (2017)

2019

8. Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison
   Journal of Money, Credit and Banking, 2019, 51, (5), 1053-1096 View citations (39)
   See also Working Paper Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison, Finance and Economics Discussion Series (2017) View citations (11) (2017)

2018

9. National natural rates of interest and the single monetary policy in the euro area
   Journal of Applied Econometrics, 2018, 33, (6), 763-779 View citations (28)
   See also Working Paper National natural rates of interest and the single monetary policy in the Euro Area, Working papers (2016) View citations (19) (2016)

2017

10. A model of the euro-area yield curve with discrete policy rates
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 99-116 View citations (2)
    See also Working Paper A model of the euro-area yield curve with discrete policy rates, Working papers (2012) View citations (10) (2012)
11. Statistical inference for independent component analysis: Application to structural VAR models
    Journal of Econometrics, 2017, 196, (1), 111-126 View citations (110)
    See also Working Paper Statistical Inference for Independent Component Analysis: Application to Structural VAR Models, Working Papers (2017) View citations (110) (2017)
12. Staying at zero with affine processes: An application to term structure modelling
    Journal of Econometrics, 2017, 201, (2), 348-366 View citations (35)
    Also in Rue de la Banque, 2017, (52) (2017) View citations (30)
    See also Working Paper Staying at Zero with Affine Processes: An Application to Term Structure Modelling, Working papers (2015) View citations (13) (2015)

2016

13. A tractable interest rate model with explicit monetary policy rates
    European Journal of Operational Research, 2016, 251, (3), 873-887 View citations (7)
14. Credit and liquidity in interbank rates: A quadratic approach
    Journal of Banking & Finance, 2016, 68, (C), 29-46 View citations (19)
    See also Working Paper Credit and Liquidity in Interbank Rates: a Quadratic Approach, Working papers (2013) View citations (6) (2013)

2015

15. A Quadratic Kalman Filter
    Journal of Econometrics, 2015, 187, (1), 43-56 View citations (9)
    See also Working Paper A Quadratic Kalman Filter, Working papers (2014) (2014)

2014

16. Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks
    Review of Finance, 2014, 18, (6), 2103-2151 View citations (41)
17. Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles?
    Journal of Banking & Finance, 2014, 46, (C), 132-150 View citations (13)
18. PRICING SOVEREIGN BOND RISK IN THE EMU AREA: AN EMPIRICAL INVESTIGATION: COMMENT
    International Journal of Finance & Economics, 2014, 19, (1), 57-58
19. Pricing default events: Surprise, exogeneity and contagion
    Journal of Econometrics, 2014, 182, (2), 397-411 View citations (11)
    See also Working Paper Pricing Default Events: Surprise, Exogeneity and Contagion, Working Papers (2013) (2013)
20. Regime Switching and Bond Pricing
    Journal of Financial Econometrics, 2014, 12, (2), 237-277 View citations (5)
    See also Working Paper Regime Switching and Bond Pricing, Working papers (2013) View citations (2) (2013)
21. USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS: COMMENT
    International Journal of Finance & Economics, 2014, 19, (1), 73-73

2013

22. Default, Liquidity, and Crises: an Econometric Framework
    Journal of Financial Econometrics, 2013, 11, (2), 221-262 View citations (7)
    See also Working Paper Default, liquidity and crises: an econometric framework, Working papers (2011) View citations (2) (2011)

2012

23. 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, 2012, (188), 9-12
24. 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, 2012, (25), 81-84

2008

25. Réformes fiscales dans un modèle DSGE France en économie ouverte
    Économie et Prévision, 2008, 183, (2), 199-222 View citations (4)
    Also in Economie & Prévision, 2008, n° 183-184, (2), 199-222 (2008)

2007

26. A time-varying "natural" rate of interest for the euro area
    European Economic Review, 2007, 51, (7), 1768-1784 View citations (90)
    See also Working Paper A Time Varying Natural Rate of Interest for the Euro Area, Money Macro and Finance (MMF) Research Group Conference 2004 (2004) View citations (14) (2004)
27. Quelles sont les parts cyclique et structurelle du chômage en France ?
    Economie & Prévision, 2007, n° 177, (1), 129-136
    Also in Économie et Prévision, 2007, 177, (1), 129-136 (2007)

2006

28. Caractéristiques des marchés du travail dans les pays de l'OCDE
    Économie et Prévision, 2006, 173, (2), 171-178 View citations (1)
    Also in Economie & Prévision, 2006, n° 173, (2), 171-178 (2006)

Books

2013

1. Regime switching in bond yield and spread dynamics
   Economics Thesis from University Paris Dauphine, Paris Dauphine University