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Details about Jean-Paul Renne

Homepage:https://sites.google.com/site/jeanpaulrenne/home
Workplace:Départment d'économétrie et d'économie politique (DEEP) (Department of Econometrics and Economics), Faculté des Hautes Études Commerciales (HEC) (Business School), Université de Lausanne (University of Lausanne), (more information at EDIRC)

Access statistics for papers by Jean-Paul Renne.

Last updated 2018-03-04. Update your information in the RePEc Author Service.

Short-id: pre174


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Working Papers

2017

  1. Identification and Estimation in Non-Fundamental Structural VARMA Models
    Working Papers, Center for Research in Economics and Statistics Downloads
  2. 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.) Downloads
  3. Statistical Inference for Independent Component Analysis: Application to Structural VAR Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2016) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2017)
  4. The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty
    Working papers, Banque de France Downloads View citations (1)

2016

  1. National natural rates of interest and the single monetary policy in the Euro Area
    Working papers, Banque de France Downloads View citations (8)

2015

  1. Staying at Zero with Affine Processes: An Application to Term Structure Modelling
    Working papers, Banque de France Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2017)

2014

  1. A Quadratic Kalman Filter
    Working papers, Banque de France Downloads
    See also Journal Article in Journal of Econometrics (2015)

2013

  1. Credit and Liquidity in Interbank Rates: a Quadratic Approach
    Working papers, Banque de France Downloads View citations (6)
    See also Journal Article in Journal of Banking & Finance (2016)
  2. Pricing Default Events: Surprise, Exogeneity and Contagion
    Working Papers, Center for Research in Economics and Statistics Downloads
    Also in Working papers, Banque de France (2013) Downloads

    See also Journal Article in Journal of Econometrics (2014)
  3. Regime Switching and Bond Pricing
    Working Papers, Center for Research in Economics and Statistics Downloads
    Also in Working papers, Banque de France (2013) Downloads View citations (1)

    See also Journal Article in Journal of Financial Econometrics (2014)
  4. The Effectiveness of Monetary Policy since the Onset of the Financial Crisis
    OECD Economics Department Working Papers, OECD Publishing Downloads View citations (18)

2012

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

2011

  1. Credit and Liquidity Risks in Euro-area Sovereign Yield Curves
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (10)
    Also in Working papers, Banque de France (2011) Downloads View citations (10)
  2. Default, liquidity and crises: an econometric framework
    Working papers, Banque de France Downloads
    Also in Working Papers, Center for Research in Economics and Statistics (2010) Downloads View citations (2)

    See also Journal Article in Journal of Financial Econometrics (2013)
  3. Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
    Working papers, Banque de France Downloads View citations (55)

2009

  1. Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation?
    Working papers, Banque de France Downloads View citations (21)
  2. Frequency-domain analysis of debt service in a macro-finance model for the euro area
    Working papers, Banque de France Downloads View citations (2)

2007

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

2004

  1. 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 Downloads View citations (8)
    See also Journal Article in European Economic Review (2007)
  2. A Time-Varying Natural Rate for the Euro Area
    Working papers, Banque de France Downloads View citations (1)
  3. Règle de Taylor et politique monétaire dans la zone euro
    Working papers, Banque de France Downloads View citations (7)

2003

  1. Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (49)

Journal Articles

2017

  1. A model of the euro-area yield curve with discrete policy rates
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 99-116 Downloads View citations (2)
    See also Working Paper (2012)
  2. Statistical inference for independent component analysis: Application to structural VAR models
    Journal of Econometrics, 2017, 196, (1), 111-126 Downloads View citations (5)
    See also Working Paper (2017)
  3. Staying at zero with affine processes: An application to term structure modelling
    Journal of Econometrics, 2017, 201, (2), 348-366 Downloads View citations (7)
    Also in Rue de la Banque, 2017, (52) (2017) Downloads View citations (3)

    See also Working Paper (2015)

2016

  1. A tractable interest rate model with explicit monetary policy rates
    European Journal of Operational Research, 2016, 251, (3), 873-887 Downloads View citations (3)
  2. Credit and liquidity in interbank rates: A quadratic approach
    Journal of Banking & Finance, 2016, 68, (C), 29-46 Downloads View citations (3)
    See also Working Paper (2013)

2015

  1. A Quadratic Kalman Filter
    Journal of Econometrics, 2015, 187, (1), 43-56 Downloads View citations (2)
    See also Working Paper (2014)

2014

  1. Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks
    Review of Finance, 2014, 18, (6), 2103-2151 Downloads View citations (10)
  2. Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles?
    Journal of Banking & Finance, 2014, 46, (C), 132-150 Downloads View citations (11)
  3. PRICING SOVEREIGN BOND RISK IN THE EMU AREA: AN EMPIRICAL INVESTIGATION: COMMENT
    International Journal of Finance & Economics, 2014, 19, (1), 57-58 Downloads
  4. Pricing default events: Surprise, exogeneity and contagion
    Journal of Econometrics, 2014, 182, (2), 397-411 Downloads View citations (6)
    See also Working Paper (2013)
  5. Regime Switching and Bond Pricing
    Journal of Financial Econometrics, 2014, 12, (2), 237-277 Downloads View citations (2)
    See also Working Paper (2013)
  6. USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS: COMMENT
    International Journal of Finance & Economics, 2014, 19, (1), 73-73 Downloads

2013

  1. Default, Liquidity, and Crises: an Econometric Framework
    Journal of Financial Econometrics, 2013, 11, (2), 221-262 Downloads View citations (5)
    See also Working Paper (2011)

2012

  1. 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 Downloads
  2. 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 Downloads

2008

  1. Réformes fiscales dans un modèle DSGE France en économie ouverte
    Économie et Prévision, 2008, 183, (2), 199-222 Downloads View citations (3)
    Also in Economie & Prévision, 2008, n° 183-184, (2), 199-222 (2008) Downloads

2007

  1. A time-varying "natural" rate of interest for the euro area
    European Economic Review, 2007, 51, (7), 1768-1784 Downloads View citations (64)
    See also Working Paper (2004)
  2. Quelles sont les parts cyclique et structurelle du chômage en France ?
    Economie & Prévision, 2007, n° 177, (1), 129-136 Downloads
    Also in Économie et Prévision, 2007, 177, (1), 129-136 (2007) Downloads

2006

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

Books

2013

  1. Regime switching in bond yield and spread dynamics
    Economics Thesis from University Paris Dauphine, Paris Dauphine University Downloads
 
Page updated 2018-10-15