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

Short-id: pre174


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Working Papers

2025

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

2022

  1. 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) Downloads (2022)

2021

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

    See also Journal Article Disastrous Defaults*, Review of Finance, European Finance Association (2021) Downloads View citations (1) (2021)

2020

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

2017

  1. Identification and Estimation in Non-Fundamental Structural VARMA Models
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Identification and Estimation in Non-Fundamental Structural VARMA Models, The Review of Economic Studies, Review of Economic Studies Ltd (2020) Downloads View citations (14) (2020)
  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 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) Downloads View citations (34) (2019)
  3. Statistical Inference for Independent Component Analysis: Application to Structural VAR Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (100)
    Also in Working Papers, Center for Research in Economics and Statistics (2016) Downloads View citations (2)

    See also Journal Article Statistical inference for independent component analysis: Application to structural VAR models, Journal of Econometrics, Elsevier (2017) Downloads View citations (100) (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 (6)

2016

  1. National natural rates of interest and the single monetary policy in the Euro Area
    Working papers, Banque de France Downloads 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) Downloads View citations (27) (2018)

2015

  1. Staying at Zero with Affine Processes: An Application to Term Structure Modelling
    Working papers, Banque de France Downloads View citations (13)
    See also Journal Article Staying at zero with affine processes: An application to term structure modelling, Journal of Econometrics, Elsevier (2017) Downloads View citations (32) (2017)

2014

  1. A Quadratic Kalman Filter
    Working papers, Banque de France Downloads
    See also Journal Article A Quadratic Kalman Filter, Journal of Econometrics, Elsevier (2015) Downloads View citations (8) (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 Credit and liquidity in interbank rates: A quadratic approach, Journal of Banking & Finance, Elsevier (2016) Downloads View citations (18) (2016)
  2. Pricing Default Events: Surprise, Exogeneity and Contagion
    Working papers, Banque de France Downloads
    Also in Working Papers, Center for Research in Economics and Statistics (2013) Downloads

    See also Journal Article Pricing default events: Surprise, exogeneity and contagion, Journal of Econometrics, Elsevier (2014) Downloads View citations (11) (2014)
  3. Regime Switching and Bond Pricing
    Working papers, Banque de France Downloads View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2013) Downloads View citations (2)

    See also Journal Article Regime Switching and Bond Pricing, Journal of Financial Econometrics, Oxford University Press (2014) Downloads View citations (4) (2014)
  4. The Effectiveness of Monetary Policy since the Onset of the Financial Crisis
    OECD Economics Department Working Papers, OECD Publishing Downloads View citations (34)

2012

  1. A model of the euro-area yield curve with discrete policy rates
    Working papers, Banque de France Downloads 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) Downloads View citations (2) (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 (14)
    Also in Working papers, Banque de France (2011) Downloads View citations (14)
  2. Default, liquidity and crises: an econometric framework
    Working papers, Banque de France Downloads View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2010) Downloads View citations (3)

    See also Journal Article Default, Liquidity, and Crises: an Econometric Framework, Journal of Financial Econometrics, Oxford University Press (2013) Downloads View citations (7) (2013)
  3. Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
    Working papers, Banque de France Downloads View citations (67)

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 (29)
  2. Frequency-domain analysis of debt service in a macro-finance model for the euro area
    Working papers, Banque de France Downloads View citations (3)

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 (14)
    See also Journal Article A time-varying "natural" rate of interest for the euro area, European Economic Review, Elsevier (2007) Downloads View citations (90) (2007)
  2. A Time-Varying Natural Rate for the Euro Area
    Working papers, Banque de France Downloads View citations (11)
  3. R gle de Taylor et politique mon taire dans la zone euro
    Working papers, Banque de France Downloads View citations (8)

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 (70)

Journal Articles

2024

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

2022

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

2021

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

2020

  1. Identification and Estimation in Non-Fundamental Structural VARMA Models
    The Review of Economic Studies, 2020, 87, (4), 1915-1953 Downloads View citations (14)
    See also Working Paper Identification and Estimation in Non-Fundamental Structural VARMA Models, Working Papers (2017) Downloads (2017)

2019

  1. Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison
    Journal of Money, Credit and Banking, 2019, 51, (5), 1053-1096 Downloads View citations (34)
    See also Working Paper Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison, Finance and Economics Discussion Series (2017) Downloads View citations (11) (2017)

2018

  1. National natural rates of interest and the single monetary policy in the euro area
    Journal of Applied Econometrics, 2018, 33, (6), 763-779 Downloads View citations (27)
    See also Working Paper National natural rates of interest and the single monetary policy in the Euro Area, Working papers (2016) Downloads View citations (19) (2016)

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 A model of the euro-area yield curve with discrete policy rates, Working papers (2012) Downloads View citations (10) (2012)
  2. Statistical inference for independent component analysis: Application to structural VAR models
    Journal of Econometrics, 2017, 196, (1), 111-126 Downloads View citations (100)
    See also Working Paper Statistical Inference for Independent Component Analysis: Application to Structural VAR Models, Working Papers (2017) Downloads View citations (100) (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 (32)
    Also in Rue de la Banque, 2017, (52) (2017) Downloads View citations (27)

    See also Working Paper Staying at Zero with Affine Processes: An Application to Term Structure Modelling, Working papers (2015) Downloads View citations (13) (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 (7)
  2. Credit and liquidity in interbank rates: A quadratic approach
    Journal of Banking & Finance, 2016, 68, (C), 29-46 Downloads View citations (18)
    See also Working Paper Credit and Liquidity in Interbank Rates: a Quadratic Approach, Working papers (2013) Downloads View citations (6) (2013)

2015

  1. A Quadratic Kalman Filter
    Journal of Econometrics, 2015, 187, (1), 43-56 Downloads View citations (8)
    See also Working Paper A Quadratic Kalman Filter, Working papers (2014) Downloads (2014)

2014

  1. Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks
    Review of Finance, 2014, 18, (6), 2103-2151 Downloads View citations (39)
  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 (13)
  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 (11)
    See also Working Paper Pricing Default Events: Surprise, Exogeneity and Contagion, Working papers (2013) Downloads (2013)
  5. Regime Switching and Bond Pricing
    Journal of Financial Econometrics, 2014, 12, (2), 237-277 Downloads View citations (4)
    See also Working Paper Regime Switching and Bond Pricing, Working papers (2013) Downloads View citations (2) (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 (7)
    See also Working Paper Default, liquidity and crises: an econometric framework, Working papers (2011) Downloads View citations (2) (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 (4)
    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 (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) Downloads View citations (14) (2004)
  2. Quelles sont les parts cyclique et structurelle du chômage en France ?
    Économie et Prévision, 2007, 177, (1), 129-136 Downloads
    Also in Economie & Prévision, 2007, n° 177, (1), 129-136 (2007) Downloads

2006

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

Books

2013

  1. Regime switching in bond yield and spread dynamics
    Economics Thesis from University Paris Dauphine, Paris Dauphine University Downloads
 
Page updated 2025-04-01