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
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Working Papers
2025
- Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model
Working Paper Series, European Central Bank
2022
- 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
- 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)
- 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
- 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 (1) (2021)
- Identification and Estimation in Nonfundamental Structural Models
Post-Print, HAL View citations (2)
- Preventing COVID-19 Fatalities: State versus Federal Policies
Papers, arXiv.org View citations (9)
- Taming Debt: Can GDP-Linked Bonds Do the Trick?
Working Papers, HAL 
Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2020) View citations (1)
2017
- 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 (14) (2020)
- 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 (34) (2019)
- Statistical Inference for Independent Component Analysis: Application to Structural VAR Models
Working Papers, Center for Research in Economics and Statistics View citations (100)
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 (100) (2017)
- 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
- 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 (27) (2018)
2015
- 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 (32) (2017)
2014
- A Quadratic Kalman Filter
Working papers, Banque de France 
See also Journal Article A Quadratic Kalman Filter, Journal of Econometrics, Elsevier (2015) View citations (8) (2015)
2013
- 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 (18) (2016)
- Pricing Default Events: Surprise, Exogeneity and Contagion
Working papers, Banque de France 
Also in Working Papers, Center for Research in Economics and Statistics (2013) 
See also Journal Article Pricing default events: Surprise, exogeneity and contagion, Journal of Econometrics, Elsevier (2014) View citations (11) (2014)
- 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 (4) (2014)
- The Effectiveness of Monetary Policy since the Onset of the Financial Crisis
OECD Economics Department Working Papers, OECD Publishing View citations (34)
2012
- 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
- 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)
- 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)
- Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
Working papers, Banque de France View citations (67)
2009
- Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation?
Working papers, Banque de France View citations (29)
- Frequency-domain analysis of debt service in a macro-finance model for the euro area
Working papers, Banque de France View citations (3)
2007
- 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
- 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)
- A Time-Varying Natural Rate for the Euro Area
Working papers, Banque de France View citations (11)
- R gle de Taylor et politique mon taire dans la zone euro
Working papers, Banque de France View citations (8)
2003
- 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
- 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)
- Fiscal Limits and the Pricing of Eurobonds
Management Science, 2024, 70, (2), 1216-1237
2022
- 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)
- Understanding Swiss real interest rates in a financially globalized world
Swiss Journal of Economics and Statistics, 2022, 158, (1), 1-17
2021
- Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion
Management Science, 2021, 67, (6), 3674-3693 View citations (1)
See also Working Paper Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion, Working Papers (2020) View citations (5) (2020)
- 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
- Identification and Estimation in Non-Fundamental Structural VARMA Models
The Review of Economic Studies, 2020, 87, (4), 1915-1953 View citations (14)
See also Working Paper Identification and Estimation in Non-Fundamental Structural VARMA Models, Working Papers (2017) (2017)
2019
- 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 (34)
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
- 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 (27)
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
- 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)
- Statistical inference for independent component analysis: Application to structural VAR models
Journal of Econometrics, 2017, 196, (1), 111-126 View citations (100)
See also Working Paper Statistical Inference for Independent Component Analysis: Application to Structural VAR Models, Working Papers (2017) View citations (100) (2017)
- Staying at zero with affine processes: An application to term structure modelling
Journal of Econometrics, 2017, 201, (2), 348-366 View citations (32)
Also in Rue de la Banque, 2017, (52) (2017) View citations (27)
See also Working Paper Staying at Zero with Affine Processes: An Application to Term Structure Modelling, Working papers (2015) View citations (13) (2015)
2016
- A tractable interest rate model with explicit monetary policy rates
European Journal of Operational Research, 2016, 251, (3), 873-887 View citations (7)
- Credit and liquidity in interbank rates: A quadratic approach
Journal of Banking & Finance, 2016, 68, (C), 29-46 View citations (18)
See also Working Paper Credit and Liquidity in Interbank Rates: a Quadratic Approach, Working papers (2013) View citations (6) (2013)
2015
- A Quadratic Kalman Filter
Journal of Econometrics, 2015, 187, (1), 43-56 View citations (8)
See also Working Paper A Quadratic Kalman Filter, Working papers (2014) (2014)
2014
- Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks
Review of Finance, 2014, 18, (6), 2103-2151 View citations (39)
- Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles?
Journal of Banking & Finance, 2014, 46, (C), 132-150 View citations (13)
- PRICING SOVEREIGN BOND RISK IN THE EMU AREA: AN EMPIRICAL INVESTIGATION: COMMENT
International Journal of Finance & Economics, 2014, 19, (1), 57-58
- 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)
- Regime Switching and Bond Pricing
Journal of Financial Econometrics, 2014, 12, (2), 237-277 View citations (4)
See also Working Paper Regime Switching and Bond Pricing, Working papers (2013) View citations (2) (2013)
- USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS: COMMENT
International Journal of Finance & Economics, 2014, 19, (1), 73-73
2013
- 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
- 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
- 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
- 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
- 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)
- Quelles sont les parts cyclique et structurelle du chômage en France ?
Économie et Prévision, 2007, 177, (1), 129-136 
Also in Economie & Prévision, 2007, n° 177, (1), 129-136 (2007)
2006
- 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
- Regime switching in bond yield and spread dynamics
Economics Thesis from University Paris Dauphine, Paris Dauphine University
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