Details about Jean-Paul Renne
Access statistics for papers by Jean-Paul Renne.
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Short-id: pre174
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Working Papers
2021
- Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective
Working papers, Banque de France
- Disastrous Defaults
TSE Working Papers, Toulouse School of Economics (TSE) 
Also in Working papers, Banque de France (2020) View citations (1)
2020
- Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion
Working Papers, Center for Research in Economics and Statistics View citations (2)
- Identification and Estimation in Nonfundamental Structural Models
Post-Print, HAL
- Preventing COVID-19 Fatalities: State versus Federal Policies
Papers, arXiv.org View citations (6)
- Taming Debt: Can GDP-Linked Bonds Do the Trick?
EconomiX Working Papers, University of Paris Nanterre, EconomiX 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 in Review of Economic Studies (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 in Journal of Money, Credit and Banking (2019)
- Statistical Inference for Independent Component Analysis: Application to Structural VAR Models
Working Papers, Center for Research in Economics and Statistics View citations (38)
Also in Working Papers, Center for Research in Economics and Statistics (2016) View citations (2)
See also Journal Article in Journal of Econometrics (2017)
- The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty
Working papers, Banque de France View citations (5)
2016
- National natural rates of interest and the single monetary policy in the Euro Area
Working papers, Banque de France View citations (16)
See also Journal Article in Journal of Applied Econometrics (2018)
2015
- Staying at Zero with Affine Processes: An Application to Term Structure Modelling
Working papers, Banque de France View citations (11)
See also Journal Article in Journal of Econometrics (2017)
2014
- A Quadratic Kalman Filter
Working papers, Banque de France 
See also Journal Article in Journal of Econometrics (2015)
2013
- Credit and Liquidity in Interbank Rates: a Quadratic Approach
Working papers, Banque de France View citations (6)
See also Journal Article in Journal of Banking & Finance (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 in Journal of Econometrics (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 (1)
See also Journal Article in Journal of Financial Econometrics (2014)
- The Effectiveness of Monetary Policy since the Onset of the Financial Crisis
OECD Economics Department Working Papers, OECD Publishing View citations (25)
2012
- A model of the euro-area yield curve with discrete policy rates
Working papers, Banque de France View citations (3)
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2017)
2011
- Credit and Liquidity Risks in Euro-area Sovereign Yield Curves
Working Papers, Center for Research in Economics and Statistics View citations (11)
Also in Working papers, Banque de France (2011) View citations (11)
- Default, liquidity and crises: an econometric framework
Working papers, Banque de France 
Also in Working Papers, Center for Research in Economics and Statistics (2010) View citations (2)
See also Journal Article in Journal of Financial Econometrics (2013)
- Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
Working papers, Banque de France View citations (63)
2009
- Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation?
Working papers, Banque de France View citations (23)
- Frequency-domain analysis of debt service in a macro-finance model for the euro area
Working papers, Banque de France View citations (2)
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 (8)
See also Journal Article in European Economic Review (2007)
- A Time-Varying Natural Rate for the Euro Area
Working papers, Banque de France View citations (3)
- Règle de Taylor et politique monétaire dans la zone euro
Working papers, Banque de France View citations (7)
2003
- Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (53)
Journal Articles
2020
- Identification and Estimation in Non-Fundamental Structural VARMA Models
Review of Economic Studies, 2020, 87, (4), 1915-1953 View citations (1)
See also Working Paper (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 (16)
See also Working Paper (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 (22)
See also Working Paper (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 (2012)
- Statistical inference for independent component analysis: Application to structural VAR models
Journal of Econometrics, 2017, 196, (1), 111-126 View citations (41)
See also Working Paper (2017)
- Staying at zero with affine processes: An application to term structure modelling
Journal of Econometrics, 2017, 201, (2), 348-366 View citations (20)
Also in Rue de la Banque, 2017, (52) (2017) View citations (14)
See also Working Paper (2015)
2016
- A tractable interest rate model with explicit monetary policy rates
European Journal of Operational Research, 2016, 251, (3), 873-887 View citations (6)
- Credit and liquidity in interbank rates: A quadratic approach
Journal of Banking & Finance, 2016, 68, (C), 29-46 View citations (13)
See also Working Paper (2013)
2015
- A Quadratic Kalman Filter
Journal of Econometrics, 2015, 187, (1), 43-56 View citations (7)
See also Working Paper (2014)
2014
- Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks
Review of Finance, 2014, 18, (6), 2103-2151 View citations (23)
- 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 (9)
See also Working Paper (2013)
- Regime Switching and Bond Pricing
Journal of Financial Econometrics, 2014, 12, (2), 237-277 View citations (2)
See also Working Paper (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 (5)
See also Working Paper (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
Economie & Prévision, 2008, n° 183-184, (2), 199-222 
Also in Économie et Prévision, 2008, 183, (2), 199-222 (2008) View citations (4)
2007
- A time-varying "natural" rate of interest for the euro area
European Economic Review, 2007, 51, (7), 1768-1784 View citations (83)
See also Working Paper (2004)
- 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
- 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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