Details about Jean-Paul Renne

Access statistics for papers by Jean-Paul Renne.

Last updated 2020-04-07. Update your information in the RePEc Author Service.

Short-id: pre174

Working Papers

2020

1. Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion
   Working Papers, Center for Research in Economics and Statistics

2017

2. Identification and Estimation in Non-Fundamental Structural VARMA Models
   Working Papers, Center for Research in Economics and Statistics
3. 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 (7)
   See also Journal Article in Journal of Money, Credit and Banking (2019)
4. Statistical Inference for Independent Component Analysis: Application to Structural VAR Models
   Working Papers, Center for Research in Economics and Statistics View citations (14)
   Also in Working Papers, Center for Research in Economics and Statistics (2016) View citations (2)
   See also Journal Article in Journal of Econometrics (2017)
5. 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

6. National natural rates of interest and the single monetary policy in the Euro Area
   Working papers, Banque de France View citations (15)
   See also Journal Article in Journal of Applied Econometrics (2018)

2015

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

2014

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

2013

9. 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)
10. 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 in Journal of Econometrics (2014)
11. 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)
12. The Effectiveness of Monetary Policy since the Onset of the Financial Crisis
    OECD Economics Department Working Papers, OECD Publishing View citations (18)

2012

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

2011

14. 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)
15. 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)
16. Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
    Working papers, Banque de France View citations (61)

2009

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

2007

19. 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

20. 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)
21. A Time-Varying Natural Rate for the Euro Area
    Working papers, Banque de France View citations (2)
22. Règle de Taylor et politique monétaire dans la zone euro
    Working papers, Banque de France View citations (7)

2003

23. Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (51)

Journal Articles

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 View citations (3)
   See also Working Paper (2017)

2018

2. 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 (8)
   See also Working Paper (2016)

2017

3. 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)
4. Statistical inference for independent component analysis: Application to structural VAR models
   Journal of Econometrics, 2017, 196, (1), 111-126 View citations (17)
   See also Working Paper (2017)
5. Staying at zero with affine processes: An application to term structure modelling
   Journal of Econometrics, 2017, 201, (2), 348-366 View citations (14)
   Also in Rue de la Banque, 2017, (52) (2017) View citations (8)
   See also Working Paper (2015)

2016

6. A tractable interest rate model with explicit monetary policy rates
   European Journal of Operational Research, 2016, 251, (3), 873-887 View citations (4)
7. Credit and liquidity in interbank rates: A quadratic approach
   Journal of Banking & Finance, 2016, 68, (C), 29-46 View citations (7)
   See also Working Paper (2013)

2015

8. A Quadratic Kalman Filter
   Journal of Econometrics, 2015, 187, (1), 43-56 View citations (3)
   See also Working Paper (2014)

2014

9. Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks
   Review of Finance, 2014, 18, (6), 2103-2151 View citations (16)
10. Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles?
    Journal of Banking & Finance, 2014, 46, (C), 132-150 View citations (12)
11. PRICING SOVEREIGN BOND RISK IN THE EMU AREA: AN EMPIRICAL INVESTIGATION: COMMENT
    International Journal of Finance & Economics, 2014, 19, (1), 57-58
12. Pricing default events: Surprise, exogeneity and contagion
    Journal of Econometrics, 2014, 182, (2), 397-411 View citations (9)
    See also Working Paper (2013)
13. Regime Switching and Bond Pricing
    Journal of Financial Econometrics, 2014, 12, (2), 237-277 View citations (2)
    See also Working Paper (2013)
14. USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS: COMMENT
    International Journal of Finance & Economics, 2014, 19, (1), 73-73

2013

15. 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

16. 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
17. 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

18. 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 (3)

2007

19. A time-varying "natural" rate of interest for the euro area
    European Economic Review, 2007, 51, (7), 1768-1784 View citations (80)
    See also Working Paper (2004)
20. 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

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

Books

2013

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