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Jean-Paul Renne

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30 publications

2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2010 | 2009 | 2008 | 2007 | 2006 | 2003 |

2024

Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective

Mouabbi Sarah, Renne Jean-Paul, Sahuc Jean-Guillaume, 2024/05. Journal of Banking & Finance, 162 p. 107131. Peer-reviewed.

[URN][DOI][serval:BIB_8E00D950853C]

2023

Fiscal Limits and the Pricing of Eurobonds

Pallara Kevin, Renne Jean-Paul, 2023/03/29. Management Science. Peer-reviewed.

[URN][DOI][WoS][serval:BIB_6BF5DB995D18]

2022

Understanding Swiss real interest rates in a financially globalized world

Bacchetta Philippe, Benhima Kenza, Renne Jean-Paul, 2022/12. Swiss Journal of Economics and Statistics, 158 (1). Peer-reviewed.

[DOI][serval:BIB_A8D6EF6C6532]

Required Capital for Long-Run Risks

Gouriéroux C., Monfort A., Renne J.-P., 2022/11. Journal of Economic Dynamics and Control, 144 p. 104502. Peer-reviewed.

[DOI][serval:BIB_B1F7CE076C7F]

Required Capital for Long-Run Risks

Gouriéroux C., Monfort A., Renne J.-P., 2022/08. Journal of Economic Dynamics and Control p. 104502. Peer-reviewed.

[URN][DOI][serval:BIB_B545CD017CFC]

2021

Disastrous Defaults

Gouriéroux Christian, Monfort Alain, Mouabbi Sarah, Renne Jean-Paul, 2021/11/12. Review of Finance, 25 (6) pp. 1727-1772. Peer-reviewed.

[DOI][WoS][serval:BIB_2FEDFFAD6449]

Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion

Monfort Alain, Pegoraro Fulvio, Renne Jean-Paul, Roussellet Guillaume, 2021/06. Management Science, 67 (6) pp. 3674-3693.

[DOI][serval:BIB_00AA0BDFD216]

2020

Identification and Estimation in Non-Fundamental Structural VARMA Models

Gouriéroux C., Monfort A., Renne J.-P., 2020/07. The Review of Economic Studies, 87 (4) pp. 1915-1953. Peer-reviewed.

[URN][DOI][serval:BIB_E98DEE4245FC]

2019

Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison

GRISHCHENKO O., MOUABBI S., RENNE J.-P., 2019/05/20. Journal of Money, Credit and Banking.

[DOI][serval:BIB_BAD9D13E6B51]

2018

National natural rates of interest and the single monetary policy in the euro area

Fries S., Mésonnier J.-S., Mouabbi S., Renne J.-P., 2018/09. Journal of Applied Econometrics, 33 (6) pp. 763-779.

[DOI][WoS][serval:BIB_39D84E009DBC]

2017

Staying at zero with affine processes: An application to term structure modelling

Monfort Alain, Pegoraro Fulvio, Renne Jean-Paul, Roussellet Guillaume, 2017/12. Journal of Econometrics, 201 (2) pp. 348-366.

[DOI][WoS][serval:BIB_82B377FB5E37]

A model of the euro-area yield curve with discrete policy rates

Renne J.-P., 2017. Studies in Nonlinear Dynamics & Econometrics, 21 (1) pp. 99-116. Peer-reviewed.

[DOI][WoS][serval:BIB_1F02A4E7393A]

Statistical inference for independent component analysis: Application to structural VAR models

Gouriéroux C., Monfort A., Renne J.-P., 2017/01. Journal of Econometrics, 196 (1) pp. 111-126. Peer-reviewed.

[DOI][serval:BIB_3050BF118F3D]

2016

A tractable interest rate model with explicit monetary policy rates

Renne J.-P., 2016. European Journal of Operational Research, 251 (3) pp. 873-887. Peer-reviewed.

[DOI][WoS][serval:BIB_9D758623F20F]

Credit and liquidity in interbank rates: A quadratic approach

Dubecq S., Monfort A., Renne J.-P., Roussellet G., 2016. Journal of Banking and Finance, 68 pp. 29-46. Peer-reviewed.

[DOI][WoS][serval:BIB_85D7F107AB50]

2015

A Quadratic Kalman Filter

Monfort A., Renne J.-P., Roussellet G., 2015. Journal of Econometrics, 187 (1) pp. 43-56. Peer-reviewed.

[DOI][WoS][serval:BIB_D3636358D4E9]

2014

Compound Auto-Regressive Processes and Defaultable Bond Pricing

Monfort A., Renne J.-P., 2014. pp. 141-168 dans Chadha J. S., Durré l. C. J., Joyce M. A. S., Sarno L. (eds.) Developments in Macro-Finance Yield Curve Modeling chap. 6, Cambridge University Press.

[DOI][serval:BIB_32AE567CDCB6]

Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks

Monfort A., Renne J.-P., 2014. Review of Finance, 18 (6) pp. 2103-2151. Peer-reviewed.

[DOI][WoS][serval:BIB_2D9A1C61E6E2]

Measuring Aggregate Risk: Can We Robustly Identify Asset-Price Boom-Bust Cycles?

Borgy V., Clerc L., Renne J.-P., 2014. Journal of Banking and Finance, 46 pp. 132-150. Peer-reviewed.

[DOI][WoS][serval:BIB_8D8B64198410]

Pricing Default Events: Surprise, Exogeneity and Contagion

Gouriéroux C., Monfort A., Renne J.-P., 2014. Journal of Econometrics, 182 (2) pp. 397-411. Peer-reviewed.

[DOI][WoS][serval:BIB_51653F85843B]

Regime Switching and Bond Pricing

Gouriéroux C., Monfort A., Pegoraro F., Renne J.-P., 2014. Journal of Financial Econometrics, 12 (2) pp. 237-277. Peer-reviewed.

[DOI][WoS][serval:BIB_D241096090DE]

2013

Default, Liquidity and Crises: An Econometric Framework

Monfort A., Renne J.-P., 2013. Journal of Financial Econometrics, 11 (2) pp. 221-262. Peer-reviewed.

[DOI][WoS][serval:BIB_09EE2D614455]

The Effectiveness of Monetary Policy since the Onset of the Financial Crisis

Bouis Romain, Rawdanowicz Lukasz, Renne Jean-Paul, Watanabe Shingo, Christensen Ane K., 2013. (1081) OECD Economics Department Working Papers, OECD.

[serval:BIB_F5E473B15EDA]

2010

House price Boom/Bust Cycles: Identification Issues and Macro-prudential Implications

Borgy V., Clerc L., Renne J.-P., 2010. pp. 359-383 dans De Bandt O., Knetch T., Penalosa J., Zollino F. (eds.) Housing Markets in Europe, A Macroeconomic Perspective, Springer.

[DOI][WoS][serval:BIB_92F8D9CEC3FB]

2009

Liability Management with Inflation-linked Products: The Cases of Sweden, France and Italy

Horngren L., Zetterstrom E., Renne J.-P., Iacovini D., Sagnes N., 2009. pp. 565-588 dans Benaben B., Goldenberg S. (eds.) Inflation Risk and Products chap. 21, Riskbooks.

[serval:BIB_95225388BA13]

2008

Réformes Fiscales dans un Modèle DSGE France en Economie Ouverte

Coupet M., Renne J.-P., 2008. Economie & Prevision, 183 (2) pp. 199-222.

[serval:BIB_5855C01312DC]

2007

A Time-Varying Natural Rate of Interest for the Euro Area

Mésonnier J.-S., Renne J.-P., 2007. European Economic Review, 51 (7) pp. 1768-1784. Peer-reviewed.

[DOI][WoS][serval:BIB_45E7F3BF4800]

Quelles sont les Parts Cyclique et Structurelle du Chômage en France?

Renne J.-P., 2007. Economie & Prevision, 177 (1) pp. 129-136.

[serval:BIB_DED021CEEFBE]