Jean-Paul Renne

Publications | Phd and Masters theses

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28 publications

2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2010 | 2009 | 2008 | 2007 | 2006 | 2003 |
 
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.
 
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.
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.
 
Disastrous Defaults
Gouriéroux Christian, Monfort Alain, Mouabbi Sarah, Renne Jean-Paul, 2021/11/12. Review of Finance, 25 (6) pp. 1727-1772. Peer-reviewed.
 
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.
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.
 
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.
 
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.
 
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.
 
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.
 
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.
 
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.
 
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.
 
A Quadratic Kalman Filter
Monfort A., Renne J.-P., Roussellet G., 2015. Journal of Econometrics, 187 (1) pp. 43-56. Peer-reviewed.
 
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.
 
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.
 
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.
 
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.
 
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.
 
Default, Liquidity and Crises: An Econometric Framework
Monfort A., Renne J.-P., 2013. Journal of Financial Econometrics, 11 (2) pp. 221-262. Peer-reviewed.
 
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.
 
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.
 
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.
 
Réformes Fiscales dans un Modèle DSGE France en Economie Ouverte
Coupet M., Renne J.-P., 2008. Economie & Prevision, 183 (2) pp. 199-222.
 
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.
 
Quelles sont les Parts Cyclique et Structurelle du Chômage en France?
Renne J.-P., 2007. Economie & Prevision, 177 (1) pp. 129-136.
 
Caractéristiques des Marchés du Travail de l'OCDE
Bouis R., Renne J.-P., 2006. Economie & Prevision, 173 (2) pp. 171-178.
 
Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects
Monfort Alain, Renne Jean-Paul, Rueffer Rasmus, Vitale Giovanni, 2003. (DP4119) CEPR Discussion Paper, ECB.
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