Jean-Paul RENNE
Jean-Paul RENNE
University of Lausanne, Faculty of Business and Economics (HEC)
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Cited by
Cited by
A time-varying natural rate of interest for the euro area
JS Mesonnier, JP Renne
European Economic Review 51 (7), 1768-1784, 2007
Decomposing euro-area sovereign spreads: credit and liquidity risks
A Monfort, JP Renne
Review of Finance 18 (6), 2103-2151, 2014
Statistical inference for independent component analysis: Application to structural VAR models
C Gouriéroux, A Monfort, JP Renne
Journal of Econometrics 196 (1), 111-126, 2017
Is economic activity in the G7 synchronized? Common shocks versus spillover effects
A Monfort, JP Renne, R Ruffer, G Vitale
Centre for Economic Policy Research, 2003
Fiscal sustainability, default risk and euro area sovereign bond spreads markets
V Borgy, T Laubach, JS Mésonnier, JP Renne
Banque de France Working Paper, 2011
Staying at zero with affine processes: An application to term structure modelling
A Monfort, F Pegoraro, JP Renne, G Roussellet
Journal of Econometrics 201 (2), 348-366, 2017
Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles?
V Borgy, L Clerc, JP Renne
Journal of Banking & Finance 46, 132-150, 2014
Measuring inflation anchoring and uncertainty: A US and euro area comparison
O Grishchenko, S Mouabbi, JP Renne
Journal of Money, Credit and Banking 51 (5), 1053-1096, 2019
The effectiveness of monetary policy since the onset of the financial crisis
R Bouis, Ł Rawdanowicz, JP Renne, S Watanabe, AK Christensen
OECD, 2013
Identification and estimation in non-fundamental structural VARMA models
C Gouriéroux, A Monfort, JP Renne
The Review of Economic Studies 87 (4), 1915-1953, 2020
Credit and liquidity in interbank rates: A quadratic approach
S Dubecq, A Monfort, JP Renne, G Roussellet
Journal of Banking & Finance 68, 29-46, 2016
National natural rates of interest and the single monetary policy in the euro area
S Fries, JS Mésonnier, S Mouabbi, JP Renne
Journal of Applied Econometrics 33 (6), 763-779, 2018
The Taylor Rule and Monetary Policy in the Euro Area
JS Mésonnier, JP Renne
Default, liquidity and crises: an econometric framework
A Monfort, JP Renne
A quadratic Kalman filter
A Monfort, JP Renne, G Roussellet
Journal of Econometrics 187 (1), 43-56, 2015
Regime switching and bond pricing
C Gourieroux, A Monfort, F Pegoraro, JP Renne
Journal of Financial Econometrics 12 (2), 237-277, 2014
A model of the euro-area yield curve with discrete policy rates
JP Renne
Studies in Nonlinear Dynamics & Econometrics 21 (1), 99-116, 2017
Affine modeling of credit risk, pricing of credit events, and contagion
A Monfort, F Pegoraro, JP Renne, G Roussellet
Management Science 67 (6), 3674-3693, 2021
Pricing default events: Surprise, exogeneity and contagion
C Gouriéroux, A Monfort, JP Renne
Journal of Econometrics 182 (2), 397-411, 2014
A tractable interest rate model with explicit monetary policy rates
JP Renne
European Journal of Operational Research 251 (3), 873-887, 2016
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