Jean-Paul Renne

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Assistant Professor

Unil Dorigny, Batiment Internef

Lausanne, 1015

Switzerland

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 16,696

SSRN RANKINGS

Top 16,696

in Total Papers Downloads

2,348

CITATIONS
Rank 9,347

SSRN RANKINGS

Top 9,347

in Total Papers Citations

47

Scholarly Papers (22)

Staying at Zero with Affine Processes: An Application to Term-Structure Modelling

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 44 Posted: 15 Mar 2014 Last Revised: 24 Aug 2016
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and New York University (NYU) - Leonard N. Stern School of Business, Volatility Institute
Downloads 385 (62,186)

Abstract:

Zero Lower Bound, Affine Process, Term-Structure Model, Lift-Off Probabilities

Staying at Zero with Affine Processes: An Application to Term Structure Modelling

Banque de France Working Paper No. 558
Number of pages: 45 Posted: 13 Jun 2015
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and New York University (NYU) - Leonard N. Stern School of Business, Volatility Institute
Downloads 24 (441,263)

Abstract:

Zero Lower Bound, Affine Process, Term-Structure Model, Lift-Off probabilities

2.
Downloads 330 ( 75,149)

A Quadratic Kalman Filter

Number of pages: 39 Posted: 21 Dec 2013 Last Revised: 25 Nov 2014
Alain Monfort, Jean-Paul Renne and Guillaume Roussellet
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and New York University (NYU) - Leonard N. Stern School of Business, Volatility Institute
Downloads 278 (90,582)

Abstract:

Non-linear filtering, non-linear smoothing, quadratic model, Kalman filter, Pseudo-maximum likelihood

A Quadratic Kalman Filter

Banque de France Working Paper No. 486
Number of pages: 52 Posted: 13 Jun 2014
Alain Monfort, Jean-Paul Renne and Guillaume Roussellet
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and New York University (NYU) - Leonard N. Stern School of Business, Volatility Institute
Downloads 52 (330,003)

Abstract:

non-linear filtering, non-linear smoothing, quadratic model, Kalman filter, pseudo-maximum likelihood

A Model of the Euro-Area Yield-Curve with Discrete Policy Rates

Number of pages: 49 Posted: 04 Mar 2012 Last Revised: 31 Aug 2014
Jean-Paul Renne
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 193 (131,353)
Citation 1

Abstract:

affine term-structure models, zero lower bound, regime switching, forward policy guidance

A Model of the Euro-Area Yield Curve with Discrete Policy Rates

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Posted: 09 Jun 2012
Jean-Paul Renne
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

overnight index swaps, affine term-structure models, regime switching, non-standard monetary-policy measures

A Model of the Euro-Area Yield Curve with Discrete Policy Rates

Banque de France Working Paper No. 395
Posted: 06 Sep 2012
Jean-Paul Renne
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

affine term-structure models, zero lower bound, regime switching, forward policy guidance

4.

Asset-Price Boom-Bust Cycles and Credit: What is the Scope of Macro-Prudential Regulation?

Banque de France Working Paper No. 263
Number of pages: 65 Posted: 27 Jun 2010
Vladimir Borgy, Laurent Clerc and Jean-Paul Renne
Banque de France, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 156 (130,266)
Citation 2

Abstract:

Early Warning Indicators, Discrete-Choice Model, Asset Price Booms and Busts, Macro-prudential Regulation, Leaning Against the Wind Policies

5.

Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 57 Posted: 13 Oct 2011 Last Revised: 18 Nov 2014
Banque de France, Goethe University Frankfurt, Banque de France -DGEI-DEMFI-RECFIN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 155 (143,156)
Citation 7

Abstract:

Government debt, affine term structure models, default risk, yield spreads, fiscal projections

6.

The Taylor Rule and Monetary Policy in the Euro Area

Banque de France Working Paper No. 117
Number of pages: 39 Posted: 11 Nov 2010
Jean-Stéphane Mésonnier and Jean-Paul Renne
affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 102 (197,919)

Abstract:

Kalman filter, Monetary policy, Taylor rule, Euro area

7.

Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets

Banque de France Working Paper No. 350
Number of pages: 61 Posted: 07 Nov 2011
Banque de France, Goethe University Frankfurt, Banque de France -DGEI-DEMFI-RECFIN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 99 (158,266)
Citation 7

Abstract:

Government debt, affine term structure models, default risk, yield spreads, fiscal projection

8.

Credit and Liquidity in Interbank Rates: A Quadratic Approach

Number of pages: 57 Posted: 28 Sep 2013 Last Revised: 19 Mar 2016
affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and New York University (NYU) - Leonard N. Stern School of Business, Volatility Institute
Downloads 95 (172,259)

Abstract:

Quadratic term-structure model, liquidity risk, credit risk, interbank market, unconventional monetary policy

9.

Default, Liquidity and Crises: An Econometric Framework

Banque de France Working Paper No. 340
Number of pages: 44 Posted: 19 Aug 2011 Last Revised: 11 Dec 2011
Alain Monfort and Jean-Paul Renne
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 82 (255,062)
Citation 3

Abstract:

credit risk, liquidity risk, term structure, affine model, regime switching, car process

10.

Credit and Liquidity Risks in Euro Area Sovereign Yield Curves

Banque de France Working Paper No. 352
Number of pages: 46 Posted: 29 Nov 2011
Alain Monfort and Jean-Paul Renne
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 78 (249,423)
Citation 4

Abstract:

default risk, liquidity risk, term structure of interest rates, regime-switching, euro-area spreads

11.

Pricing Default Events: Surprise, Exogeneity and Contagion

Banque de France Working Paper No. 455
Number of pages: 51 Posted: 22 Oct 2013
Christian Gourieroux, Alain Monfort and Jean-Paul Renne
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 44 (324,912)
Citation 1

Abstract:

Credit Derivative, Default Event, Default Intensity, Frailty, Contagion, Credit Spread Puzzle

12.

Regime Switching and Bond Pricing

Banque de France Working Paper No. 456
Number of pages: 49 Posted: 22 Oct 2013
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 40 (330,863)

Abstract:

term structure, regime switching, affine models, car process, multi-horizon Laplace transform, contagion, default risk, monetary policy

13.

Fixed-Income Pricing in a Non-Linear Interest-Rate Model

Banque de France Working Paper No. 517
Number of pages: 44 Posted: 29 Oct 2014
Jean-Paul Renne
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 39 (284,227)

Abstract:

yield curve, option pricing, regime switching, market expectations

14.

Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects

CEPR Discussion Paper No. 4119
Number of pages: 45 Posted: 08 Jan 2004
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 34 (384,095)
Citation 18
  • Add to Cart

Abstract:

Dynamic Factor, Kalman Filter, business cycles synchronization

15.

Options Embedded in ECB Targeted Refinancing Operations

Banque de France Working Paper No. 518
Number of pages: 27 Posted: 29 Oct 2014
Jean-Paul Renne
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 30 (313,697)

Abstract:

unconventional monetary policy, option pricing, TLTRO

16.

A Time-Varying Natural Rate for the Euro Area

Banque de France Working Paper No. 115
Number of pages: 44 Posted: 11 Nov 2010
Jean-Stéphane Mésonnier and Jean-Paul Renne
affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 23 (404,527)
Citation 2

Abstract:

Natural rate of interest, interest rate gap, monetary policy, Kalman filter, output gap

17.

Frequency-Domain Analysis of Debt Service in a Macro-Finance Model for the Euro Area

Banque de France Working Paper No. 261
Number of pages: 35 Posted: 26 Jun 2010
Jean-Paul Renne
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 23 (413,485)
Citation 1

Abstract:

macro-finance model, spectral analysis, term-structure of interest rates, public debt management

18.

Does Uncertainty Make a Time-Varying Natural Rate of Interest Irrelevant for the Conduct of Monetary Policy?

Banque de France Working Paper No. 175
Number of pages: 63 Posted: 10 Oct 2010
Jean-Stéphane Mésonnier and Jean-Paul Renne
affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 14 (428,215)
Citation 1

Abstract:

Monetary policy rules, Natural rate of interest, Uncertainty

19.

The Joint Dynamics of U.S. and Euro-Area Inflation Rates: Expectations and Time-varying Uncertainty

Banque de France Working Paper No. 622
Number of pages: 58 Posted: 14 Apr 2017
Olesya V. Grishchenko, Sarah Mouabbi and Jean-Paul Renne
Board of Governors of the Federal Reserve System, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 0 (495,728)

Abstract:

inflation, surveys of professional forecasters, dynamic factor model with stochastic volatility, term structure of inflation expectations and inflation uncertainty, anchoring of inflation expectations

20.

National Natural Rates of Interest and the Single Monetary Policy in the Euro Area

Banque de France Working Paper No. 611
Number of pages: 45 Posted: 19 Dec 2016 Last Revised: 06 Feb 2017
Banque de France, Banque de France -DGEI-DEMFI-RECFIN, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 0 (362,266)

Abstract:

euro area countries, natural rate of interest, common monetary policy, fragmentation

21.

Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison

Number of pages: 45 Posted: 30 Nov 2016 Last Revised: 08 Jul 2017
Olesya V. Grishchenko, Sarah Mouabbi and Jean-Paul Renne
Board of Governors of the Federal Reserve System, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 0 (303,223)

Abstract:

inflation, surveys of professional forecasters, dynamic factor model with stochastic volatility, term structure of inflation expectations and inflation uncertainty, anchoring of inflation expectations

22.

Measuring Inflation Anchoring and Uncertainty: A US and Euro Area Comparison

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 45 Posted: 01 Jun 2016 Last Revised: 08 Jul 2017
Olesya V. Grishchenko, Sarah Mouabbi and Jean-Paul Renne
Board of Governors of the Federal Reserve System, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 0 (510,531)

Abstract:

inflation, surveys of professional forecasters, dynamic factor model with stochastic volatility, term structure of inflation expectations and inflation uncertainty, anchoring of inflation expectations