Jean-Paul Renne

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

Professor

UNIL, Batiment Internef

Lausanne, 1015

Switzerland

SCHOLARLY PAPERS

28

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4,132

SSRN CITATIONS
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Top 2,967

in Total Papers Citations

80

CROSSREF CITATIONS

368

Scholarly Papers (28)

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 McGill University - Desautels Faculty of Management
Downloads 453 (89,358)
Citation 9

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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 McGill University - Desautels Faculty of Management
Downloads 34 (619,890)
Citation 14

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

2.
Downloads 365 (115,528)
Citation 16

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 McGill University - Desautels Faculty of Management
Downloads 307 (138,502)
Citation 1

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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 McGill University - Desautels Faculty of Management
Downloads 58 (498,502)
Citation 16

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

3.

Fiscal Limits and Sovereign Credit Spreads

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 78 Posted: 29 Oct 2019 Last Revised: 14 Feb 2022
Kevin Pallara and Jean-Paul Renne
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 283 (151,414)
Citation 2

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Sovereign Credit Risk, Term Structure Models, Public Debt Dynamics

4.

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, Board of Governors of the Federal Reserve System, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 252 (170,073)
Citation 2

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

5.

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 244 (175,397)
Citation 28

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

6.

Pricing Climate Linkers

Number of pages: 67 Posted: 08 Jul 2021 Last Revised: 25 Jul 2022
Pauline Chikhani and Jean-Paul Renne
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 242 (176,746)

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Integrated Assessment Model, Macroeconomic disasters, Climate derivatives, Term structure model

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 212 (200,153)
Citation 6

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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)

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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)

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

8.

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, Board of Governors of the Federal Reserve System, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 205 (206,797)
Citation 56

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

9.
Downloads 184 (227,570)

Disastrous Defaults

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73 Posted: 01 Jun 2018 Last Revised: 24 Oct 2020
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 157 (260,859)

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Disaster Risk, Systemic Entities, Default Dependencies, Credit Derivatives, Equilibrium Model

Disastrous Defaults

Banque de France Working Paper No. 778
Number of pages: 65 Posted: 15 Sep 2020
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 27 (667,702)

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Disaster Risk, Systemic Entities, Default Dependencies, Credit Derivatives, Equilibrium Model.

10.

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
Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 171 (242,288)

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Kalman filter, Monetary policy, Taylor rule, Euro area

11.

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 McGill University - Desautels Faculty of Management
Downloads 161 (254,936)
Citation 17

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

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

Number of pages: 46 Posted: 30 Nov 2016 Last Revised: 03 Dec 2017
Olesya V. Grishchenko, Sarah Mouabbi and Jean-Paul Renne
Board of Governors of the Federal Reserve System, European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 124 (313,939)
Citation 3

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

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

FEDS Working Paper No. 2017-102
Number of pages: 46 Posted: 05 Oct 2017 Last Revised: 07 Oct 2017
Olesya V. Grishchenko, Sarah Mouabbi and Jean-Paul Renne
Board of Governors of the Federal Reserve System, European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 30 (646,238)
Citation 7

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Anchoring of inflation expectations, Dynamic factor model, Inflation, Stochastic volatility, Survey of Professional Forecasters (SPF), Term structure of inflation expectations and inflation uncertainty

13.

Preventing COVID-19 Fatalities: State versus Federal Policies

Number of pages: 53 Posted: 29 Oct 2020 Last Revised: 15 Dec 2020
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), McGill University - Desautels Faculty of Management and Santa Clara University - Department of Finance
Downloads 133 (296,536)

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Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective

Number of pages: 55 Posted: 18 Jun 2020 Last Revised: 02 Feb 2022
Sarah Mouabbi, Jean-Paul Renne and Jean-Guillaume Sahuc
European Central Bank, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Banque de France
Downloads 94 (379,949)

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GDP-linked securities, term structure, consumption-based model, debt stabilization

Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective

Banque de France Working Paper No. 844, October 2021
Number of pages: 53 Posted: 19 Nov 2021
Sarah Mouabbi, Jean-Paul Renne and Jean-Guillaume Sahuc
European Central Bank, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Banque de France
Downloads 33 (626,341)

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GDP-linked securities, term structure, consumption-based model, debt stabilization

15.

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 124 (312,529)
Citation 29

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

16.

Fiscal Limits and the Pricing of Eurobonds

Number of pages: 50 Posted: 24 Jul 2021 Last Revised: 24 Nov 2021
Kevin Pallara and Jean-Paul Renne
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 97 (369,511)

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Sovereign Credit Risk, Public Debt Management, Joint Liability, Term Structure of Interest Rates

17.

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 89 (389,820)
Citation 20

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

18.

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 87 (395,264)
Citation 14

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unconventional monetary policy, option pricing, TLTRO

19.

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 83 (406,515)
Citation 13

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yield curve, option pricing, regime switching, market 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, European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 72 (440,370)
Citation 6

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

21.

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 69 (450,470)
Citation 14

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

22.

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 67 (457,393)
Citation 13

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

23.

Required Capital for Long-run Risks

Number of pages: 40 Posted: 21 Aug 2021
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 46 (542,635)

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Long-Run Risk, Required Capital, Risk Profile, Prudential Supervision, Pension Fund, Transition Risks, Low Carbon, ESG Risk.

24.

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, European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 39 (577,603)

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

25.

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
Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 36 (593,908)
Citation 34

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Monetary policy rules, Natural rate of interest, Uncertainty

26.

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
Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 35 (599,565)
Citation 81

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

27.

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 34 (605,271)
Citation 24

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

28.

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

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 (605,271)
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Dynamic Factor, Kalman Filter, business cycles synchronization