Jean-Paul Renne

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

Assistant Professor

Unil Dorigny, Batiment Internef

Lausanne, 1015

Switzerland

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

SCHOLARLY PAPERS

23

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39

CROSSREF CITATIONS

365

Scholarly Papers (23)

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1.

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

Downloads 464 ( 62,815)
Citation 21

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
Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet
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 433 (67,612)
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
Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet
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 31 (488,811)
Citation 13

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

2.

A Quadratic Kalman Filter

Downloads 353 ( 86,824)
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 297 (104,564)

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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 56 (385,695)
Citation 16

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

3.

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 220 (143,046)
Citation 24

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

4.

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

Downloads 208 (150,813)

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 208 (150,550)
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

5.

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
Vladimir Borgy, Thomas Laubach, Jean-Stéphane Mésonnier and Jean-Paul Renne
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 196 (159,507)

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

6.

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
Vladimir Borgy, Thomas Laubach, Jean-Stéphane Mésonnier and Jean-Paul Renne
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 187 (166,417)
Citation 52

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

7.

Credit and Liquidity in Interbank Rates: A Quadratic Approach

Number of pages: 57 Posted: 28 Sep 2013 Last Revised: 19 Mar 2016
Simon Dubecq, Alain Monfort, Jean-Paul Renne and Guillaume Roussellet
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 151 (200,227)
Citation 15

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

8.

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

Downloads 143 (209,438)
Citation 4

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, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 118 (244,198)
Citation 2

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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, Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 25 (523,472)
Citation 2

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Anchoring of inflation expectations, Dynamic factor model, Inflation, Stochastic volatility, Surveys of professional forecasters, Term structure of inflation expectations and inflation uncertainty

9.

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 130 (226,010)

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Kalman filter, Monetary policy, Taylor rule, Euro area

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 108 (258,897)
Citation 28

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

11.

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 85 (302,900)
Citation 20

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

12.

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 76 (323,744)
Citation 13

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yield curve, option pricing, regime switching, market expectations

13.

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 73 (331,221)
Citation 13

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unconventional monetary policy, option pricing, TLTRO

14.

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
Sébastien Fries, Jean-Stéphane Mésonnier, Sarah Mouabbi and Jean-Paul Renne
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 66 (349,884)
Citation 2

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

15.

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 61 (364,417)
Citation 13

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

16.

Regime Switching and Bond Pricing

Banque de France Working Paper No. 456
Number of pages: 49 Posted: 22 Oct 2013
Christian Gourieroux, Alain Monfort, Fulvio Pegoraro 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), Banque de France - Economics and Finance Research Center and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 58 (373,418)
Citation 12

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

17.

Fiscal Limits and Sovereign Credit Spreads

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 59 Posted: 29 Oct 2019 Last Revised: 04 Nov 2019
Kevin Pallara and Jean-Paul Renne
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 47 (410,146)

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18.

Disastrous Defaults

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 63 Posted: 01 Jun 2018 Last Revised: 04 Jan 2020
Christian Gourieroux, Alain Monfort, Sarah Mouabbi 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), Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 41 (432,866)

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

19.

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
Alain Monfort, Jean-Paul Renne, Rasmus Rueffer and Giovanni Vitale
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 (462,513)
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Dynamic Factor, Kalman Filter, business cycles synchronization

20.

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 33 (466,988)
Citation 24

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

21.

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 32 (471,601)
Citation 80

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

22.

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 30 (481,393)

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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

23.

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 29 (486,346)
Citation 33

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Monetary policy rules, Natural rate of interest, Uncertainty