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Jean-Paul Renne



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8 last publications ordered by: publication type  -  year

: Peer Reviewed


Gouriéroux C., Monfort A. ; Renne J.-P. (2019). Identification and Estimation in Non-Fundamental Structural VARMA Models. The Review of Economic Studies.

GRISHCHENKO O., MOUABBI S. ; RENNE J.-P. (2019). Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison. Journal of Money, Credit and Banking.

Fries S., Mésonnier J.-S., Mouabbi S. ; Renne J.-P. (2018). National natural rates of interest and the single monetary policy in the euro area : National natural rates of interest and the single monetary policy in the euro area. Journal of Applied Econometrics, 33, 763-779.

Gouriéroux C., Monfort A. ; Renne J.-P. (2017). Statistical inference for independent component analysis: Application to structural VAR models. Journal of Econometrics, 196, 111-126. Peer Reviewed

Monfort Alain, Pegoraro Fulvio, Renne Jean-Paul ; Roussellet Guillaume (2017). Staying at zero with affine processes: An application to term structure modelling. Journal of Econometrics, 201, 348-366.

Renne J.-P. (2017). A model of the euro-area yield curve with discrete policy rates. Studies in Nonlinear Dynamics & Econometrics, 21, 99-116. Peer Reviewed

Dubecq S., Monfort A., Renne J.-P. ; Roussellet G. (2016). Credit and liquidity in interbank rates: A quadratic approach. Journal of Banking and Finance, 68, 29-46. Peer Reviewed

Renne J.-P. (2016). A tractable interest rate model with explicit monetary policy rates. European Journal of Operational Research, 251, 873-887. Peer Reviewed



Macro-Financial Econometrics


PhD in Applied Mathematics - Université Paris-Dauphine

Master of Public Action - Ecole National des Ponts et Chaussées

MSc Finance and Economics - Ecole Nationale des Ponts et Chaussées

MSc Economics and Applied Mathematics - Ecole Polytechnique

Work experience

Scientific Consultancy for the Banque de France

Consultancy for the OECD

Senior Economist - Banque de France

Head of Operational Research (Agence France Trésor, French Debt Management Office)

Deputy Head of the Growth Policy Division - Ministry of Finance

Consultancy for the European Central Bank


  • time series analysis, macro-finance modelling, interest rates, credit risk.


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