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Jean-Paul Renne

Contact

Full Professor
Department of Economics


Contact
Jean-Paul.Renne@unil.ch
Internef, room 524
Tel 021.692.36.59

Postal address
Université de Lausanne
Quartier UNIL-Chamberonne
Bâtiment Internef
1015 Lausanne

Teaching

master Macroeconometrics
Related programme
Master of Science (MSc) in Economics
bachelor Statistique et économétrie II
Related programmes
Bachelor (BSc) in Economic Sciences
Bachelor of Science (BSc) in Economics

Research

Research areas

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

Assistants

Kevin Pallara
KEVIN.PALLARA@UNIL.CH
Tel: (021 692) 36 96
Room: NEF 502

 

Publications

23 last publications ordered by: publication type  -  year

: Peer Reviewed

Articles

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


Monfort A., Renne J.-P. ; Roussellet G. (2015). A Quadratic Kalman Filter. Journal of Econometrics, 187, 43-56. Peer Reviewed


Borgy V., Clerc L. ; Renne J.-P. (2014). Measuring Aggregate Risk: Can We Robustly Identify Asset-Price Boom-Bust Cycles?. Journal of Banking and Finance, 46, 132-150. Peer Reviewed


Gouriéroux C., Monfort A., Pegoraro F. ; Renne J.-P. (2014). Regime Switching and Bond Pricing. Journal of Financial Econometrics, 12, 237-277. Peer Reviewed


Gouriéroux C., Monfort A. ; Renne J.-P. (2014). Pricing Default Events: Surprise, Exogeneity and Contagion. Journal of Econometrics, 182, 397-411. Peer Reviewed


Monfort A. , Renne J.-P. (2014). Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks. Review of Finance, 18, 2103-2151. Peer Reviewed


Monfort A. , Renne J.-P. (2013). Default, Liquidity and Crises: An Econometric Framework. Journal of Financial Econometrics, 11, 221-262. Peer Reviewed


Coupet M. , Renne J.-P. (2008). Réformes Fiscales dans un Modèle DSGE France en Economie Ouverte. Economie & Prevision, 183, 199-222.


Mésonnier J.-S. , Renne J.-P. (2007). A Time-Varying Natural Rate of Interest for the Euro Area. European Economic Review, 51, 1768-1784. Peer Reviewed


Renne J.-P. (2007). Quelles sont les Parts Cyclique et Structurelle du Chômage en France?. Economie & Prevision, 177, 129-136.


Bouis R. , Renne J.-P. (2006). Caractéristiques des Marchés du Travail de l'OCDE. Economie & Prevision, 173, 171-178.


Book Sections

Monfort A. , Renne J.-P. (2014). Compound Auto-Regressive Processes and Defaultable Bond Pricing. Developments in Macro-Finance Yield Curve Modeling (pp. 141-168). Cambridge University Press.


Borgy V., Clerc L. ; Renne J.-P. (2010). House price Boom/Bust Cycles: Identification Issues and Macro-prudential Implications. Housing Markets in Europe, A Macroeconomic Perspective (pp. 359-383). Springer.


Horngren L., Zetterstrom E., Renne J.-P., Iacovini D. ; Sagnes N. (2009). Liability Management with Inflation-linked Products: The Cases of Sweden, France and Italy. Inflation Risk and Products (pp. 565-588). Riskbooks.


Technical Reports

Bouis Romain, Rawdanowicz Lukasz, Renne Jean-Paul, Watanabe Shingo ; Christensen Ane K. (2013). The Effectiveness of Monetary Policy since the Onset of the Financial Crisis. OECD.


Monfort Alain, Renne Jean-Paul, Rueffer Rasmus ; Vitale Giovanni (2003). Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects. ECB.


Curriculum

Competences



Macro-Financial Econometrics

Education

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

Keywords

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

 
 
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