Jean-Paul Renne
Contact
![]() |
Director,
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 |
Links
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
![]() |
Pauline Chikhani
paulin.chikhani@unil.ch Tel: (021 692) 3677 Room: 130 |
![]() |
Kevin Pallara
KEVIN.PALLARA@UNIL.CH Tel: (021 692) 36 96 Room: NEF 502 full description |
|
![]() |
Axel Pillard
Axel.Pillard@unil.ch |
![]() |
Adrien Tschopp
adrien.tschopp@unil.ch full description |
|
Publications
23 last publications
: Peer Reviewed
2019
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. | |
2018
2017
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. ![]() | |
Renne J.-P. (2017). A model of the euro-area yield curve with discrete policy rates. Studies in Nonlinear Dynamics & Econometrics, 21, 99-116. ![]() | |
2016
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. ![]() | |
Renne J.-P. (2016). A tractable interest rate model with explicit monetary policy rates. European Journal of Operational Research, 251, 873-887. ![]() | |
2015
Monfort A., Renne J.-P. ; Roussellet G. (2015). A Quadratic Kalman Filter. Journal of Econometrics, 187, 43-56. ![]() | |
2014
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. ![]() | |
Gouriéroux C., Monfort A., Pegoraro F. ; Renne J.-P. (2014). Regime Switching and Bond Pricing. Journal of Financial Econometrics, 12, 237-277. ![]() | |
Gouriéroux C., Monfort A. ; Renne J.-P. (2014). Pricing Default Events: Surprise, Exogeneity and Contagion. Journal of Econometrics, 182, 397-411. ![]() | |
Monfort A. , Renne J.-P. (2014). Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks. Review of Finance, 18, 2103-2151. ![]() | |
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. | |
2013
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 A. , Renne J.-P. (2013). Default, Liquidity and Crises: An Econometric Framework. Journal of Financial Econometrics, 11, 221-262. ![]() | |
2010
2009
2008
Coupet M. , Renne J.-P. (2008). Réformes Fiscales dans un Modèle DSGE France en Economie Ouverte. Economie & Prevision, 183, 199-222. | |
2007
Mésonnier J.-S. , Renne J.-P. (2007). A Time-Varying Natural Rate of Interest for the Euro Area. European Economic Review, 51, 1768-1784. ![]() | |
Renne J.-P. (2007). Quelles sont les Parts Cyclique et Structurelle du Chômage en France?. Economie & Prevision, 177, 129-136. | |
2006
Bouis R. , Renne J.-P. (2006). Caractéristiques des Marchés du Travail de l'OCDE. Economie & Prevision, 173, 171-178. | |
2003
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-DauphineMaster 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 FranceConsultancy 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.