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Jean-Paul Renne


Director, Full Professor
Department of Economics

Internef, room 524
Tel 021.692.36.59

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


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 areas

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


Pauline Chikhani
Tel: (021 692) 3677
Room: 130

  Kevin Pallara
Tel: (021 692) 36 96
Room: NEF 502

full description
Axel Pillard

  Adrien Tschopp

full description


23 last publications

: 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


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


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. Peer Reviewed


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.


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.


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



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.


Internef - CH-1015 Lausanne - Suisse  -   Tél. +41 21 692 33 00  -   Fax +41 21 692 33 05
Swiss University