Professeurs et Recherche

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

	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.

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.

	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.

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

	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.

2009

	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.

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-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.

Jean-Paul Renne

Contact

Links