Jean-Paul Renne : Citation Profile

Are you Jean-Paul Renne?

Université de Lausanne

12

H index

14

i10 index

598

Citations

RESEARCH PRODUCTION:

29

Articles

35

Papers

1

Books

RESEARCH ACTIVITY:

   19 years (2003 - 2022). See details.
   Cites by year: 31
   Journals where Jean-Paul Renne has often published
   Relations with other researchers
   Recent citing documents: 89.    Total self citations: 15 (2.45 %)

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   Permalink: http://citec.repec.org/pre174
   Updated: 2023-01-28    RAS profile: 2023-01-01    
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Relations with other researchers

Works with:

Monfort, Alain (10)

Mouabbi, Sarah (9)

Roussellet, Guillaume (4)

Pegoraro, Fulvio (3)

gourieroux, christian (3)

Grishchenko, Olesya (2)

Sahuc, Jean-Guillaume (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Paul Renne.

Is cited by:

Klose, Jens (16)

Belke, Ansgar (13)

Mojon, Benoit (13)

Moneta, Alessio (13)

Sentana, Enrique (11)

Fiorentini, Gabriele (9)

Kose, Ayhan (8)

Moessner, Richhild (7)

Beyer, Robert (7)

Perez Quiros, Gabriel (7)

Chernov, Mikhail (7)

Cites to:

Monfort, Alain (28)

Rudebusch, Glenn (28)

Williams, John (24)

Pegoraro, Fulvio (21)

Orphanides, Athanasios (16)

Piazzesi, Monika (16)

Svensson, Lars (15)

Smets, Frank (12)

Ang, Andrew (11)

Singleton, Kenneth (10)

Swanson, Eric (9)

Main data

Where Jean-Paul Renne has published?

Journals with more than one article published# docs
Journal of Econometrics4
Economie & Prvision3
conomie et Prvision3
Journal of Banking & Finance2
The Journal of Financial Econometrics2
Review of Finance2
International Journal of Finance & Economics2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics8
Post-Print / HAL2

Recent works citing Jean-Paul Renne (2022 and 2021)

YearTitle of citing document
2022Informational Content of Factor Structures in Simultaneous Binary Response Models. (2019). Maurel, Arnaud ; Zhang, Yichong ; Khan, Shakeeb. In: Papers. RePEc:arx:papers:1910.01318.

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2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2022Time Series Estimation of the Dynamic Effects of Disaster-Type Shock. (2021). Ng, Serena ; Davis, Richard. In: Papers. RePEc:arx:papers:2107.06663.

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2022Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930.

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2022Long Run Risk in Stationary Structural Vector Autoregressive Models. (2022). Gourieroux, Christian ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2202.09473.

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2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

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2022Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263.

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2021.

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2021Does one (unconventional) size fit all? Effects of the ECBs unconventional monetary policies on the euro area economies. (2021). Pagliari, Maria Sole. In: Working papers. RePEc:bfr:banfra:829.

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2022Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367.

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2021The anchoring of long-term inflation expectations of consumers: insights from a new survey. (2021). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele. In: BIS Working Papers. RePEc:bis:biswps:936.

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2021Fiscal and monetary policy interactions in a low interest rate world. (2021). Orphanides, Athanasios ; Mojon, Benoit ; Lombardi, Marco ; Hofmann, Boris. In: BIS Working Papers. RePEc:bis:biswps:954.

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2022Understanding Consumer Inflation Expectations during the COVID?19 Pandemic. (2022). Karagedikli, Ozer ; Ho, Suijade ; Detmers, Gundaalexandra. In: Australian Economic Review. RePEc:bla:ausecr:v:55:y:2022:i:1:p:141-154.

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2022Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693.

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2022Time?Varying Dynamics of the German Business Cycle: A Comprehensive Investigation. (2022). Reif, Magnus. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:80-102.

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2021The importance of supply and demand for oil prices: evidence from non-Gaussianity. (2021). Braun, Robin. In: Bank of England working papers. RePEc:boe:boeewp:0957.

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2022Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171.

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2021Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs. (2021). Fernandez-Villaverde, Jesus ; Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8977.

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2021Time-Varying Dynamics of the German Business Cycle: A Comprehensive Investigation. (2021). Reif, Magnus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9271.

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2021Moment tests of independent components. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2021_2102.

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2022Specification tests for non-Gaussian structural vector autoregressions. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2212.

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2021Spillover Effects in International Business Cycles. (2021). Perez Quiros, Gabriel ; Pacce, Matías ; Perez-Quiros, Gabriel ; Camacho, Maximo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15787.

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2021Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs. (2021). Shin, Minchul ; Fernandez-Villaverde, Jesus ; Rubio-Ramirez, Juan Francisco ; Arias, Jonas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15951.

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2021Anchoring of consumers’ long-term euro area inflation expectations during the pandemic. (2021). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele. In: Working Papers. RePEc:dnb:dnbwpp:715.

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2021Trust in the ECB in turbulent times. (2021). Samarina, Anna ; van der Cruijsen, Carin. In: Working Papers. RePEc:dnb:dnbwpp:722.

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2022Reactions of household inflation expectations to a symmetric inflation target and high inflation. (2022). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele. In: Working Papers. RePEc:dnb:dnbwpp:743.

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2021Inflation expectations and their role in Eurosystem forecasting. (2021). Tagliabracci, Alex ; Pönkä, Harri ; Meyler, Aidan ; Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Krasnopjorovs, Olegs ; Kearney, Ide ; DARRACQ PARIES, Matthieu ; Colavecchio, Roberta ; BOBEICA, Elena ; Paredes, Joan ; Robert, Pierre-Antoine ; Iskrev, Nikolay ; Jonckheere, Jana ; Speck, Christian ; Jorgensen, Casper ; Stockhammar, Par ; Bessonovs, Andrejs ; Trezzi, Riccardo ; Hutchinson, John ; Vilmi, Lauri ; Stanisawska, Ewa ; Fritzer, Friedrich ; Schupp, Fabian ; Yziak, Tomasz ; Boninghausen, Benjamin ; Hartwig, Benny ; Galati, Gabriele ; Ponka, Harri ; Tengely, Veronika ; Maletic, Matjaz ; Brazdik, Frantiek ; Kasimati, Evangelia ; Charalampakis, Evangelos ; Paloviita, Maritta ; Tirpak, Marcel ; Riggi, Marianna ; Hartmann, Matthias ; Dam
2021Euro area sovereign bond risk premia during the Covid-19 pandemic. (2021). Grimm, Niklas ; Corradin, Stefano ; Schwaab, Bernd. In: Working Paper Series. RePEc:ecb:ecbwps:20212561.

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2022Monetary policy & anchored expectations: an endogenous gain learning model. (2022). Gáti, Laura. In: Working Paper Series. RePEc:ecb:ecbwps:20222685.

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2021Sovereign illiquidity and recessions.. (2021). Gutkowski, Violeta A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920301974.

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2021The Jacobian of the exponential function. (2021). Sentana, Enrique ; Henk, ; Magnus, Jan R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000579.

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2022Inflation anchoring and growth: The role of credit constraints. (2022). Furceri, Davide ; Choi, Sangyup ; Shim, Myungkyu ; Loungani, Prakash. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002141.

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2022Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations. (2022). Skrobotov, Anton ; Karamysheva, Madina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s016518892200063x.

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2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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2022Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US. (2022). Rohloff, Hannes ; Herwartz, Helmut ; Wang, Shu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001622.

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2021Get the lowdown: The international side of the fall in the U.S. natural rate of interest. (2021). Martinez-Garcia, Enrique. In: Economic Modelling. RePEc:eee:ecmode:v:100:y:2021:i:c:s0264999321000699.

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2021Identification of structural vector autoregressions through higher unconditional moments. (2021). Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:27-46.

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2022Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227.

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2022Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models. (2022). Petrova, Katerina. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:154-182.

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2022Affine arbitrage-free yield net models with application to the euro debt crisis. (2022). Niu, Linlin ; Zhang, Chen ; Hong, Zhiwu. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:201-220.

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2022An indirect proof for the asymptotic properties of VARMA model estimators. (2022). Melard, Guy. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:96-111.

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2022Do energy efficiency improvements reduce energy use? Empirical evidence on the economy-wide rebound effect in Europe and the United States. (2022). Stern, David ; Moneta, Alessio ; Bruns, Stephan ; Berner, Anne. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s014098832200113x.

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2021Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions. (2021). Stern, David ; Moneta, Alessio ; Bruns, Stephan B. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000633.

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2021Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach. (2021). Danso, Albert ; James, Gregory A ; Lartey, Theophilus. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000958.

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2022The network structure of overnight index swap rates. (2022). Uddin, Ajim ; Taylor, Stephen ; Fang, Ming. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004141.

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2022On the international co-movement of natural interest rates. (2022). Agnello, Luca ; Castro, Vitor ; Sousa, Ricardo M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000889.

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2021No-Arbitrage pricing of GDP-Linked bonds. (2021). Eguren Martin, Fernando ; Yan, Wen ; Meldrum, Andrew. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000339.

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2022Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429.

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2021How economic crises affect inflation beliefs: Evidence from the Covid-19 pandemic. (2021). van der Klaauw, Wilbert ; topa, giorgio ; Kosar, Gizem ; Smith, Kyle ; Skandalis, Daphne ; Pomerantz, Rachel ; Koar, Gizem ; Armantier, Olivier. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:189:y:2021:i:c:p:443-469.

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2021Measuring macroeconomic disagreement – A mixed frequency approach. (2021). Wang, Ben Zhe ; Sheen, Jeffrey. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:189:y:2021:i:c:p:547-566.

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2021Benchmark interest rates when the government is risky. (2021). Chernov, Mikhail ; Song, D ; Schmid, L ; Augustin, P. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:1:p:74-100.

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2021Digitalization, retail trade and monetary policy. (2021). Glocker, Christian ; Piribauer, Philipp. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:112:y:2021:i:c:s0261560620302965.

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2021Ties that bind: Estimating the natural rate of interest for small open economies. (2021). Martínez García, Enrique ; Grossman, Valerie ; Wynne, Mark A ; Martinez-Garcia, Enrique ; Zhang, Ren. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560620302710.

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2021Exchange rates, foreign currency exposure and sovereign risk. (2021). Bernoth, Kerstin ; Herwartz, Helmut. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s0261560621001054.

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2021Why was the ECB’s reaction to Covid-19 crisis faster than after the 2008 financial crash?. (2021). Seghezza, Elena ; Morelli, Pierluigi. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:1:p:1-14.

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2021Why have interest rates fallen far below the return on capital?. (2021). Velde, Francois ; Mojon, Benoit ; Marx, Magali. In: Journal of Monetary Economics. RePEc:eee:moneco:v:124:y:2021:i:s:p:s57-s76.

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2021Anchored or de-anchored? That is the question. (2021). Tagliabracci, Alex ; Neri, Stefano ; Corsello, Francesco. In: European Journal of Political Economy. RePEc:eee:poleco:v:69:y:2021:i:c:s017626802100032x.

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2022Renewable energy in prism of technological innovation and economic uncertainty. (2022). Chang, Tsangyao ; Umar, Muhammad ; Khan, Khalid ; Su, Chi-Wei. In: Renewable Energy. RePEc:eee:renene:v:189:y:2022:i:c:p:467-478.

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2021Safe haven flows, natural interest rates and secular stagnation—Empirical evidence for Euro area countries. (2021). Klose, Jens ; Belke, Ansgar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:1164-1190.

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2021Financial Spillover and Contagion Risks in the Euro Area in 2007-2019. (2021). Vogel, Lukas ; Vašíček, Bořek ; Vaiek, Boek ; Perticari, Francesco ; Monteiro, Daniel ; Lorenzani, Dimitri ; Garcia, Roman. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:137.

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2021Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs. (2021). Shin, Minchul ; Fernandez-Villaverde, Jesus ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Working Papers. RePEc:fda:fdaddt:2021-09.

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2021Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies. (2019). Zhang, Ren ; Wynne, Mark ; Martínez García, Enrique ; Martinez-Garcia, Enrique ; Grossman, Valerie. In: Globalization Institute Working Papers. RePEc:fip:feddgw:359.

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2021Get the Lowdown: The International Side of the Fall in the U.S. Natural Rate of Interest. (2020). Martínez García, Enrique ; Martinez-Garcia, Enrique. In: Globalization Institute Working Papers. RePEc:fip:feddgw:88968.

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2021The Term Structure of Expectations. (2021). Moench, Emanuel ; Eusepi, Stefano ; Crump, Richard ; Preston, Bruce. In: Staff Reports. RePEc:fip:fednsr:93341.

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2021Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-O?s. (2021). Shin, Minchul ; Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Arias, Jonas E. In: Working Papers. RePEc:fip:fedpwp:91527.

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2021Refining Set-Identification in VARs through Independence. (2021). Drautzburg, Thorsten ; Wright, Jonathan H. In: Working Papers. RePEc:fip:fedpwp:93062.

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2021Optimal federal transfers during uncoordinated response to a pandemic. (2021). Rothert, Jacek. In: GRAPE Working Papers. RePEc:fme:wpaper:58.

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2021Sustainable Banking, Market Power, and Efficiency: Effects on Banks’ Profitability and Risk. (2021). Saiz, Maria Cantero ; Olmo, Begoa Torre ; Torreolmo, Begoa ; Azofra, Sergio Sanfilippo ; Sanfilippoazofra, Sergio ; Canterosaiz, Maria. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1298-:d:487492.

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2022Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets.. (2022). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: IREA Working Papers. RePEc:ira:wpaper:202217.

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2021Refining Set-Identification in VARs through Independence. (2021). Wright, Jonathan ; Drautzburg, Thorsten. In: Economics Working Paper Archive. RePEc:jhu:papers:64575.

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2022Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach. (2022). Ye, Wuyi ; Jiao, Shoukun. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10125-6.

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2022A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models. (2022). Juneja, Januj Amar. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:1:d:10.1007_s10614-021-10146-1.

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2021Asset bubbles, financial sector, and current challenges to regulatory framework. (2021). Tsomaia, Akaki. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:18:y:2021:i:4:d:10.1007_s10368-021-00508-3.

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2021Natural real rates of interest across Euro area countries: Are R-stars getting closer together?. (2021). Kaminskas, Rokas ; Jurkas, Linas ; Reichenbachas, Tomas. In: Bank of Lithuania Discussion Paper Series. RePEc:lie:dpaper:24.

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2021Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-Offs. (2021). Shin, Minchul ; Fernandez-Villaverde, Jesus ; Ramirez, Juan Rubio ; Arias, Jonas E. In: NBER Working Papers. RePEc:nbr:nberwo:28617.

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2021Direct and Spillover Effects from Staggered Adoption of Health Policies: Evidence from COVID-19 Stay-at-Home Orders. (2021). Simeonova, Emilia ; Rebucci, Alessandro ; Quintero, Luis ; Elenev, Vadim. In: NBER Working Papers. RePEc:nbr:nberwo:29088.

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2021How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?. (2021). Juneja, Januj Amar. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:1:d:10.1007_s10287-020-00380-7.

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2022Moment tests of independent components. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:13:y:2022:i:1:d:10.1007_s13209-021-00247-3.

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2022Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach. (2022). Herwartz, Helmut. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:31:y:2022:i:1:d:10.1007_s10260-021-00564-8.

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2022Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220075.

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2022Robust Inference for Non-Gaussian SVAR models. (2022). Rott, Christina ; Huber, Stefanie ; Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220080.

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2021Robust non-Gaussian inference for linear simultaneous equations models. (2021). Mesters, Geert ; Lee, Adam. In: Economics Working Papers. RePEc:upf:upfgen:1792.

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2022Robust inference for non-Gaussian SVAR models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Economics Working Papers. RePEc:upf:upfgen:1847.

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2021The role of time?varying risk premia in international interbank markets. (2021). Karouzakis, Nikolaos. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5720-5745.

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2022Effects of the bank levy introduction on the interbank market. (2022). Puawska, Karolina. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:844-864.

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2021Is euro area lowflation here to stay? Insights from a time?varying parameter model with survey data. (2021). Wauters, Joris ; Stevens, Arnoud. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:566-586.

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2022Sovereign Risk and the Bank Lending Channel: Differences across Countries and the Effects of the Financial Crisis. (2022). Olmo, Begoa Torre ; Torreolmo, Begoa ; Azofra, Sergio Sanfilippo ; Sanfilippoazofra, Sergio ; Canterosaiz, Maria. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:1:p:285-312.

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2021Dynamics and synchronization of global equilibrium interest rates. (2021). Milivojevic, Lazar ; Beyer, Robert . In: IMFS Working Paper Series. RePEc:zbw:imfswp:146.

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Works by Jean-Paul Renne:

YearTitleTypeCited
2020Preventing COVID-19 Fatalities: State versus Federal Policies In: Papers.
[Full Text][Citation analysis]		paper7
2004A Time-Varying Natural Rate for the Euro Area In: Working papers.
[Full Text][Citation analysis]		paper11
2004Règle de Taylor et politique monétaire dans la zone euro In: Working papers.
[Full Text][Citation analysis]		paper7
2007Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy? In: Working papers.
[Full Text][Citation analysis]		paper2
2009Frequency-domain analysis of debt service in a macro-finance model for the euro area. In: Working papers.
[Full Text][Citation analysis]		paper3
2009Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation? In: Working papers.
[Full Text][Citation analysis]		paper28
2011Default, liquidity and crises: an econometric framework In: Working papers.
[Full Text][Citation analysis]		paper5
2010Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 5		paper
2013Default, Liquidity, and Crises: an Econometric Framework.(2013) In: The Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 5		article
2011Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets In: Working papers.
[Full Text][Citation analysis]		paper64
2011Credit and liquidity risks in euro area sovereign yield curves In: Working papers.
[Full Text][Citation analysis]		paper12
2011Credit and Liquidity Risks in Euro-area Sovereign Yield Curves.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 12		paper
2012A model of the euro-area yield curve with discrete policy rates. In: Working papers.
[Full Text][Citation analysis]		paper9
2017A model of the euro-area yield curve with discrete policy rates.(2017) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has another version. Agregated cites: 9		article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
[Full Text][Citation analysis]		paper19
2016Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 19		article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
[Full Text][Citation analysis]		paper9
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
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2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 9		article
2013Regime Switching and Bond Pricing. In: Working papers.
[Full Text][Citation analysis]		paper3
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2014Regime Switching and Bond Pricing.(2014) In: The Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 3		article
2014A Quadratic Kalman Filter In: Working papers.
[Full Text][Citation analysis]		paper5
2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
[Full Text][Citation analysis]		paper28
2017Staying at zero with affine processes : an application to term structure modelling.(2017) In: Rue de la Banque.
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This paper has another version. Agregated cites: 28		article
2017Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 28		article
2016National natural rates of interest and the single monetary policy in the Euro Area. In: Working papers.
[Full Text][Citation analysis]		paper37
2018National natural rates of interest and the single monetary policy in the euro area.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 37		article
2017The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty. In: Working papers.
[Full Text][Citation analysis]		paper5
2020Disastrous Defaults In: Working papers.
[Full Text][Citation analysis]		paper1
2021Disastrous Defaults*.(2021) In: Review of Finance.
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This paper has another version. Agregated cites: 1		article
2021Disastrous Defaults.(2021) In: TSE Working Papers.
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This paper has another version. Agregated cites: 1		paper
2021Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective In: Working papers.
[Full Text][Citation analysis]		paper0
2012La mesure du risque systémique. Synthèse de la conférence donnée à la Banque de France, par Robert F. Engle, prix Nobel d’économie, le 25 janvier 2012 In: Bulletin de la Banque de France.
[Full Text][Citation analysis]		article0
2012The measurement of systemic risk. Summary of a lecture given by Robert F. Engle, winner of the Nobel Prize in Economics, Banque de France, 25 January 2012 In: Quarterly selection of articles - Bulletin de la Banque de France.
[Full Text][Citation analysis]		article0
2006Caractéristiques des marchés du travail dans les pays de lOCDE In: Economie & Prévision.
[Full Text][Citation analysis]		article1
2006Caractéristiques des marchés du travail dans les pays de lOCDE.(2006) In: Économie et Prévision.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2007Quelles sont les parts cyclique et structurelle du chômage en France ? In: Economie & Prévision.
[Full Text][Citation analysis]		article0
2007Quelles sont les parts cyclique et structurelle du chômage en France ?.(2007) In: Économie et Prévision.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2008Réformes fiscales dans un modèle DSGE France en économie ouverte In: Economie & Prévision.
[Full Text][Citation analysis]		article4
2008Réformes fiscales dans un modèle DSGE France en économie ouverte.(2008) In: Économie et Prévision.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2003Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper65
2016Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers.
[Full Text][Citation analysis]		paper65
2017Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65		paper
2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 65		article
2017Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers.
[Full Text][Citation analysis]		paper4
2020Identification and Estimation in Non-Fundamental Structural VARMA Models.(2020) In: Review of Economic Studies.
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This paper has another version. Agregated cites: 4		article
2020Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers.
[Full Text][Citation analysis]		paper2
2013Regime switching in bond yield and spread dynamics In: Economics Thesis from University Paris Dauphine.
[Full Text][Citation analysis]		book0
2020Taming Debt: Can GDP-Linked Bonds Do the Trick? In: EconomiX Working Papers.
[Full Text][Citation analysis]		paper1
2022Required Capital for Long-Run Risks In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article0
2022Required Capital for Long-Run Risks.(2022) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2007A time-varying natural rate of interest for the euro area In: European Economic Review.
[Full Text][Citation analysis]		article96
2004A Time Varying Natural Rate of Interest for the Euro Area.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 96		paper
2016A tractable interest rate model with explicit monetary policy rates In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
2014Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
2017Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper28
2019Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison.(2019) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		article
2020Identification and Estimation in Nonfundamental Structural Models In: Post-Print.
[Citation analysis]		paper1
2013The Effectiveness of Monetary Policy since the Onset of the Financial Crisis In: OECD Economics Department Working Papers.
[Full Text][Citation analysis]		paper31
2014Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance.
[Full Text][Citation analysis]		article26
2022Understanding Swiss real interest rates in a financially globalized world In: Swiss Journal of Economics and Statistics.
[Full Text][Citation analysis]		article0
2014PRICING SOVEREIGN BOND RISK IN THE EMU AREA: AN EMPIRICAL INVESTIGATION: COMMENT In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article0
2014USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS: COMMENT In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article0

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