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Jean-Paul Renne : Citation Profile


Are you Jean-Paul Renne?

Université de Lausanne

9

H index

7

i10 index

293

Citations

RESEARCH PRODUCTION:

21

Articles

24

Papers

1

Books

RESEARCH ACTIVITY:

   14 years (2003 - 2017). See details.
   Cites by year: 20
   Journals where Jean-Paul Renne has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 8 (2.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pre174
   Updated: 2018-02-24    RAS profile: 2017-11-06    
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Relations with other researchers


Works with:

Monfort, Alain (16)

gourieroux, christian (8)

Roussellet, Guillaume (5)

Mouabbi, Sarah (2)

Dubecq, Simon (2)

Pegoraro, Fulvio (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:

Mojon, Benoit (7)

Klose, Jens (7)

Kose, Ayhan (6)

Canofari, Paolo (6)

Piersanti, Giovanni (6)

Belke, Ansgar (6)

Otrok, Christopher (5)

Dees, Stephane (5)

Di Bartolomeo, Giovanni (5)

Prasad, Eswar (5)

Beetsma, Roel (4)

Cites to:

Rudebusch, Glenn (26)

Monfort, Alain (22)

Williams, John (19)

Piazzesi, Monika (16)

Orphanides, Athanasios (16)

Pegoraro, Fulvio (16)

Svensson, Lars (15)

Ang, Andrew (11)

Hamilton, James (9)

Singleton, Kenneth (9)

Forni, Mario (8)

Main data


Where Jean-Paul Renne has published?


Journals with more than one article published# docs
conomie et Prvision3
Economie & Prvision3
Journal of Econometrics3
Journal of Financial Econometrics2
Journal of Banking & Finance2
International Journal of Finance & Economics2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics5

Recent works citing Jean-Paul Renne (2018 and 2017)


YearTitle of citing document
2017A Counterfactual Valuation of the Stock Index as a Predictor of Crashes. (2017). Roberts, Tom. In: Staff Working Papers. RePEc:bca:bocawp:17-38.

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2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric . In: Staff Working Papers. RePEc:bca:bocawp:17-55.

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2017The natural interest rate: concept, determinants and implications for monetary policy. (2017). Galesi, Alessandro ; Thomas, Carlos ; Nuo, Galo . In: Economic Bulletin. RePEc:bde:journl:y:2017:i:1:d:aa:n:7.

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2017The natural interest rate: concept, determinants and implications for monetary policy. (2017). Thomas, Carlos ; Nuño Barrau, Galo ; Galesi, Alessandro ; Nuo, Galo . In: Economic Bulletin. RePEc:bde:journl:y:2017:i:3:d:aa:n:7.

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2017Natural rates across the Atlantic. (2017). Neri, Stefano ; Gerali, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1140_17.

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2017Why Have Interest Rates Fallen far Below the Return on Capital. (2017). Velde, Francois ; Mojon, Benoit ; Marx, M. In: Working papers. RePEc:bfr:banfra:630.

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2017An analytical framework to calibrate macroprudential policy. (2017). Bennani, T ; Scalone, V ; Piquard, T ; Lopez, P ; Idier, J ; Gabrieli, S ; Devulder, A ; Couaillier, C. In: Working papers. RePEc:bfr:banfra:648.

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2017Unconventional Monetary Policy and Bank Lending Relationships. (2017). Cahn, Christophe ; Mullins, W ; Duquerroy, A. In: Working papers. RePEc:bfr:banfra:659.

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2017Staying at zero with affine processes : an application to term structure modelling. (2017). Monfort, Alain ; Roussellet, Guillaume ; Renne, Jean-Paul ; Pegoraro, Fulvio. In: Rue de la Banque. RePEc:bfr:rueban:2017:52.

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2017Unsustainable Public Debt in a European Fiscal Union?. (2017). Kutasi, Gabor . In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:015435.

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2017Instability, imprecision and inconsistent use of equilibrium real interest rate estimates. (2017). Wieland, Volker ; Beyer, Robert. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11927.

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2017Bid-to-cover and yield changes around public debt auctions in the euro area. (2017). Beetsma, Roel ; Hanson, Jesper ; Giuliodori, Massimo ; de Jong, Frank . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11932.

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2017Consistent Pseudo-Maximum Likelihood Estimators. (2017). Gourieroux, Christian ; Renault, Eric ; Monfort, Alain. In: Working Papers. RePEc:crs:wpaper:2017-10.

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2017Low inflation in the euro area: Causes and consequences. (2017). Osbat, Chiara ; Alvarez, Luis ; Ciccarelli, Matteo . In: Occasional Paper Series. RePEc:ecb:ecbops:2017181.

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2017Interactions between fiscal multipliers and sovereign risk premium during fiscal consolidation: model based assessment for the euro area. (2017). Lalik, Magdalena . In: Working Paper Series. RePEc:ecb:ecbwps:20172016.

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2017Bid-to-cover and yield changes around public debt auctions in the euro area. (2017). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Working Paper Series. RePEc:ecb:ecbwps:20172056.

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2017Scenario generation for long run interest rate risk assessment. (2017). Siriwardane, Emil ; Engle, Robert ; Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2017Staying at zero with affine processes: An application to term structure modelling. (2017). Monfort, Alain ; Roussellet, Guillaume ; Pegoraro, Fulvio ; Renne, Jean-Paul. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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2017Measuring the natural rate of interest: International trends and determinants. (2017). Holston, Kathryn ; Williams, John C ; Laubach, Thomas . In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:s1:p:s59-s75.

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2017Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme. (2017). Beetsma, Roel ; Widijanto, Daniel ; Giuliodori, Massimo ; de Jong, Frank . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:14-31.

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2017The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1702.

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2017How Low Can House Prices Go? Estimating a Conservative Lower Bound. (2017). Doerner, William ; Bogin, Alexander N ; Bruestle, Stephen D. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:54:y:2017:i:1:d:10.1007_s11146-015-9538-8.

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2017Unconventional Monetary Policy: Interest Rates and Low Inflation. A Review of Literature and Methods. (2017). Comunale, Mariarosaria ; Striaukas, Jonas . In: Bank of Lithuania Occasional Paper Series. RePEc:lie:opaper:13.

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2017Understanding Monetary Policy Stance. (2017). Stasiukynaite, Rasa . In: Bank of Lithuania Occasional Paper Series. RePEc:lie:opaper:14.

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2017The cyclical and structural determinants of the low interest rate environment. (2017). Wauters, Joris ; de Backer, B. In: Economic Review. RePEc:nbb:ecrart:y:2017:m:september:i:ii:p:69-86.

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2017Strengthening economic resilience: Insights from the post-1970 record of severe recessions and financial crises. (2017). Röhn, Oliver ; Gori, Filippo ; de Serres, Alain ; Rohn, Oliver ; Hermansen, Mikkel ; DESERRES, Alain ; Sanchez, Aida Caldera. In: OECD Economic Policy Papers. RePEc:oec:ecoaab:20-en.

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2017Why Are Real Interest Rates So Low?. (2017). Velde, Francois ; Mojon, Benoit ; Marx, Magali . In: 2017 Meeting Papers. RePEc:red:sed017:1292.

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2017Unconventional monetary policy: interest rates and low inflation. A review of literature and methods. (2017). Comunale, Mariarosaria ; Striaukas, Jonas . In: CEIS Research Paper. RePEc:rtv:ceisrp:406.

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2017Analysing the Relevance of the MIP Scoreboards Indicators. (2017). Širaňová, Mária ; Tom, Domonkos ; Mria, Iraov ; Ivana, Ikulov ; Filip, Ostriho . In: National Institute Economic Review. RePEc:sae:niesru:v:239:y:2017:i:1:p:r32-r52.

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2017The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/3l2vounfl99nvqsr0k24sn3k5l.

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2017The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia. In: LEM Papers Series. RePEc:ssa:lemwps:2017/04.

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2017Instability, imprecision and inconsistent use of equilibrium real interest rate estimates. (2017). Wieland, Volker ; Beyer, Robert. In: IMFS Working Paper Series. RePEc:zbw:imfswp:110.

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2017Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2017). Podstawski, Maximilian ; Steffen, Christoph Grosse. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168101.

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2017The Effect of Recessions on Potential Output Estimates: Size, Timing, and Determinants. (2017). Dovern, Jonas ; Zuber, Christopher . In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168180.

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Works by Jean-Paul Renne:


YearTitleTypeCited
2004A Time-Varying Natural Rate for the Euro Area In: Working papers.
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paper1
2004Règle de Taylor et politique monétaire dans la zone euro In: Working papers.
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paper7
2007Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy? In: Working papers.
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paper2
2009Frequency-domain analysis of debt service in a macro-finance model for the euro area. In: Working papers.
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paper2
2009Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation? In: Working papers.
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paper20
2011Default, liquidity and crises: an econometric framework In: Working papers.
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paper3
2010Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2013Default, Liquidity, and Crises: an Econometric Framework.(2013) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 3
article
2011Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets In: Working papers.
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paper57
2011Credit and liquidity risks in euro area sovereign yield curves In: Working papers.
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paper9
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: 9
paper
2012A model of the euro-area yield curve with discrete policy rates. In: Working papers.
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paper4
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: 4
article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
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paper8
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: 8
article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
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paper3
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
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paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 3
article
2013Regime Switching and Bond Pricing. In: Working papers.
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paper3
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
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article
2014A Quadratic Kalman Filter In: Working papers.
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paper1
2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 1
article
2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
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paper10
2016National natural rates of interest and the single monetary policy in the Euro Area. In: Working papers.
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paper7
2017The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty. In: Working papers.
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paper1
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.
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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.
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article0
2006Caractéristiques des marchés du travail dans les pays de lOCDE In: Economie & Prévision.
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article1
2006Caractéristiques des marchés du travail dans les pays de lOCDE.(2006) In: Économie et Prévision.
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This paper has another version. Agregated cites: 1
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2007Quelles sont les parts cyclique et structurelle du chômage en France ? In: Economie & Prévision.
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2007Quelles sont les parts cyclique et structurelle du chômage en France ?.(2007) In: Économie et Prévision.
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2008Réformes fiscales dans un modèle DSGE France en économie ouverte In: Economie & Prévision.
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article3
2008Réformes fiscales dans un modèle DSGE France en économie ouverte.(2008) In: Économie et Prévision.
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article
2003Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers.
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paper47
2016Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers.
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paper4
2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
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article
2013Regime switching in bond yield and spread dynamics In: Economics Thesis from University Paris Dauphine.
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2007A time-varying natural rate of interest for the euro area In: European Economic Review.
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article64
2004A Time Varying Natural Rate of Interest for the Euro Area.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004.
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2016A tractable interest rate model with explicit monetary policy rates In: European Journal of Operational Research.
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article1
2014Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles? In: Journal of Banking & Finance.
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article11
2013The Effectiveness of Monetary Policy since the Onset of the Financial Crisis In: OECD Economics Department Working Papers.
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paper15
2014Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance.
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article9
2014PRICING SOVEREIGN BOND RISK IN THE EMU AREA: AN EMPIRICAL INVESTIGATION: COMMENT In: International Journal of Finance & Economics.
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article0
2014USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS: COMMENT In: International Journal of Finance & Economics.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 12 2018. Contact: CitEc Team