Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion.
Alain MONFORT, Fulvio PEGORARO, Jean paul RENNE, Guillaume ROUSSELLET
Management Science | 2021
No summary available.
Monetary policy, the term structure of interest rates and the macroeconomy.
Etienne VACCARO GRANGE, Celine POILLY, Florian PELGRIN, Christelle LECOURT, Frank SMETS, Jean paul RENNE, Jean IMBS
2020
This thesis aims to provide a better understanding of the role of interest rates as a monetary policy instrument available to central banks to influence the economy. The first chapter of this thesis proposes an analysis of the transmission channel of the risk premium of the bonds of the European Central Bank's sovereign debt purchase program, focusing on aggregate macroeconomic variables. The second chapter examines the low-growth, low-inflation environment in Japan since the 1990s, via the yield curve spread. This chapter extends the concept of natural (short) interest rate to that of intermediate and long maturities, and indicates that the different monetary policy regimes of the Japanese central bank have not had a homogeneous impact on the yield curve spread and on the Japanese economy. Finally, the third chapter shows that the US Phillips curve - the structural relationship between inflation and a measure of real economic activity - is not dead, contrary to common thinking. This chapter shows that the slope of the Phillips curve is not flat, once it is filtered for supply shocks, not just cost shocks. The chapter also finds evidence that the apparent flattening of the curve can be attributed to the fact that the Federal Reserve is now targeting inflation more aggressively than in the past.
Disastrous Defaults.
Christian GOURIEROUX, Alain MONFORT, Sarah MOUABBI, Jean paul RENNE
SSRN Electronic Journal | 2020
No summary available.
Disastrous Defaults.
Christian GOURIEROUX, Alain MONFORT, Sarah MOUABBI, Jean paul RENNE
SSRN Electronic Journal | 2019
No summary available.
Statistical inference for independent component analysis: Application to structural VAR models.
Christian GOURIEROUX, Alain MONFORT, Jean paul RENNE
Journal of Econometrics | 2017
No summary available.
Credit and liquidity in interbank rates: A quadratic approach.
Simon DUBECQ, Alain MONFORT, Jean paul RENNE, Guillaume ROUSSELLET
Journal of Banking & Finance | 2016
A bank that lends on the unsecured market requires compensations for facing the default risk of the borrowing bank (credit risk) and the risk associated to its own future funding needs (liquidity risk). In this paper, we propose a quadratic term-structure model of the spreads between unsecured and risk free interbank rates. Our no-arbitrage econometric framework allows us to decompose the term structure of spreads into credit and liquidity components and to identify risk premia associated with each of these two risks. Our results suggest that, over the period 2012-2013, most of the reduction in interbank spreads comes from a decrease in liquidity-related risk components.
National Natural Rates of Interest and the Single Monetary Policy in the Euro Area.
Ssbastien FRIES, Jean sttphane MMSONNIER, Sarah MOUABBI, Jean paul RENNE
SSRN Electronic Journal | 2016
No summary available.
The Joint Dynamics of U.S. and Euro-Area Inflation Expectations with Time-Varying Uncertainty.
Olesya v. GRISHCHENKO, Sarah MOUABBI, Jean paul RENNE
SSRN Electronic Journal | 2016
No summary available.
A Quadratic Kalman Filter.
Alain MONFORT, Jean paul RENNE, Guillaume ROUSSELLET
Journal of Econometrics | 2015
No summary available.
Regime switching in bond yield and spread dynamics.
Jean paul RENNE
2013
This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area sovereign yield curves over the period 1999-2012 (Chapter 3). In this model, a crisis regime is key to account for the increase in spread volatility during the financial crisis. Also, this study shows that market liquidity is an important determinant of bond prices. The model is then completed in order to explore potential causality relationships between two kinds of stresses: liquidity- and credit-related stresses (Chapter 4). Finally, the influence of monetary policy on the yield curve is investigated by means of a term structure model where an innovative use of regime-switching techniques makes it possible to capture salient features of the dynamics of monetary-policy rates (chapter 5).
