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Yvan Lengwiler and Athanasios Orphanides (2023). Journal of Money, Credit, and Banking, 56 (2-3), 489-516. Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an… Read More »Collateral Framework: Liquidity Premia and Multiple Equilibria

Yvan Lengwiler (2020). Swiss Journal of Economics and Statistics. Springer, 156(7), 1-10. The partial shutdown of the economy following the outbreak of the COVID-19 pandemic has highlighted the lack of measurements of economic activity that are available with a short lag and at high frequency. The consumption of electricity turns… Read More »Blacking Out

Yvan Lengwiler und Albana Saljihaj (2018). Swiss Journal of Economics and Statistics, Springer Verlag, 154(23), 1-12. The U.S. Tax Program for Swiss banks is a very significant part of the recent history of the Swiss financial industry. It has accelerated the transformation of the Swiss banking industry from a system… Read More »The U.S. tax program for Swiss banks: What determined the penalties?

Yvan Lengwiler und Dietmar Maringer (2015). Journal of Banking Regulation. Palgrave Macmillan, 16(1), 64-71. Bank regulation is supposed to reduce the probability of bank failure and, if a failure occurs, to contain the damage so that system-wide problems are unlikely. The current regulatory framework, known as Basel II, is based,… Read More »Regulation and contagion of banks

Morton L. Bech and Yvan Lengwiler (2012). Published in BIS Papers No 65 Threat of fiscal dominance? A BIS/OECD workshop on policy interactions between fiscal policy, monetary policy and government debt management after the financial crisis Basel, 2 December 2011, Monetary and Economic Department May 2012 We present evidence on… Read More »The financial crisis and the changing dynamics of the yield curve

Lengwiler, Yvan und Wolfstetter, Elmar (2010). Journal of Economic Dynamics and Control 34(10), 1872-1892. In many auctions, the auctioneer is an agent of the seller. This invites corruption. We analyze a model in which the auctioneer orchestrates bid rigging by inviting a bidder to either lower or raise his bid,… Read More »Auctions and corruption: An analysis of bid rigging by a corrupt auctioneer

Lengwiler, Yvan und Lenz, Carlos (2010). Journal of Econometrics 157(2), 481-491. We construct a factor model of the yield curve and specify time series processes for these factors, so that the innovations are mutually orthogonal. At the same time, the factors are such that they assume clear, intuitive interpretations. The… Read More »Intelligible factors for the yield curve

Yvan Lengwiler and Athanasios Orphanides, (2002). Scandinavian Journal of Economics 104 (2), June, 261-276. We investigate the desirability of adopting a rule in favor of discretionary monetary policy in a model exhibiting Kydland and Prescott’s dynamic inconsistency problem but no fundamental incompatibility between the policymaker’s price stability and full employment… Read More »Optimal discretion

Yvan Lengwiler (2005). American Economic Review 95 (3), June, 890-896. Heterogeneous time preference has a profound impact on the wealth distribution and therefore on equilibrium asset prices. I identify two distinct effects on interest rates: an averaging effect due to Jensen’s inequality and a general equilibrium consumption timing effect. The… Read More »Heterogeneous patience and the term structure of real interest rates

Robert Joerin and Yvan Lengwiler (2004). Swiss Journal of Economics and Statistics 140 (4), December, 521-541. Most tariff-rate quotas (TRQs) around the world are allocated in rather intransparent ways. Yet, according to the fundamental WTO principles, TRQs are supposed to be allocated in a transparent, equitable and non-discriminatory manner. We… Read More »Learning from financial markets: Auctioning tariff-rate quotas in agricultural trade

Aleksander Berentsen and Yvan Lengwiler (2004). Journal of Institutional and Theoretical Economics 160 (3), September, 402-415. From a game theoretic point of view, fraudulent accounting to embellish the financial status of a firm and the use of drugs to enhance performance in sports are very similar. We study the replicator… Read More »Fraudulent accounting and other doping games

Yvan Lengwiler (2004). Journal of Economic Education 35 (2), Spring, 175-183. The author presents a computer game that puts the player in the role of a central bank governor. The game is a stochastic simulation of a standard reduced form macro model, and the user interacts with this simulation by… Read More »A monetary policy simulation game

Daniel Heller and Yvan Lengwiler (2001). Journal of Institutional and Theoretical Economics 157 (3), September, 413-429. Ever since Friedman (1959), it has been debated whether the Treasury should sell bonds in a uniform or in a discriminatory auction. Empirical research on this topic has been confined to experiments in which… Read More »Should the Treasury price discriminate? A procedure for computing hypothetical bid functions

Daniel Heller and Yvan Lengwiler (2003). Journal of Monetary Economics 50 (2), March, 419-432. We develop a model in which a bank’s demand for reserves depends on the joint distribution of transactions, reserve requirements, and the interest rate. By devoting resources to its liquidity management, a bank can save on… Read More »Payment obligations, liquidity management, and the demand for central bank balances

Yvan Lengwiler (2001). Schweizerische Zeitschrift für Volkswirtschaft und Statistik 137 (2), June, 199-208. German: Als Ende des letzten Jahres die UMTS-Konzessionen für den Schweizer Markt für 205 Millionen Franken verkauft wurden ging ein Aufschrei durch die die Presse. Der Erlös blieb weit hinter den “mehreren Milliarden” Franken zurück, die aufgrund… Read More »Die Schweizer UMTS-Auktion

Yvan Lengwiler (2001). Geld, Währung und Konjunktur, Quarterly Bulletin of the Swiss National Bank, March, 38-53, available in English, French, and German. MoPoS is a computer game in which users can assume the role of a central bank and simulate monetary policy in a simple virtual economy. The computer program… Read More »MoPoS — A Monetary Policy Simulation Game

Yvan Lengwiler (1999). Economic Theory 14 (2), 1999, 373-392. The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply as a function of… Read More »The multiple unit auction with variable supply

Yvan Lengwiler (1998). Journal of Mathematical Economics 30 (1), 37-58. This paper deals with atomless exchange economies which do not fulfill the usual autarky assumption, meaning the endowments may lie outside the consumption set. I establish the existence of a Walras equilibrium, provided the economy is ‘heterogenous’ (in some precise… Read More »Endogenous endowments and equilibrium starvation in a Walrasian economy

Yvan Lengwiler (1997). Geld, Währung und Konjunktur, Quarterly Bulletin of the Swiss National Bank, March, 61-72. Der Monetary Conditions Index (MCI) — eine Kombination von Zinssatz und Wechselkurs — wird in Kanada seit mehreren Jahren als kurzfristige Orientierungsgrösse der Geldpolitik verwendet und findet inzwischen auch bei anderen Zentralbanken eine gewisse… Read More »Der “Monetary Conditions Index” für die Schweiz

Yvan Lengwiler (1997). Journal of Economics / Zeitschrift für Nationalökonomie 65 (2), 123-132. This note offers a game-theoretic analysis of the strategic interaction between a central bank and a counterfeiter. Counterfeit notes cause a potential loss for consumers because such notes are confiscated when detected. The central bank is assumed… Read More »A model of money counterfeits