academic – microfoundations.org

Collateral Framework: Liquidity Premia and Multiple Equilibria

ylemaster — Wed, 22 Mar 2023 07:00:06 +0000

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 interesting exception in this respect.… Read More »

Climate Protection versus Economic Convergence?

ylemaster — Sat, 04 Dec 2021 11:00:06 +0000

Yvan Lengwiler (2021). WWZ Working Paper No. 2021-12. Global economic convergence and protection of the climate are both worthwhile goals. Yet, there is an inherent tension between them. Greenhouse gases are a waste product that is often emitted in the production process. Limiting such emissions therefore hampers the accumulation of income and capital. I expand… Read More »

Blacking Out

ylemaster — Wed, 06 May 2020 06:00:56 +0000

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 out to be a valuable… Read More »

The U.S. tax program for Swiss banks: What determined the penalties?

ylemaster — Mon, 17 Dec 2018 20:31:22 +0000

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 that relied on bank secrecy… Read More »

Credit from the monopoly bank

ylemaster — Wed, 02 Aug 2017 06:00:57 +0000

Yvan Lengwiler and Kumar Rishabh (2017). WWZ Working Paper No. 2017/15. We establish that a monopoly bank never uses collateral as a screening device. A pooling equilibrium always exists in which all borrowers pay the same interest rate and put zero collateral. Absence of screening leads to socially inefficient lending in the sense that some… Read More »

Wozu 1000er Noten?

ylemaster — Sun, 11 Sep 2016 06:00:42 +0000

Contribution to Monetary Economic Issues Today — Festschrift für Ernst Baltensperger, Juni 2017.

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Regulation and contagion of banks

ylemaster — Wed, 11 Sep 2013 06:00:30 +0000

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, among other things, on risk-adjusted… Read More »

The financial crisis and the changing dynamics of the yield curve

ylemaster — Fri, 01 Jun 2012 06:00:53 +0000

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 the changing dynamics of the… Read More »

Auctions and corruption: An analysis of bid rigging by a corrupt auctioneer

ylemaster — Sat, 27 Feb 2010 21:02:29 +0000

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, whichever is more profitable. The… Read More »

Intelligible factors for the yield curve

ylemaster — Mon, 08 Jun 2009 06:00:11 +0000

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 resulting “intelligible factors” should prove… Read More »