published paper – microfoundations.org https://microfoundations.org Sun, 01 Dec 2024 07:35:50 +0000 en-US hourly 1 https://microfoundations.org/wp-content/uploads/2020/12/cropped-cover-crop-32x32.jpg published paper – microfoundations.org https://microfoundations.org 32 32 Collateral Framework: Liquidity Premia and Multiple Equilibria https://microfoundations.org/collateral-framework-liquidity-premia-and-multiple-equilibria/ Wed, 22 Mar 2023 07:00:06 +0000 https://microfoundations.org/?p=29446 Read More »Collateral Framework: Liquidity Premia and Multiple Equilibria]]> 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. It relies on external…

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]]> Blacking Out https://microfoundations.org/blacking-out/ Wed, 06 May 2020 06:00:56 +0000 https://microfoundations.org/?p=28963 Read More »Blacking Out]]> 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 proxy, if it is corrected for influences…

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]]> The U.S. tax program for Swiss banks: What determined the penalties? https://microfoundations.org/us-tax-program-for-swiss-banks/ https://microfoundations.org/us-tax-program-for-swiss-banks/#respond Mon, 17 Dec 2018 20:31:22 +0000 https://microfoundations.org/?p=28965 Read More »The U.S. tax program for Swiss banks: What determined the penalties?]]> 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 to a much more compliant one. It was also rather…

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]]> https://microfoundations.org/us-tax-program-for-swiss-banks/feed/ 0 Regulation and contagion of banks https://microfoundations.org/contagion/ https://microfoundations.org/contagion/#respond Wed, 11 Sep 2013 06:00:30 +0000 https://microfoundations.org/?p=28970 Read More »Regulation and contagion of banks]]> 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 capital requirements.

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]]> https://microfoundations.org/contagion/feed/ 0 The financial crisis and the changing dynamics of the yield curve https://microfoundations.org/dynamics-of-yield-curve/ https://microfoundations.org/dynamics-of-yield-curve/#respond Fri, 01 Jun 2012 06:00:53 +0000 https://microfoundations.org/?p=28974 Read More »The financial crisis and the changing dynamics of the yield curve]]> 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 yield curve from 1998 to 2011.

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]]> https://microfoundations.org/dynamics-of-yield-curve/feed/ 0 Auctions and corruption: An analysis of bid rigging by a corrupt auctioneer https://microfoundations.org/corrupt-auctioneer/ https://microfoundations.org/corrupt-auctioneer/#respond Sat, 27 Feb 2010 21:02:29 +0000 https://microfoundations.org/?p=28986 Read More »Auctions and corruption: An analysis of bid rigging by a corrupt auctioneer]]> 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 interplay between these two types of…

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]]> https://microfoundations.org/corrupt-auctioneer/feed/ 0 Intelligible factors for the yield curve https://microfoundations.org/intelligible-factors/ https://microfoundations.org/intelligible-factors/#respond Mon, 08 Jun 2009 06:00:11 +0000 https://microfoundations.org/?p=28988 Read More »Intelligible factors for the yield curve]]> 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 useful for investment…

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]]> https://microfoundations.org/intelligible-factors/feed/ 0 Optimal discretion https://microfoundations.org/optimal-discretion/ https://microfoundations.org/optimal-discretion/#respond Sat, 28 Jun 2008 21:23:20 +0000 https://microfoundations.org/?p=29018 Read More »Optimal discretion]]> 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 objectives.

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]]> https://microfoundations.org/optimal-discretion/feed/ 0 Heterogeneous patience and the term structure of real interest rates https://microfoundations.org/heterogeneous-patience/ https://microfoundations.org/heterogeneous-patience/#respond Mon, 04 Apr 2005 06:00:02 +0000 https://microfoundations.org/?p=29007 Read More »Heterogeneous patience and the term structure of real interest rates]]> 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 averaging effect decreases and the timing…

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]]> https://microfoundations.org/heterogeneous-patience/feed/ 0 Learning from financial markets: Auctioning tariff-rate quotas in agricultural trade https://microfoundations.org/auctioning-tariff-rate-quotas/ https://microfoundations.org/auctioning-tariff-rate-quotas/#respond Fri, 01 Oct 2004 06:00:45 +0000 https://microfoundations.org/?p=29009 Read More »Learning from financial markets: Auctioning tariff-rate quotas in agricultural trade]]> 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 argue that auctions offer a promising way to…

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