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Publications

by members of

Universität Basel → Wirtschaftswissenschaftliches Zentrum → Abteilung Finanzmarkttheorie

University of Basel → Faculty of Business and Economics → Department of Finance

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters | Software components |

Working papers

2022

  1. Markus Hertrich & Daniel Nathan, 2022, "Foreign Exchange Interventions and their Impact on Expectations: Evidence from the USD/ILS Options Market," Bank of Israel Working Papers, Bank of Israel, number 2022.10, Jun.

2021

  1. Lengwiler, Yvan & Orphanides, Athanasios, 2021, "Collateral Framework: Liquidity Premia and Multiple Equilibria," Working papers, Faculty of Business and Economics - University of Basel, number 2021/06.
  2. Lengwiler, Yvan, 2021, "Climate Protection versus Economic Convergence?," Working papers, Faculty of Business and Economics - University of Basel, number 2021/12.

2020

  1. Hertrich, Markus, 2020, "Foreign exchange interventions under a one-sided target zone regime and the Swiss franc," Discussion Papers, Deutsche Bundesbank, number 21/2020.
  2. Lengwiler, Yvan, 2020, "Blacking out," Working papers, Faculty of Business and Economics - University of Basel, number 2020/07.

2019

  1. Hertrich, Markus, 2019, "A novel housing price misalignment indicator for Germany," Discussion Papers, Deutsche Bundesbank, number 31/2019.

2018

  1. Lengwiler, Yvan & Saljihaj, Albana, 2018, "The U.S. Tax Program for Swiss Banks: What Determined the Penalties?," Working papers, Faculty of Business and Economics - University of Basel, number 2018/20.

2017

  1. Lengwiler, Yvan & Rishabh, Kumar, 2017, "Credit from the Monopoly Bank," Working papers, Faculty of Business and Economics - University of Basel, number 2017/15.

2015

  1. Hertrich, Markus & Zimmermann, Heinz, 2015, "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Working papers, Faculty of Business and Economics - University of Basel, number 2015/09.
  2. Hertrich, Markus, 2015, "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper, University Library of Munich, Germany, number 67837, Sep.
  3. Hertrich, Markus, 2015, "A Note on Credit Spread Forwards," MPRA Paper, University Library of Munich, Germany, number 67838.
  4. Hertrich, Markus, 2015, "The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone," MPRA Paper, University Library of Munich, Germany, number 67839.

2012

  1. Bech, Morten L. & Lengwiler, Yvan, 2012, "The Financial Crisis and the Changing Dynamics of the Yield Curve," Working papers, Faculty of Business and Economics - University of Basel, number 2012/06.
  2. Vanini, Paolo, 2012, "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper, University Library of Munich, Germany, number 42536, Nov.

2011

  1. Lengwiler, Yvan & Maringer, Dietmar, 2011, "Autonomously Interacting Banks," Working papers, Faculty of Business and Economics - University of Basel, number 2011/07.

2009

  1. Miret PADOVANI & Paolo VANINI, 2009, "An Intergenerational Cross-Country Swap," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-17, May.

2008

  1. Yvan Lengwiler & Carlos Lenz, 2008, "Intelligible Factors for the Yield Curve," Working Papers, Swiss National Bank, number 2008-02.

2006

  1. Lengwiler, Yvan & Wolfstetter, Elmar G., 2006, "Corruption in Procurement Auctions," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 90, Jan.
  2. Andras Niedermayer & Daniel Niedermayer, 2006, "Applying Markowitz's Critical Line Algorithm," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0602, Mar.
  3. Tyran, Jean-Robert & Vanin, Paolo & Strulik, Holger, 2006, "Staying on the Dole," CEPR Discussion Papers, Centre for Economic Policy Research, number 5967, Nov.

2005

  1. Yvan Lengwiler & Elmar G. Wolfstetter, 2005, "Bid Rigging – An Analysis of Corruption in Auctions," CESifo Working Paper Series, CESifo, number 1488.
  2. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005, "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen, number 2005-03, Jan.

2002

  1. Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI, 2002, "A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp48, Apr.

2000

  1. Yvan Lengwiler & Elmar G. Wolfstetter, 2000, "Auctions and Corruption," CESifo Working Paper Series, CESifo, number 401.

1999

  1. Yvan Lengwiler & Athanasios Orphanides, 1999, "Optimal discretion," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 1999-42.

1998

  1. Hans Haller & Yvan Lengwiler, 1998, "A discrete model of discriminatory price auctions - an alternative to Menezes-Monteiro," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 1998-08.
  2. Daniel Heller & Yvan Lengwiler, 1998, "The auctions of Swiss government bonds: should the Treasury price discriminate or not?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 1998-11.
  3. Yvan Lengwiler, 1998, "The multiple unit auction with variable supply," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 1998-28.
  4. Yvan Lengwiler, 1998, "Certainty equivalence and the non-vertical long run Phillips-curve," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 1998-36.

Undated

  1. Aleksander Berentsen & Yvan Lengwiler, undated, "Fraudulent Accounting and Other Doping Games," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 175.

Journal articles

2022

  1. Markus Hertrich, 2022, "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, volume 30, issue 2, pages 450-489, May, DOI: 10.1111/roie.12571.

2020

  1. Yvan Lengwiler, 2020, "Blacking out," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, volume 156, issue 1, pages 1-10, December, DOI: 10.1186/s41937-020-00052-y.

2019

  1. Markus Hertrich, 2019, "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, Verein für Socialpolitik, volume 20, issue 4, pages 759-794, November, DOI: 10.1111/geer.12185.

2018

  1. Yvan Lengwiler & Albana Saljihaj, 2018, "The U.S. Tax Program for Swiss banks: what determined the penalties?," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, volume 154, issue 1, pages 1-12, December, DOI: 10.1186/s41937-018-0024-0.

2017

  1. Markus Hertrich & Heinz Zimmermann, 2017, "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, volume 49, issue 2-3, pages 567-578, March, DOI: 10.1111/jmcb.12390.

2016

  1. Markus Hertrich, 2016, "The distribution of exchange rates under a minimum exchange rate regime," Journal of Applied Economics, Universidad del CEMA, volume 19, pages 351-362, November.
  2. Hertrich Markus, 2016, "The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone," Review of Economics, De Gruyter, volume 67, issue 1, pages 91-120, May, DOI: 10.1515/roe-2015-1006.
  3. Markus HERTRICH, 2016, "A Note on Credit Spread Forwards," Journal of Advanced Studies in Finance, ASERS Publishing, volume 7, issue 1, pages 77-81.

2015

  1. Markus Hertrich, 2015, "A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 151, issue 3, pages 227-260, September.
  2. Yvan Lengwiler & Dietmar Maringer, 2015, "Regulation and contagion of banks," Journal of Banking Regulation, Palgrave Macmillan, volume 16, issue 1, pages 64-71, January.

2013

  1. Markus Hertrich & Dirk Veestraeten, 2013, "Valuing Stock Options When Prices are Subject to a Lower Boundary: A Correction," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 33, issue 9, pages 889-890, September.

2011

  1. Juerg Syz & Paolo Vanini, 2011, "Arbitrage Free Price Bounds for Property Derivatives," The Journal of Real Estate Finance and Economics, Springer, volume 43, issue 3, pages 281-298, October, DOI: 10.1007/s11146-009-9225-8.

2010

  1. Lengwiler, Yvan & Wolfstetter, Elmar, 2010, "Auctions and corruption: An analysis of bid rigging by a corrupt auctioneer," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 10, pages 1872-1892, October.
  2. Lengwiler, Yvan & Lenz, Carlos, 2010, "Intelligible factors for the yield curve," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 481-491, August.
  3. Yvan Lengwiler & Jean-Marc Natal, 2010, "Discussion: Measuring the Natural Output Level by DSGE Models: An Empirical Investigation for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 146, issue 1, pages 301-311, March.
  4. Döbeli, Barbara & Vanini, Paolo, 2010, "Stated and revealed investment decisions concerning retail structured products," Journal of Banking & Finance, Elsevier, volume 34, issue 6, pages 1400-1411, June.

2008

  1. Juerg Syz & Paolo Vanini & Marco Salvi, 2008, "Property Derivatives and Index-Linked Mortgages," The Journal of Real Estate Finance and Economics, Springer, volume 36, issue 1, pages 23-35, January, DOI: 10.1007/s11146-007-9071-5.
  2. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008, "Learning and Asset Prices Under Ambiguous Information," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 6, pages 2565-2597, November.

2007

  1. Ebnother, Silvan & Vanini, Paolo, 2007, "Credit portfolios: What defines risk horizons and risk measurement?," Journal of Banking & Finance, Elsevier, volume 31, issue 12, pages 3663-3679, December.
  2. Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007, "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, volume 31, issue 8, pages 2475-2492, August.

2006

  1. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006, "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 8, pages 1277-1313, August.
  2. Leippold, Markus & Vanini, Paolo & Ebnoether, Silvan, 2006, "Optimal credit limit management under different information regimes," Journal of Banking & Finance, Elsevier, volume 30, issue 2, pages 463-487, February.

2005

  1. Yvan Lengwiler, 2005, "Heterogeneous Patience and the Term Structure of Real Interest Rates," American Economic Review, American Economic Association, volume 95, issue 3, pages 890-896, June.

2004

  1. Aleksander Berentsen & Yvan Lengwiler, 2004, "Fraudulent Accounting and Other Doping Games," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, volume 160, issue 3, pages 402-415, September.
  2. Robert Jörin & Yvan Lengwiler, 2004, "Learning from Financial Markets: Auctioning Tariff-Rate Quotas in Agricultural Trade," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue 4, pages 521-541, December.
  3. Yvan Lengwiler, 2004, "A Monetary Policy Simulation Game," The Journal of Economic Education, Taylor & Francis Journals, volume 35, issue 2, pages 175-183, April, DOI: 10.3200/JECE.35.2.175-183.
  4. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004, "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 6, pages 1079-1113, March.
  5. Dobeli, Barbara & Vanini, Paolo, 2004, "An analysis of IMF-induced moral hazard," Journal of Banking & Finance, Elsevier, volume 28, issue 12, pages 2933-2956, December.
  6. Fabio Trojani & Paolo Vanini, 2004, "Robustness and Ambiguity Aversion in General Equilibrium," Review of Finance, Springer, volume 8, issue 2, pages 279-324.

2003

  1. Heller, Daniel & Lengwiler, Yvan, 2003, "Payment obligations, reserve requirements, and the demand for central bank balances," Journal of Monetary Economics, Elsevier, volume 50, issue 2, pages 419-432, March.
  2. Norman Brown & Paolo Vanini, 2003, "On Habits and Addictions," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, volume 159, issue 4, pages 603-626, December.

2002

  1. Yvan Lengwiler & Athanasios Orphanides, 2002, "Optimal Discretion," Scandinavian Journal of Economics, Wiley Blackwell, volume 104, issue 2, pages 261-276, June, DOI: 10.1111/1467-9442.00285.
  2. Fabio Trojani & Paolo Vanini & Luigi Vignola, 2002, "A Note on the Three–Portfolios Matching Problem," European Financial Management, European Financial Management Association, volume 8, issue 4, pages 515-527, December, DOI: 10.1111/1468-036X.00202.
  3. Trojani, Fabio & Vanini, Paolo, 2002, "A note on robustness in Merton's model of intertemporal consumption and portfolio choice," Journal of Economic Dynamics and Control, Elsevier, volume 26, issue 3, pages 423-435, March.
  4. Paolo Vanini & Luigi Vignola, 2002, "Optimal Decision-Making with Time Diversification," Review of Finance, European Finance Association, volume 6, issue 1, pages 1-30.

2001

  1. Daniel Heller & Yvan Lengwiler, 2001, "Should the Treasury Price Discriminate?. A Procedure for Computing Hypothetical Bid Functions," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, volume 157, issue 3, pages 413-429, September.
  2. Yvan Lengwiler, 2001, "Die Schweizer UMTS-Auktion," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 137, issue 2, pages 199-208, June.

1999

  1. Yvan Lengwiler, 1999, "The multiple unit auction with variable supply," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 14, issue 2, pages 373-392.

1998

  1. Lengwiler, Yvan, 1998, "Endogenous endowments and equilibrium starvation in a Walrasian economy," Journal of Mathematical Economics, Elsevier, volume 30, issue 1, pages 37-58, August.

1997

  1. Yvan Lengwiler, 1997, "A model of money counterfeits," Journal of Economics, Springer, volume 65, issue 2, pages 123-132, June, DOI: 10.1007/BF01226930.

Chapters

2012

  1. Morten L Bech & Yvan Lengwiler, 2012, "The financial crisis and the changing dynamics of the yield curve," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Threat of fiscal dominance?".

2009

  1. Yvan Lengwiler, 2009, "The Origins of Expected Utility Theory," Springer Books, Springer, chapter 20, in: Wolfgang Hafner & Heinz Zimmermann, "Vinzenz Bronzin’s Option Pricing Models", DOI: 10.1007/978-3-540-85711-2_26.

Software components

2003

  1. Yvan Lengwiler, 2003, "HPEXCEL: Excel module for computation of Hodrick-Prescott filtered time series," Statistical Software Components, Boston College Department of Economics, number X0305031, revised .
  2. Yvan Lengwiler, 2003, "MOPOS: Excel module implementing monetary policy simulation game," Statistical Software Components, Boston College Department of Economics, number X0305032, revised .

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