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Publications

by members of

Abteilung Finanzmarkttheorie
Wirtschaftswissenschaftliches Zentrum
Universität Basel
Basel, Switzerland

(Department of Finance, Faculty of Business and Economics, University of Basel)

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

Undated material is listed at the end

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 2022.10, Bank of Israel.

2021

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

2020

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

2019

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

2018

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

2017

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

2015

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

2012

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

2011

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

2009

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

2008

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

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 90, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  2. Andras Niedermayer & Daniel Niedermayer, 2006. "Applying Markowitz's Critical Line Algorithm," Diskussionsschriften dp0602, Universitaet Bern, Departement Volkswirtschaft.
  3. Tyran, Jean-Robert & Vanin, Paolo & Strulik, Holger, 2006. "Staying on the Dole," CEPR Discussion Papers 5967, C.E.P.R. Discussion Papers.

2005

  1. Yvan Lengwiler & Elmar G. Wolfstetter, 2005. "Bid Rigging – An Analysis of Corruption in Auctions," CESifo Working Paper Series 1488, CESifo.
  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 2005-03, Department of Economics, University of St. Gallen.

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 rp48, International Center for Financial Asset Management and Engineering.

2000

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

1999

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

1998

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

Undated

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

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, vol. 30(2), pages 450-489, May.

2020

  1. Yvan Lengwiler, 2020. "Blacking out," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 156(1), pages 1-10, December.

2019

  1. Markus Hertrich, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 759-794, November.

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, vol. 154(1), pages 1-12, December.

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, vol. 49(2-3), pages 567-578, March.

2016

  1. Markus Hertrich, 2016. "The distribution of exchange rates under a minimum exchange rate regime," Journal of Applied Economics, Universidad del CEMA, vol. 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, vol. 67(1), pages 91-120, May.
  3. Markus HERTRICH, 2016. "A Note on Credit Spread Forwards," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 7(1), pages 77-81.

2015

  1. Yvan Lengwiler & Dietmar Maringer, 2015. "Regulation and contagion of banks," Journal of Banking Regulation, Palgrave Macmillan, vol. 16(1), pages 64-71, January.
  2. 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), vol. 151(III), pages 227-260, September.

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., vol. 33(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, vol. 43(3), pages 281-298, October.

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, vol. 34(10), pages 1872-1892, October.
  2. Lengwiler, Yvan & Lenz, Carlos, 2010. "Intelligible factors for the yield curve," Journal of Econometrics, Elsevier, vol. 157(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), vol. 146(I), pages 301-311, March.
  4. Döbeli, Barbara & Vanini, Paolo, 2010. "Stated and revealed investment decisions concerning retail structured products," Journal of Banking & Finance, Elsevier, vol. 34(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, vol. 36(1), pages 23-35, January.
  2. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," The Review of Financial Studies, Society for Financial Studies, vol. 21(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, vol. 31(12), pages 3663-3679, December.
  2. Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007. "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, vol. 31(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, vol. 30(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, vol. 30(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, vol. 95(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, vol. 160(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), vol. 140(IV), pages 521-541, December.
  3. Yvan Lengwiler, 2004. "A Monetary Policy Simulation Game," The Journal of Economic Education, Taylor & Francis Journals, vol. 35(2), pages 175-183, April.
  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, vol. 28(6), pages 1079-1113, March.
  5. Dobeli, Barbara & Vanini, Paolo, 2004. "An analysis of IMF-induced moral hazard," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2933-2956, December.
  6. Fabio Trojani & Paolo Vanini, 2004. "Robustness and Ambiguity Aversion in General Equilibrium," Review of Finance, Springer, vol. 8(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, vol. 50(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, vol. 159(4), pages 603-626, December.

2002

  1. Yvan Lengwiler & Athanasios Orphanides, 2002. "Optimal Discretion," Scandinavian Journal of Economics, Wiley Blackwell, vol. 104(2), pages 261-276, June.
  2. Fabio Trojani & Paolo Vanini & Luigi Vignola, 2002. "A Note on the Three–Portfolios Matching Problem," European Financial Management, European Financial Management Association, vol. 8(4), pages 515-527, December.
  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, vol. 26(3), pages 423-435, March.
  4. Paolo Vanini & Luigi Vignola, 2002. "Optimal Decision-Making with Time Diversification," Review of Finance, European Finance Association, vol. 6(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, vol. 157(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), vol. 137(II), 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), vol. 14(2), pages 373-392.

1998

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

1997

  1. Yvan Lengwiler, 1997. "A model of money counterfeits," Journal of Economics, Springer, vol. 65(2), pages 123-132, June.

Chapters

2012

  1. Morten L Bech & Yvan Lengwiler, 2012. "The financial crisis and the changing dynamics of the yield curve," BIS Papers chapters, in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 257-276, Bank for International Settlements.

2009

  1. Yvan Lengwiler, 2009. "The Origins of Expected Utility Theory," Springer Books, in: Wolfgang Hafner & Heinz Zimmermann (ed.), Vinzenz Bronzin’s Option Pricing Models, chapter 20, pages 535-545, Springer.

Software components

2003

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

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