Yvan Lengwiler - Academia.edu (original) (raw)
Papers by Yvan Lengwiler
Menezes and Monteiro, Math. Soc. Sci. (1995), show that a multi-unit discriminatory price auction... more Menezes and Monteiro, Math. Soc. Sci. (1995), show that a multi-unit discriminatory price auction does not have a pure strategy equilibrium unless one imposes some rather special conditions on the demand functions. This non-existence result might indicate a problem either with the underlying auction procedure (as Menezes and Monteiro suggest) or with the modelling approach (as we suggest). We observe
We review different kinds of corruption that have been observed in procurement auctions and categ... more We review different kinds of corruption that have been observed in procurement auctions and categorize them. We discuss means to avoid corruption, by choice of preferable auction formats, or with the help of technological tools, such as secure electronic bidding systems. Auctions that involve some soft elements, such as complex bids consisting of technical and financial proposals, are particularly prone
In many auctions, the auctioneer is an agent of the seller. This invites corruption. We analyze a... more 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 corruption gives rise to a complex bidding problem that we tackle with numerical methods. Our results indicate that corruption does not only redistribute surplus away from the seller, but also distorts efficiency. We furthermore explain why both the auctioneer and bidders have a vested interest in maintaining corruption.
We construct a factor model of the yield curve and specify time series processes for these factor... more 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 constructed in such a way that they assume clear, intuitive inter- pretations. The resulting "intelligible factors" should prove useful for investment professionals to discuss expectations about yield curves and
Most tariff-rate quotas (TRQs) around the world are allocated in rather intransparent ways. Yet, ... more 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 achieve these goals, and at the same time enhance the efficiency of the allocation. Moreover, they provide the
We review dierent kinds of corruption that have been observed in procurement auctions and categor... more We review dierent kinds of corruption that have been observed in procurement auctions and categorize them. We discuss means to avoid corruption, by choice of preferable auction formats, or with the help of technological tools, such as secure electronic bidding systems. Auctions that involve some soft elements, such as com- plex bids consisting of technical and financial proposals, are particularly
Partnerships form,and dissolve. Dissolution often requires a change,in property rights, from join... more Partnerships form,and dissolve. Dissolution often requires a change,in property rights, from joint to single ownership, in the hands of one of the partners. This calls for a dissolution rule that assigns full property rights to the partner who makes the best use of these assets, and assures fair compensation,of those who,give up their ownership,rights. The present paper analyzes two
A new method is proposed for the analysis of first price and all pay auctions, where bidding func... more A new method is proposed for the analysis of first price and all pay auctions, where bidding functions are written not as functions of values but as functions of the rank or quantile of the bidder’s value in the distribution from which it was drawn. This method gives new results in both symmetric and asymmetric cases with independent values. It is shown that under this new method if one bidder has a stochastically higher distribution of values then her bidding function in terms of rank will always be higher than her rival’s. This is a clearer result under weaker conditions than using standard methods. We also look at auctions where one bidder has more precise information than the other.
SSRN Electronic Journal
Partnerships form and dissolve. Dissolution often requires a change in property rights, from join... more Partnerships form and dissolve. Dissolution often requires a change in property rights, from joint to single ownership, in the hands of one of the partners. This calls for a dissolution rule that assigns full property rights to the partner who makes the best use of these assets, and assures fair compensation of those who give up their ownership rights. The present paper analyzes two simple auction rules to solve these problems. JEL classifications: D44.
SSRN Electronic Journal, 2000
SSRN Electronic Journal, 2000
Partnerships form and dissolve. Dissolution often requires a change in property rights, from join... more Partnerships form and dissolve. Dissolution often requires a change in property rights, from joint to single ownership, in the hands of one of the partners. This calls for a dissolution rule that assigns full property rights to the partner who makes the best use of these assets, and assures fair compensation of those who give up their ownership rights. The present paper analyzes two simple auction rules to solve these problems.
SSRN Electronic Journal, 2000
Settling transactions in a payment system imposes opportunity costs of holding liquidity on the p... more Settling transactions in a payment system imposes opportunity costs of holding liquidity on the participating banks. A measure of these costs is the turnover ratio, defined as the value of payments a bank makes per unit of overnight central bank balances. We assume that a bank can increase its turnover ratio (and thus decrease the opportunity cost of liquidity) by an active cash management. Despite the fact that all banks have access to the same cash management technology, we observe that the turnover ratios vary widely not only through time but also across banks.
Abstract: Is there any empirical evidence that firms become more efficient after becoming exporte... more Abstract: Is there any empirical evidence that firms become more efficient after becoming exporters? Do firms that become exporters generate positive spillovers for domestically-oriented producers in their industry or region? In this paper we analyze the causal links between exporting and productivity using firm-level panel data from three semi-industrialized economies. Representing export market participation and production costs as jointly dependent autoregressive processes, we look for evidence that firms' stochastic ...
We extend the Lucas asset pricing tree economy to a heterogeneous population. Perturbative method... more We extend the Lucas asset pricing tree economy to a heterogeneous population. Perturbative methods are applied to explicitly calculate the second order response of asset returns to heterogeneity. We discover that there exists a unique "best homogeneous approximation" to a weakly heterogeneous economy. We determine the status of various stylized facts. For example, we find that the equity premium always varies counter cyclically, the equity returns are always predictable and price dividend ratios are positively autocorrelated. Moreover, sufficiently positive correlation between risk aversion and patience increases the risk premium and decreases the interest rate, thus giving another perspective on the equity premium and the risk-free rate puzzles. This motivates us to make a concrete social prediction. Finally, there is an open region of weakly heterogeneous economies where several other stylized facts hold. JEL classifications: D91, E43, G12.
Menezes and Monteiro, Math. Soc. Sci. (1995), show that a multi-unit discriminatory price auction... more Menezes and Monteiro, Math. Soc. Sci. (1995), show that a multi-unit discriminatory price auction does not have a pure strategy equilibrium unless one imposes some rather special conditions on the demand functions. This non-existence result might indicate a problem either with the underlying auction procedure (as Menezes and Monteiro suggest) or with the modelling approach (as we suggest). We observe
We review different kinds of corruption that have been observed in procurement auctions and categ... more We review different kinds of corruption that have been observed in procurement auctions and categorize them. We discuss means to avoid corruption, by choice of preferable auction formats, or with the help of technological tools, such as secure electronic bidding systems. Auctions that involve some soft elements, such as complex bids consisting of technical and financial proposals, are particularly prone
In many auctions, the auctioneer is an agent of the seller. This invites corruption. We analyze a... more 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 corruption gives rise to a complex bidding problem that we tackle with numerical methods. Our results indicate that corruption does not only redistribute surplus away from the seller, but also distorts efficiency. We furthermore explain why both the auctioneer and bidders have a vested interest in maintaining corruption.
We construct a factor model of the yield curve and specify time series processes for these factor... more 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 constructed in such a way that they assume clear, intuitive inter- pretations. The resulting "intelligible factors" should prove useful for investment professionals to discuss expectations about yield curves and
Most tariff-rate quotas (TRQs) around the world are allocated in rather intransparent ways. Yet, ... more 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 achieve these goals, and at the same time enhance the efficiency of the allocation. Moreover, they provide the
We review dierent kinds of corruption that have been observed in procurement auctions and categor... more We review dierent kinds of corruption that have been observed in procurement auctions and categorize them. We discuss means to avoid corruption, by choice of preferable auction formats, or with the help of technological tools, such as secure electronic bidding systems. Auctions that involve some soft elements, such as com- plex bids consisting of technical and financial proposals, are particularly
Partnerships form,and dissolve. Dissolution often requires a change,in property rights, from join... more Partnerships form,and dissolve. Dissolution often requires a change,in property rights, from joint to single ownership, in the hands of one of the partners. This calls for a dissolution rule that assigns full property rights to the partner who makes the best use of these assets, and assures fair compensation,of those who,give up their ownership,rights. The present paper analyzes two
A new method is proposed for the analysis of first price and all pay auctions, where bidding func... more A new method is proposed for the analysis of first price and all pay auctions, where bidding functions are written not as functions of values but as functions of the rank or quantile of the bidder’s value in the distribution from which it was drawn. This method gives new results in both symmetric and asymmetric cases with independent values. It is shown that under this new method if one bidder has a stochastically higher distribution of values then her bidding function in terms of rank will always be higher than her rival’s. This is a clearer result under weaker conditions than using standard methods. We also look at auctions where one bidder has more precise information than the other.
SSRN Electronic Journal
Partnerships form and dissolve. Dissolution often requires a change in property rights, from join... more Partnerships form and dissolve. Dissolution often requires a change in property rights, from joint to single ownership, in the hands of one of the partners. This calls for a dissolution rule that assigns full property rights to the partner who makes the best use of these assets, and assures fair compensation of those who give up their ownership rights. The present paper analyzes two simple auction rules to solve these problems. JEL classifications: D44.
SSRN Electronic Journal, 2000
SSRN Electronic Journal, 2000
Partnerships form and dissolve. Dissolution often requires a change in property rights, from join... more Partnerships form and dissolve. Dissolution often requires a change in property rights, from joint to single ownership, in the hands of one of the partners. This calls for a dissolution rule that assigns full property rights to the partner who makes the best use of these assets, and assures fair compensation of those who give up their ownership rights. The present paper analyzes two simple auction rules to solve these problems.
SSRN Electronic Journal, 2000
Settling transactions in a payment system imposes opportunity costs of holding liquidity on the p... more Settling transactions in a payment system imposes opportunity costs of holding liquidity on the participating banks. A measure of these costs is the turnover ratio, defined as the value of payments a bank makes per unit of overnight central bank balances. We assume that a bank can increase its turnover ratio (and thus decrease the opportunity cost of liquidity) by an active cash management. Despite the fact that all banks have access to the same cash management technology, we observe that the turnover ratios vary widely not only through time but also across banks.
Abstract: Is there any empirical evidence that firms become more efficient after becoming exporte... more Abstract: Is there any empirical evidence that firms become more efficient after becoming exporters? Do firms that become exporters generate positive spillovers for domestically-oriented producers in their industry or region? In this paper we analyze the causal links between exporting and productivity using firm-level panel data from three semi-industrialized economies. Representing export market participation and production costs as jointly dependent autoregressive processes, we look for evidence that firms' stochastic ...
We extend the Lucas asset pricing tree economy to a heterogeneous population. Perturbative method... more We extend the Lucas asset pricing tree economy to a heterogeneous population. Perturbative methods are applied to explicitly calculate the second order response of asset returns to heterogeneity. We discover that there exists a unique "best homogeneous approximation" to a weakly heterogeneous economy. We determine the status of various stylized facts. For example, we find that the equity premium always varies counter cyclically, the equity returns are always predictable and price dividend ratios are positively autocorrelated. Moreover, sufficiently positive correlation between risk aversion and patience increases the risk premium and decreases the interest rate, thus giving another perspective on the equity premium and the risk-free rate puzzles. This motivates us to make a concrete social prediction. Finally, there is an open region of weakly heterogeneous economies where several other stylized facts hold. JEL classifications: D91, E43, G12.