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Markus Hertrich

Personal Details

First Name:Markus
Middle Name:
Last Name:Hertrich
Suffix:
RePEc Short-ID:phe561
[This author has chosen not to make the email address public]

Affiliation

(50%) Abteilung Finanzmarkttheorie
Wirtschaftswissenschaftliches Zentrum
Universität Basel

Basel, Switzerland
http://www.wwz.unibas.ch/finance/
RePEc:edi:afmbsch (more details at EDIRC)

(50%) Deutsche Bundesbank

Frankfurt, Germany
http://www.bundesbank.de/
RePEc:edi:dbbgvde (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  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.
  2. Hertrich, Markus, 2020. "Foreign exchange interventions under a one-sided target zone regime and the Swiss franc," Discussion Papers 21/2020, Deutsche Bundesbank.
  3. Hertrich, Markus, 2019. "A novel housing price misalignment indicator for Germany," Discussion Papers 31/2019, Deutsche Bundesbank.
  4. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
  5. 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.
  6. Hertrich, Markus, 2015. "A Note on Credit Spread Forwards," MPRA Paper 67838, University Library of Munich, Germany.
  7. Hertrich, Markus, 2015. "The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone," MPRA Paper 67839, University Library of Munich, Germany.

Articles

  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.
  2. Markus Hertrich, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 759-794, November.
  3. 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.
  4. Markus HERTRICH, 2016. "A Note on Credit Spread Forwards," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 7(1), pages 77-81.
  5. 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.
  6. 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.
  7. 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.
  8. 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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Hertrich, Markus, 2020. "Foreign exchange interventions under a one-sided target zone regime and the Swiss franc," Discussion Papers 21/2020, Deutsche Bundesbank.

    Cited by:

    1. Patricks Ogiji & Tersoo Shimonkabir Shitile & Nuruddeen Usman, 2022. "Estimating asymmetries in monetary policy reaction function: an oil price augmented Taylor type rule for Nigeria under unconventional regime," Economic Change and Restructuring, Springer, vol. 55(3), pages 1655-1672, August.

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

    Cited by:

    1. Kajuth, Florian, 2020. "The German housing market cycle: Answers to FAQs," Discussion Papers 20/2020, Deutsche Bundesbank.
    2. Damjanović, Milan & Lenarčič, Črt, 2023. "Constructing a house price misalignment indicator: revisited and revamped," MPRA Paper 118489, University Library of Munich, Germany.

  3. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.

    Cited by:

    1. Khemais Zaghdoudi & Abdelaziz Hakimi, 2017. "The Determinants of Liquidity Risk: Evidence from Tunisian Banks," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-5.
    2. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
    3. Rim Boussaada & Abdelaziz Hakimi & Majdi Karmani, 2022. "Is there a threshold effect in the liquidity risk–non‐performing loans relationship? A PSTR approach for MENA banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1886-1898, April.
    4. Khaldoun Maddallah Al-Qaisi & Rafat Mohd Soudki Al-Batayneh, 2017. "Credit Default Swap and Liquidity," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 697-700.

  4. 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.

    Cited by:

    1. Hui, Cho-Hoi & Lo, Chi-Fai & Fong, Tom Pak-Wing, 2016. "Swiss franc's one-sided target zone during 2011–2015," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 54-67.
    2. Berhold, Kerstin & Stadtmann, Georg, 2017. "Who put the holes in the Swiss cheese? Currency crisis under appreciation pressure," Discussion Papers 391, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    3. Dean Buckner & Kevin Dowd & Hardy Hulley, 2022. "Arbitrage Problems with Reflected Geometric Brownian Motion," Papers 2201.05312, arXiv.org, revised Sep 2022.
    4. Mirkov, Nikola & Pozdeev, Igor & Soderlind, Paul, 2016. "Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions," Working Papers on Finance 1614, University of St. Gallen, School of Finance.
    5. 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.
    6. Iain J. Clark & Saeed Amen, 2017. "Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios," Risks, MDPI, vol. 5(3), pages 1-17, July.
    7. Mirkov, Nikola & Pozdeev, Igor & Söderlind, Paul, 2019. "Verbal interventions and exchange rate policies: The case of Swiss franc cap," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 42-54.
    8. 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.
    9. 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.
    10. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
    11. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018. "Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal," Working Papers on Finance 1808, University of St. Gallen, School of Finance.
    12. Michael Funke & Julius Loermann & Richhild Moessner, 2017. "The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?," BIS Working Papers 652, Bank for International Settlements.
    13. Cukierman, Alex, 2018. "Forex intervention and reserve management in Switzerland and Israel since the financial crisis: Comparison and policy lessons," CEPR Discussion Papers 13186, C.E.P.R. Discussion Papers.
    14. Yang, Yan-Hong & Shao, Ying-Hui & Shao, Hao-Lin & Stanley, H. Eugene, 2019. "Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 734-746.
    15. Gregor Bäurle & Daniel Kaufmann, 2018. "Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(6), pages 1243-1266, December.

Articles

  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.

    Cited by:

    1. Anna Bykhovskaya & James A. Duffy, 2022. "The Local to Unity Dynamic Tobit Model," Papers 2210.02599, arXiv.org, revised May 2024.

  2. Markus Hertrich, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 759-794, November.
    See citations under working paper version above.
  3. 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.
    See citations under working paper version above.
  4. 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.

    Cited by:

    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.
    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. Lu, You-Xun, 2022. "The stabilizing effect of the zero lower bound: A perspective of interest rate target zones," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 61-67.

  5. 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.

    Cited by:

    1. Dean Buckner & Kevin Dowd & Hardy Hulley, 2022. "Arbitrage Problems with Reflected Geometric Brownian Motion," Papers 2201.05312, arXiv.org, revised Sep 2022.
    2. R. Guy Thomas, 2023. "Long-term option pricing with a lower reflecting barrier," Papers 2302.05808, arXiv.org.

  6. 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.

    Cited by:

    1. Dean Buckner & Kevin Dowd & Hardy Hulley, 2022. "Arbitrage Problems with Reflected Geometric Brownian Motion," Papers 2201.05312, arXiv.org, revised Sep 2022.
    2. 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.
    3. 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.
    4. R. Guy Thomas, 2023. "Long-term option pricing with a lower reflecting barrier," Papers 2302.05808, arXiv.org.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (5) 2015-09-18 2015-11-15 2015-11-15 2019-09-30 2020-05-11. Author is listed
  2. NEP-MON: Monetary Economics (4) 2015-09-18 2015-11-15 2022-08-15 2023-01-09
  3. NEP-CBA: Central Banking (3) 2015-11-15 2020-05-11 2022-08-15
  4. NEP-BAN: Banking (1) 2015-11-15
  5. NEP-CFN: Corporate Finance (1) 2015-11-15
  6. NEP-EEC: European Economics (1) 2020-05-11
  7. NEP-GEN: Gender (1) 2020-05-11
  8. NEP-IFN: International Finance (1) 2022-08-15
  9. NEP-OPM: Open Economy Macroeconomics (1) 2015-11-15
  10. NEP-RMG: Risk Management (1) 2015-11-15
  11. NEP-URE: Urban and Real Estate Economics (1) 2019-09-30

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