Strategic behavior in financial markets

We describe a financial market as a noncooperative game in strategic form. Agents may borrow or deposit money at a central bank and use the cash available to them in order to purchase a commodity for immediate consumption. They derive positive utility from consumption and from having cash reserves at the end of the day, whereas being bankrupt entails negative utility. The bank fixes interest rates. The existence of Nash equilibria (both mixed and pure) of the ensuing game is proved under various assumptions. In particular, no agent is bankrupt at equilibrium. Asymptotic behavior of replica markets is discussed, and it is shown that given appropriate assumptions, the difference between a strategic player and a price taker is negligible in a large economy.     

On the asymptotic optimality of the LIML estimator with possibly many instruments

We consider the estimation of the coefficients of a linear structural equation in a simultaneous equation system when there are many instrumental variables. We derive some asymptotic properties of the limited information maximum likelihood (LIML) estimator when the number of instruments is large; some of these results are new as well as old, and we relate them to results in some recent studies. We have found that the variance of the limiting distribution of the LIML estimator and its modifications often attain the asymptotic lower bound when the number of instruments is large and the disturbance terms are not necessarily normally distributed, that is, for the micro-econometric models of some cases recently called many instruments and many weak instruments.     

The Impact of Sexual Harassment Policy in the Dutch Police Force

The aim of the present study was to evaluate the outcome of sexual harassment policy in the Dutch Police Force. Using a survey, sexual harassment was measured in 2000 and again in 2006 and we tested whether sexual harassment is associated with the comprehensiveness of policies. To be able to identify divisions with comprehensive policies, we interviewed 29 key persons in semi-structured interviews. It appeared that between 2000 and 2006 sexual harassment did not decrease: neither for women nor for men. Furthermore, the risk of sexual harassment was not lower in divisions that implemented comprehensive policies than in divisions with less comprehensive policies. The results suggest that sexual harassment is a workplace hazard that is very difficult to prevent in male dominated workplaces and implementing a comprehensive policy is not sufficient to prevent this workplace hazard.     

Capital flows and the boom–bust cycle: The case of Estonia

During 2000–2007, Estonia was among the fastest growing emerging market economies, but in late-2008 entered a deep recession. This paper examines shocks, institutions, and policies that have made Estonia's boom–bust cycle so severe. It finds that an open capital account, the prospect for EU entry, and the currency board facilitated massive capital inflows, which led to credit and real estate booms. In late-2008 a domestic slowdown was greatly amplified by the global financial and economic crisis. To resume sustainable growth, the country will need to regain competitiveness and rebalance resources to exports. Estonia's experience underscores the importance for other emerging market economies to retain some flexibility in their macroeconomic frameworks and approach capital account liberalization cautiously.     

Duration of maternity leave in Germany: A case study of nonparametric hazard models and penalized splines

The paper investigates maternity leave behavior in West Germany for females being employed between 1995 and 2006 using data from the German Socio Economic Panel. The observational study focuses on the investigation of individual and family-related covariate effects on the duration of maternity leave following first or second childbirth, respectively. Dynamic duration time models are used in which covariate effects are allowed to vary smoothly with duration of being in maternity leave. The intention of the paper is to demonstrate with state of the art models how effects of covariables change over time and to analyse substantial differences between maternity leaves following first and second childbirth. Particularly the personal income of mothers and the educational attainment influence the decision when to return into employment. The leave period following second birth is influenced by the mothers' attachment to the labour market between their two maternity leave periods. As fitting routine penalized spline smoothing effects is employed using available software in R (http://www.r-project.org).     

Incorporating sustainability criteria into credit risk management

Does a commercial debtor's economic, environmental and social performance in terms of sustainability affect its credit risk rating? Does adding criteria aimed at assessing a lender's environmental, social or sustainability practices provide added value to traditional financial rating criteria? Many analyses have reported that a correlation exists between companies' environmental and their financial performance. We checked out the assertion that it ‘pays to be sustainable’ by analyzing the role that criteria pertaining to sustainability and environmental orientation play in the commercial credit risk management process. Our results show that sustainability criteria can be used to predict the financial performance of a debtor and improve the predictive validity of the credit rating process. We conclude that the sustainability a firm demonstrates influences its creditworthiness as part of its financial performance. Copyright © 2008 John Wiley & Sons, Ltd and ERP Environment.     

An empirical analysis of green supply chain management in the German automotive industry

The purpose of this paper is the empirical investigation of the status quo of green supply chain management in the German automotive industry from a practitioner's point of view. Several aspects of green supply chain management, such as the point of time of implementation, the driving forces, the relevance of intended goals and their particular realization and the adoption of eco‐programs with suppliers and customers as well as internal and external barriers are analyzed. Furthermore, the link to different performance criteria is tested by inductive statistics in order to show the potential of green supply chain management for competitiveness. For this study, managers from the automotive supply industry in Germany were asked about their estimations in this regard. The main conclusion is that managers express the need for green supply chain management on the one hand but also see corresponding problems in terms of required resources on the other hand. Furthermore, the analyses show that green supply chain management leads to higher performance in terms of several performance criteria. Copyright © 2009 John Wiley & Sons, Ltd and ERP Environment.     

Bankruptcy behavior in the NFL: does the overtime structure change the strategy of the game?

Companies in financial distress have an incentive to take on high-risk/high-reward projects, known as ??bankruptcy behavior.?? This paper investigates the activity of bankruptcy behavior outside of the corporate setting by analyzing the effects of the overtime structure in the NFL relative to College Football. In overtime, the first team to score in the NFL wins. In college football, however, both teams in overtime get a chance to score and the winner is decided when one team outscores the other. This structure causes different strategies for the NFL teams approaching overtime relative to college football teams. Using the variance in scoring throughout the game, I find evidence that NFL teams take on more risk late in the game to avoid overtime, or act as if they have bankruptcy behavior.