Exchange rates and order flow in the long run

Several recent papers have underlined the importance of microstructure effects in understanding exchange rate behavior by documenting stable long-run relationships between cumulated order flows and spot exchange rates. This stands in contrast to the widely-studied failure of exchange rates to conform to the long-run behavior implied by “conventional” macroeconomic models and is consistent with the prediction of micro-structure models. We re-examine the evidence for stable long-run relationships. We find that such evidence exists only for a small number of the major currencies we examine and that it is statistically fragile. We conclude that this implication of microstructure models does not fit the data as well as previous studies suggest.     

Calendar Effects on the Amsterdam Stock Exchange

For daily data on a value-weighted index of all shares in the Netherlands (1981-1998), we find abnormally high returns in the pre-Christmas period of the second half of December and around the turn of the month, whereas returns are negative and volatility is relatively high on the Mondays where the previous week's return is below zero. Furthermore, our evidence indicates the presence of an ARCH(1) effect. Our intraday results based on an equal-weighted index of the leading shares in the Netherlands (1986-1993) reveal a U-shaped return pattern over each trading day, Monday morning excluded. Moreover, our tests reveal repeated price adjustments mostly in the same direction around and over non-trading periods. We argue that the arrival of private information is affected by strategic and behavioral factors incompatible with the risk-return paradigm.     

Some Evidence on the Relevance of Bank Behaviour for the Lending Channel in The Netherlands

This paper studies the behaviour of Dutch banks. We test the adjustment of banks' balance sheets in times of monetary policy changes during the period 1957–1991. As a reaction to a policy change, banks basically have two alternatives to adjust their net money creation: (1) sell securities in public capital markets, and/or issue long-term liabilities, and (2) change domestic loan supply. If banks opt for the latter a lending channel may be relevant, even in a small open economy with a fixed exchange rate and a high degree of international capital mobility. We test for the effectiveness of both indirect and direct instruments of monetary policy. It turns out that in case of changes in the official interest rate, the volume of bank loans is not affected and that banks display a kind of buffer-stock behaviour by diminishing their publicly traded assets. In situations with quantity restrictions on the growth of net money creation, however, the volume of loans is affected significantly when the quantity restriction is withdrawn thereby fulfilling a necessary condition for the bank lending channel to be effective.     

Helping behavior in a virtual crisis situation: effects of safety awareness and crisis communication

Incident evaluations show that bystanders tend to help: they do not wait for professionals to arrive, but act as required by the situation at hand. In the present study, we investigated how safety awareness (induced before an accident happened) and providing a course of action by emergency services affect helping behavior after witnessing a virtual accident with two victims. The main task of the participants was to arrive at a job interview in time. Safety awareness was manipulated by the specific organization they went to: either promoting safe traffic or healthy living. The results show that all participants were inclined to help. Participants who were primed towards safe traffic more often called the emergency number, but talked to the victim less often. Participants who had received specific courses of action moved the victim less often. In all, the results clearly indicate the value of effective risk communication (before an event occurs) and crisis communication (after an event has occurred), as both types of information improve the quality of actual helping behavior at the scene.     

Extending the enterprise evolution contextualisation model

Enterprise engineering (EE) emerged as a new discipline to encourage comprehensive and consistent enterprise design. Since EE is multidisciplinary, various researchers study enterprises from different perspectives, which resulted in a plethora of applicable literature and terminology, but without shared meaning. Previous research specifically focused on the fragmentation of knowledge for designing and aligning the information and communication technology (ICT) subsystem of the enterprise in order to support the business organisation subsystem of the enterprise. As a solution for this fragmented landscape, a business-IT alignment model (BIAM) was developed inductively from existing business-IT alignment approaches. Since most of the existing alignment frameworks addressed the alignment between the ICT subsystem and the business organisation subsystem, BIAM also focused on the alignment between these two subsystems. Yet, the emerging EE discipline intends to address a broader scope of design, evident in the existing approaches that incorporate a broader scope of design/alignment/governance. A need was identified to address the knowledge fragmentation of the EE knowledge base by adapting BIAM to an enterprise evolution contextualisation model (EECM), to contextualise a broader set of approaches, as identified by Lapalme. The main contribution of this article is the incremental development and evaluation of EECM. We also present guiding indicators/prerequisites for applying EECM as a contextualisation tool.     

Firm heterogeneity, productivity and spatially bounded knowledge externalities

In this paper, we argue that conceptually disentangling the ‘context versus composition’ aspects of regional growth is a multilevel issue. By applying multilevel models (also called random-effects models), we show (1) the importance of considering firm-specific characteristics simultaneously with region-specific characteristics, as we find that a large part of what is traditionally assigned to the impact of the region should be assigned to firm-specific characteristics and (2) that existing single-level methodologies can be problematic, as they are vulnerable to the charge of estimating significance levels that are too liberally assigned and promote exaggerations. This is illustrated empirically by showing that single-level approaches would lead to the conclusion that innovation spillovers are highly significant in a setting of Dutch urban growth differentials, while multilevel analyses shows less liberally assigned significance levels. We conclude that multilevel-effect models better fit research questions that combine firm and spatial characteristics simultaneously, especially because they allow firm-specific characteristics to be differently linked to their regional contexts.     

Stochastic Generational Accounting Applied to Reforms of Dutch Occupational Pensions

This paper examines stochastic or ‘value based’ generational accounting as a method to assess the intergenerational redistributive impact of pension reform. The analysis is applied to three policy changes to the regulation of Dutch occupational pensions during the years 2012 and 2013 that mark the transition from defined benefit pensions to ‘defined ambition’ pension schemes.     

Job protection,housing market regulation,and the youth

Young Europeans experience high unemployment rates, job instability, and late emancipation. Meanwhile, they do not support reforms weakening protection on long‐term contracts. In this paper, we suggest a possible rationale for such reform distaste. When the rental market is strongly regulated, landlords screen applicants with regard to their ability to pay the rent. Protecting regular jobs offers a second‐best technology to sort workers, thereby increasing the rental market size. We provide a model where nonemployed workers demand protected jobs despite unemployment and the share of short‐term jobs increases, whereas the individual risk of dismissal is unaffected. Our theory can be extended to alternative risks and markets involving correlated risks and commitment under imperfect information.     

Cannabis use and mental health problems

This paper investigates whether cannabis use leads to worse mental health. To do so, we account for common unobserved factors affecting mental health and cannabis consumption by modeling mental health jointly with the dynamics of cannabis use. Our main finding is that using cannabis increases the likelihood of mental health problems, with current use having a larger effect than past use. The estimates suggest a dose–response relationship between the frequency of recent cannabis use and the probability of currently experiencing a mental health problem. Copyright © 2010 John Wiley & Sons, Ltd.