Export Behavior and Firm Productivity in German Manufacturing: A Firm-Level Analysis

This paper examines the causal relationship between productivity and exporting in German manufacturing. We find a causal link from high productivity to presence in foreign markets, as postulated by a recent literature on international trade with heterogeneous firms. We apply a matching technique in order to analyze whether the presence in international markets enables firms to achieve further productivity improvements, without finding significant evidence for this. We conclude that high-productivity firms self-select themselves into export markets, while exporting itself does not play a significant role for the productivity of German firms. JEL no. F10, F13, F14, D21, L60     

Chancen und Risiken in den Finanzmärkten

Ohne Zusammenfassung     

Technical analysis: Novel insights on contrarian trading

We analyze the predictive power of technical analysis with a novel data set based on news sentiment that allows to systematically examine a set of technical analysis indicators over an extensive time period. We do not find much statistically significant relationships with the examined indicators and future asset returns, and we almost do not find any alphas in trading strategies based on technical analysis sentiment. We find evidence for a contrarian-based hypothesis: past market returns and technical analysis sentiment are able to predict future technical analysis sentiment with a negative relationship.     

GARCH option pricing models with Meixner innovations

The paper presents GARCH option pricing models with Meixner-distributed innovations. The risk-neutral dynamics are derived by means of the conditional Esscher transform. Assessing the option pricing performance both in-sample and out-of-sample, we find that the models compare favorably against the benchmark models. Simulations suggest that the driver of these results is the impact of conditional skewness and conditional excess kurtosis on option prices.     

Fiscal consolidation in the euro area: Long-run benefits and short-run costs

In this paper, we examine the macroeconomic effects of alternative fiscal consolidation policies in the New Area-Wide Model (NAWM), a two-country open-economy model of the euro area developed at the European Central Bank (cf. [Coenen, G., McAdam, P., Straub, R., in press. Tax reform and labour-market performance in the euro area: a simulation-based analysis using the New Area-Wide Model. Forthcoming in the Journal of Economic Dynamics and Control]). We model fiscal consolidation as a permanent reduction in the targeted government debt-to-output ratio and analyse both expenditure and revenue-based policies that are implemented by means of simple fiscal feedback rules. We find that fiscal consolidation has positive long-run effects on key macroeconomic aggregates such as output and consumption, notably when the resulting improvement in the budgetary position is used to lower distortionary taxes. At the same time, fiscal consolidation gives rise to noticeable short-run adjustment costs in contrast to what the literature on expansionary fiscal consolidations suggests. Moreover, depending on the fiscal instrument used, fiscal consolidation may have pronounced distributional effects.