Essays on Preferences and Nominal Rigidities and on Macroeconomic Forecasting

This dissertation thesis consists of four academic papers. The first paper presents a new partial equilibrium theory of price adjustment based on consumer loss aversion and studies the asymmetry characteristics of price reactions to temporary and permanent demand shocks of different size and sign. The second paper combines nominal wage loss aversion with endogenous reference wage dynamics and investigates the implications of these dynamics for the firms’ wage and employment decisions. The third paper systematically compares the joint forecasting accuracy of the three most prominent large scale approaches, namely factor models, Large Bayesian Vectorautoregressions and model averaging, for a set of 11 German core variables and investigates to what degree the different models’ performance is robust to the exact model specification. The last paper analyzes different methods to signal recessions in the euro area in real-time and assesses the real-time probability forecasts obtained with the different methods in terms of sharpness, calibration and discriminatory skill.


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