Job Market Candidates 2023/24
Ph.D. Program in Economics

Nikolaos-Errikos Melissinos

Contact Information

Leibniz Institute for Financial Research SAFE
Data Center
House of Finance
Theodor-W.-Adorno Platz 3
60323 Frankfurt am Main, Germany

E-Mail, Personal website


Ph.D., Economics, Goethe University Frankfurt, GSEFM program, 2024 (expected)
Master of Economics and Finance, Barcelona School of Economics, 2014
Bachelor of Laws, University of Athens, 2012

Fields of Specialization

Macroeconomics and Finance: Monetary Economics, Asset Pricing, Solution Methods

Teaching Areas

Macroeconomics, especially business cycles and monetary economics
Finance, especially asset pricing
Computational Methods
Mathematical Methods

Curriculum Vitae

Click here to download the CV.


Prof. Volker Wieland, Ph.D.
IMFS Endowed Chair of Monetary Economics
Goethe University Frankfurt, IMFS

Prof. Dr. Christian Schlag
Professor of Finance
Leibniz Institute for Financial Research SAFE
Goethe University Frankfurt

Dr. Henning Weber
Research Center
Deutsche Bundesbank[at]bundesbank[dot]de



Real Term Premia in Consumption-Based Models

Abstract: In the data, real term premia are mostly positive and time-varying. So, I analyse to what extent consumption-based mechanisms generate these features. My investigation shows that only models with time-varying risk aversion or models with high consumption risk can produce these patterns within the consumption-based framework. The latter explanation has not been suggested before, and it involves a small group of investors who are assuming large consumption risks. In relation to preferences, I consider models with both time-separable and recursive utility functions. For the latter case, I introduce a novel perturbation solution method which is easy to implement and allows a wide range of values for the parameter of intertemporal elasticity of substitution.


A Perturbation Solution Method for Models with Recursive Utility

Abstract: I illustrate a novel method for pricing assets within recursive utility models in continuous time, that has first been used in Melissinos (2023). My method builds on the analytic solution of Tsai and Wachter (2018). While their solution is valid for a value of the intertemporal elasticity of substitution equal to 1, I provide the full perturbation series in terms of the IES, which gives rise to a global perturbation approximation in terms of the state variable. This allows the pricing of assets for a much larger range of values for the IES, which are economically meaningful. I comment on the convergence properties of the perturbation series, and I show that the method provides a straightforward and reliable approach to asset pricing. I employ my method to derive prices of long-term bonds, the price consumption ratio and the instantaneous return of the consumption perpetuity.


Measuring On-the-job Learning Rates in Multidimensional Skills, with Mariia Bondar

Abstract: In this paper, we introduce a framework with multidimensional skills, in which we estimate how fast skills accumulate due to on-the-job experience. We model an individual’s wage as a weighted sum of her productivities in different skills. We call this skill-specific productivity expertise. Since expertise is not directly observable, we proxy this variable with skill-specific experience, which depends on the years of labor market experience across different occupations and the importance of the corresponding skill in those occupations. We compute skill-specific experience using the data on occupational skill requirements from O*NET. We then estimate the wage equation using skill-specific experience to evaluate the speed of expertise accumulation (learning rate) in different skills. We find that expertise in different skills grows with skill-specific experience and that different skills exhibit different learning rates.