Prof. Robert Kollmann                                          July 23, 2023

Address: 

Solvay Brussels School of Economics and Management (SBS-EM),

Université Libre de Bruxelles, CP 114

50 Avenue Franklin Roosevelt

B-1050 Brussels; Belgium

robert_kollmann@yahoo.com

robert.kollmann@ulb.be

 

Research interests: macroeconomics, international economics,

international finance, computational economics, applied econometrics

 

Degrees:

University of Bonn; Vordiplom (Econ), 1982.

Université de Louvain; Licence en Sciences Economiques, 1985. (Advisor: Prof. Claude d’Aspremont).

London School of Economics; M.Sc. in Econometrics and Mathematical Economics, 1986. (Advisor: Prof. John Moore).

University of Chicago; Ph.D. (Econ), 1991.(Advisor: Prof. Michael Woodford.)

 

Lauréat, Concours National d'Agrégation de l'Enseignement Supérieur en Sciences Economiques, Ministry of Education, France, 1994.

(Recruitment competition for University Professors)

 

Academic appointments:

University of Montreal (1991-1994). 

University of Grenoble II (1994-1997). 

University Paris-Est Créteil [formerly called ‘University Paris XII’] (1997-2006) 

University of Bonn (1999-2004).

Université Libre de Bruxelles (2006-).

 

Membership in research networks and panels of economic experts:

Research Fellow, Centre for Economic Policy Research, CEPR (2002-).

Panel Member, CFM-CEPR Macroeconomics Survey (Centre for Macroeconomics, London School of Economics), 2016-

http://cfmsurvey.org/,  http://cfmsurvey.org/experts

 

Fellow, Euro-Area Business Cycle Network (EABCN) (2009-).

Research Associate, Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas (2009-).

Research Associate, Centre for Applied Macroeconomic Analysis (CAMA), Australian National University (2013-).

Research Associate, ERUDITE Laboratoire d’Economie Paris-Est (1997-)

Research Associate, PEGGED (Politics, Economics and Global Governance) network, funded by European Commission (FP7)(2008-12).

Team Leader, CoPFiR (Community of Practice in Financial Research), network of leading European Universities, coordinated by European Commission (Joint Research Centre) (2017-)

Team Leader,  MACFINROBODS (Integrated Macro-Financial Modelling for Robust Policy Design) network, funded by European Commission (FP7)(2014-17)

 

Editorial service:

Co-Editor, Journal of International Economics (2021-)

Editor, Economics, The Open-Access, Open Assessment Journal (2020-)

Associate Editor, Journal of International Money and Finance (2018-)

Associate Editor, Open Economies Review (2010-)

Member of Editorial Board, Central Bank Review (2016-)

Co-Editor, Economics e-journal (2007-20)

Associate Editor, Journal of International Economics (2016-21)

 

Guest editor, special issue ‘Advances in International Macroeconomics: Lessons from the Crisis’,  European Economic Review, 2011, Vol.55. 

Guest editor, special issue ‘International Risk Sharing’, Canadian Journal of Economics, 2012, Vol. 54(2).

Guest editor, special issue ‘Macroeconomics and Financial Intermediation: Directions since the Crisis’, Journal of Money, Credit and Banking,2013 Vol. 45 (S2).

Guest editor, special issue ‘Fiscal Policy in the Aftermath of the Financial Crisis’, Journal of Economic Dynamics & Control, 2013, Vol. 37(2).

Guest editor, special issue ‘Current Account Imbalances and International Financial Integration’, Journal of International Money and Finance, 2014, Vol. 48.

Guest editor, special issue ‘The Post-Crisis Slump’, European Economic Review, 2016, Vol. 88.

Guest editor, special issue ‘International Financial Integration in a Changing Policy Context – the End of an Era?’, Journal of International Money and Finance, 2018.

Guest editor, special issue ‘Secular Stagnation, Low Interest Rates and Low Inflation’, Journal of Economic Dynamics & Control, 2021.

Guest editor, special issue ‘The COVID-Shock and the New Macroeconomic Landscape: Taking Stock and Looking Ahead’, European Economic Review, 2023

 

Other professional experience:

Research Fellow, Economics Department, University College London (1995-1996)

Summer Intern, Rand Corporation, Los Angeles, Summer 1987.

Research Assistant, University of Chicago (Prof. M. Woodford, 1989-1990).

Visiting Scholar: Columbia University; Federal Reserve Bank of New York; Federal Reserve Bank of St. Louis; Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis;

Board of Governors of the Federal Reserve System; Bank of Canada; International Monetary Fund; CentER for Economic Research, Tilburg University;   

 

Honors:

Commander of the Order of the Crown (Commandeur de l’Ordre de la Couronne), Belgium (appointed 2014).

 

Rankings of Economists in European Union:

http://ideas.repec.org/top/top.eu.html#authors

Member of the Econometric Society and of the American Economic Association.

Member of program/scientific committees of research conferences and workshops:

●‘First Brussels Conference on International Macroeconomics and Finance’ (co-organized by ULB, the Centre for Economic Policy Research, University of Leuven and the National Bank of Belgium), 2007.

● ‘Second Brussels Conference on International Macroeconomics and Finance’ (co-organized by ULB, the Centre for Economic Policy Research, the World Economy and Finance program of ESRC (UK), University of Leuven and the National Bank of Belgium), February 2009.

●Conference on ‘Advances in International Macroeconomics: Lessons from the Crisis’ (co-organized by the EU Commission, European Economic Review and UL), Brussels, July 2010. 

●Conference on ‘International Risk Sharing’ (co-organized by Review of International Economics, Bank of Canada and ULB), Brussels, October 2010.

●Conference on ‘Advances in Business Cycle Research: Lessons from the Crisis’ (ULB, Euro-Area Business Cycle network, National Bank of Belgium), Brussels, December 2010.

Conference on ‘The Financial Crisis: Lessons for International Macroeconomics’ (American Economic Journal: Macroeconomics [AEJ-Macro], ULB, Banque de France, Paris School of Economics, CEPR), Paris, October 2011.

●Conference on ‘Fiscal Policy in the Aftermath of the Financial Crisis’ (co-organized by the EU Commission, ULB, Indiana University and the Journal of Economic Dynamics & Control), Brussels, March 2012.

●Conference on ‘International Capital Flows and Spillovers in a Post-Crisis World‘ (co-organized by ULB, The IMF Economic Review, the Bank of England, the Bank of Canada, UBC, St. Andrews University, the Scottish Institute for Research in Economics and CEPR), London, December 2012.

●Conference on ‘Current Account Imbalances and International Financial Integration’ (co-organized by the European Commission, the Journal of International Money and Finance, CEPR, ULB, UBC, UC Santa Cruz, Tilburg University and the University of Wisconsin), Brussels, December 2013.

●Conference on ‘The Post-Crisis Slump’ (co-organized by the European Commission, European Economic Review, Indiana University and ULB), Brussels, October 1-2, 2015.

●Conference on ‘International Financial Integration in a Changing Policy Context – the end of an Era?‘ (co-organized by the European Commission, the Journal of International Money and Finance, CEPR, Tilburg University, UBC, ULB, USC and University of Wisconsin), Brussels, March 2018.

Annual Meeting of the CEPR International Macroeconomics & Finance Program (CEPR IMF), Brussels, November, 2018

Conference  Secular Stagnation, Low Interest Rates and Low Inflation: Causes and Implications for Policy’ (co-organized by the European Commission, CEPR and the Journal of Economic Dynamics & Control), November 2020.

●Conference ‘The COVID-Shock and the New Macroeconomic Landscape: Taking Stock and Looking Ahead (co-organized by the European Commission, CEPR and the European Economic Review), October 2022.

 

●Organized sessions on ‘International Capital Flows’ at the Annual meetings of the American Economic Association, 2007, 2008, and 2009.

●Member of program committee, Annual congress of European Economic Association, 2005, 2007-2011, 2016.

Member of program committee, Annual congress of German Economics Association, 2003, 2004 and 2013.

Local organizer, Annual conference of Society for Economic Dynamics, Gent (Belgium), July 2011.

●Co-organizer of the joint research workshop of the National Bank of Belgium, Université Libre de Bruxelles, Université Catholique de Louvain and University of Leuven (2007-). 

 

 

Academic Papers:

Many of my paper can be downloaded from:

http://ideas.repec.org/e/pko143.html

http://ssrn.com; see especially: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=65371

http://scholar.google.com/

 

 

 

A) Published or forthcoming

NOTE : In the case of publications that are not open-access, downloading, copying or printing for, or on behalf of, any for-profit commercial firm

or other commercial purpose should not be done without the explicit permission of the corresponding publisher.

 

The COVID-Shock and the New Macroeconomic Landscape: Taking Stock and Looking Ahead

with Werner Roeger

European Economic Review, 2023, Vol. 158 (forthcoming), Article 104541.

 

A Tractable Overlapping Generations Structure for Quantitative DSGE Models

Economics Letters, 2022, Vol. 221, Article 110898.

 

Liquidity Traps in a World Economy

Journal of Economic Dynamics & Control, 2021, Vol. 132, Article 104206.

 

 

Secular Stagnation, Low Interest Rates and Low Inflation: Causes and Implications for Policy

with Thomas Lubik and Werner Roeger

Journal of Economic Dynamics & Control, 2021, Vol. 132, Article 104212.

 

 

Liquidity Traps in a Monetary Union

Oxford Economic Papers, 2021, Vol. 73, pp.1581-1603.

 

 

The Real Exchange Rate and Household Consumption Heterogeneity: Testing Kocherlakota and Pistaferri’s (2007) Model

Economics Letters, 2021, Vol. 209, Article 110110

 

 

Effects of Covid-19 on Euro Area GDP and Inflation: Demand vs. Supply Disturbances

International Economics and Economic Policy, 2021, Vol. 18, pp.475-492.

 

 

U.S. and Euro Area External Adjustment: The Role of Commodity Prices and Emerging Market Shocks ,

with Massimo Giovannini, Stefan Hohberger, Marco Ratto, Werner Roeger and Lukas Vogel.

Journal of International Money and Finance, 2019, Vol. 94, pp.183-205.

SLIDES  

 

 

International Financial Integration in a Changing Policy Context ,

with Menzie Chinn and Michael B. Devereux.

Journal of International Money and Finance, 2019,  Vol. 93, pp.275-276.

 

 

Explaining International Business Cycle Synchronization: Recursive Preferences and the Terms of Trade Channel

Open Economies Review, 2019. Vol. 30, pp.65-85.  

(Previous version circulated as CEPR Discussion Paper 11911, March 2017.)

 

 

Blanchard and Kahn’s (1980) solution for a linear rational expectations model 

with one state variable and one jump variable: the correct formula

with Stefan Zeugner (European Commission)

The Manchester School, 2018, Vol. 86, pp. 49-51.

 

 

Tractable Likelihood-Based Estimation of Non-Linear DSGE Models

Economics Letters, 2017, Vol. 161, pp.90-92.

Supplementary material is provided in this Appendix .

 

The paper provides a simple and fast method for estimating non-linear DSGE models that are solved using

a second- (or higher-) order accurate approximation. The method is based on observation equation inversion.

The paper focuses on second-order accurate model solutions. It is straightforward to extend the

estimation method to models that are approximated to a higher order--see the Appendix for an application

to third-order approximated models.

 

 

International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences

Journal of Economic Dynamics & Control, 2016. Vol. 72, pp. 115-124.

 

 

Discussion of ‘Market Reforms in the Time of Imbalance’ by M. Cacciatore, R. Duval, G. Fiori and F. Ghironi,

with Lukas Vogel (European Commission)

Journal of Economic Dynamics & Control, 2016, Vol. 72, pp. 94-97.

 

 

The Post-Crisis Slump in the Euro Area and the US: Evidence from an Estimated Three-Region DSGE Model,

with Beatrice Pataracchia, Rafal Raciborski, Marco Ratto, Werner  Roeger and Lukas Vogel (all at European Commission)

European Economic Review, 2016, Vol. 88, pp.21-41.

Not-for-Publication Appendix

Replication Zip file with the Not-for-Publication Appendix, the Dynare code and all data

(Replication file also available on journal web page: https://doi.org/10.1016/j.euroecorev.2016.03.003

https://www.sciencedirect.com/journal/european-economic-review/vol/88/suppl/C  )

Please contact robert_kollmann@yahoo.com if you cannot download the replication file.

 

Key results of this paper are discussed in the VoxEU Column

‘Drivers of the post-crisis slump in the Eurozone and the US’   (April 27, 2017)

http://voxeu.org/article/drivers-post-crisis-slump-eurozone-and-us

 

 

The Post-Crisis Slump

with Eric Leeper (Indiana University) and Werner Roeger (European Commission)

European Economic Review, 2016, Vol. 88, pp.1-2.

 

 

Discussion of ‘Financial Intermediation in a Global Environment’ by V. Nuguer ,

International Journal of Central Banking, 2016, Vol. 12, pp.345-351.

(special issue based on 2015 IJCB Annual Research Conference).

http://www.ijcb.org; http://www.ijcb.org/journal/ijcb16q3a7_disc.pdf

 

 

What Drives the German Current Account? And How Does it Affect Other EU Member States?

with Marco Ratto, Werner Roeger, Jan in’t Veld and Lukas Vogel (all at European Commission).

Economic Policy, 2015, Vol. 30, pp.47-93.

Earlier version published as CEPR DP 9933 (April 2014).

 

 

Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning ,

Computational Economics, 2015, Vol. 45, pp.239-260.

An older version of this paper can be found here: CEPR Discussion Paper 9469 (May 2013).

Code (MATLAB): KOLLMANN_CODE_KalmanQ_May10_2013.zip  [ZIP file];

seeKalmanQ_READ_ME_May10_2013.pdf  for explanations.

 

 

Exchange Rate Dynamics with Long-Run Risk and Recursive Preferences

Open Economies Review, 2015, Vol. 26, pp.175-196.

Also published as CEPR Discussion Paper 10232 (November 2014).

http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=10232

 

 

International Capital Flows and the Boom-Bust Cycle in Spain

with Jan in’t Veld, Beatrice Pataracchia, Marco Ratto and Werner Roeger (European Commission)

Journal of International Money and Finance, 2014, Vol. 48, pp.314-335.

Earlier version published as CEPR DP 9957 (May 2014).

 

 

Current Account Imbalances and International Financial Integration

with Menzie Chinn (University of Wisconsin) and Michael B. Devereux (University of British Columbia)

Journal of International Money and Finance, 2014, Vol. 48, pp. 219-220.

 

 

Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Model,

Journal of Money, Credit and Banking, 2013, Vol. 45 No2, pp.159-195.

An older version of this paper (with some additional results) can be found here: CEPR Discussion Paper 8327 (May 2012)

 

 

The Financial Crisis: Lessons for International Macroeconomics,

with Matthieu Bussičre (Bank of France), Jean Imbs (Paris School of Economics) and Romain Rancičre (Paris School of Economics)

American Economic Journal: Macroeconomics, 2013, Vol.5, pp.75-84.

 

 

Productive Government Expenditures and the Real Exchange Rate,  

with Parantap Basu (Durham University).

The Manchester School, 2013, Vol. 81, pp.461-469.

 

 

Estimating the State Vector of Linearized DSGE Models without the Kalman filter

Economics Letters, 2013, Vol. 120, pp.65-66.

Code (MATLAB): SMOOTHER_no_kalman_RK.m

Also published as ECORE DP 2013-16 (January 2013).

 

 

Fiscal Policy, Banks and the Financial Crisis

with Marco Ratto (European Commission), Werner Roeger (European Commission) and Jan in’t Veld  (European Commission).

Journal of Economic Dynamics & Control, 2013, Vol.37(2), pp.387-403.

(Special issue ‘Fiscal Policy in the Aftermath of the Financial Crisis’).

[Also published as CEPR Discussion Paper 9175, October 2012]

 

 

Fiscal Policy in the Aftermath of the Financial Crisis

with Eric Leeper (Indiana University), Chris Otrok (University of Missouri) and Werner Roeger (European Commission).

Journal of Economic Dynamics & Control, 2013, Vol.37(2), pp. 365-366.

 

 

Financial Contagion,

with Frédéric Malherbe (London Business School).

In: Gerard Caprio (ed.), Handbook of  Safeguarding Global Financial Stability,

Political, Social, Cultural, and Economic Theories and Models, 2013, 

Vol.2, pp.139-143.Oxford: Elsevier.

 

 

Leverage as a Predictor of Real Activity and Volatility,

with Stefan Zeugner (ULB).

Journal of Economic Dynamics & Control, 2012, Vol. 36, pp.1267-1283.

Web Appendix(with detailed additional robustness results).

 

 

Fiscal Policy in a Financial Crisis: Standard Policy vs. Bank Rescue Measures,

with Jan in’t Veld (European Commission) and Werner Roeger (European Commission)

American Economic Review, 2012, Vol. 102(3), pp.77-81

 

International Risk Sharing,

with Michael B. Devereux (University of British Columbia)

Canadian Journal of Economics, 2012, Vol. 54, pp.373-375.

 

 

Limited Asset Market Participation and the Consumption-Real Exchange Rate Anomaly,

Canadian Journal of Economics, 2012, Vol.45, pp.566-584.

 

 

Global Banks, Fiscal Policy and International Business Cycles,  in: ‘Rethinking Global Economic Governance in Light of the Crisis: New Perspectives on Economic Policy Foundations’,

CEPR, 2012 (Richard Baldwin and David Vines, editors), ISBN 978-1-907142-52-9, pp.107-110.

 

 

Global Banking and International Business Cycles,

with Zeno Enders (University of Bonn) and Gernot Müller (University of Bonn),

European Economic Review, 2011, Vol.55, pp.407-426.

Slides for this paper.

 

 

Advances in International Macroeconomics--Lessons from the Crisis,

with Michael B. Devereux (University of British Columbia)  and Werner Roeger (European Commission), 

European Economic Review, 2011, Vol.55, pp.307-308.

 

 

Comparison of Numerical Solutions to a Suite of Multi-Country Models,

with Serguei Maliar (Stanford University), Benjamin Malin (Federal Reserve Board) and Paul Pichler (Austrian National Bank). 

Journal of Economic Dynamics &Control, 2011, Vol.35, pp.186-202.

 (Special issue "Computational Suite of Models with Heterogeneous Agents II: Multi-Country Real Business Cycle Models", edited by Wouter den Haan, Ken Judd and Michel Juillard).

This paper is a contribution to a project that compares numerical solution methods for multi-country dynamic stochastic general equilibrium models.

See den Haan, Judd and Juillard (JEDC, 2011) and Juillard and Villemot (JEDC, 2011).for presentations of the model and of the numerical ‘testbench’.

 

 

Solving the Multi-Country Real Business Cycle Model Using a Perturbation Method,  

with Jinill Kim (Federal Reserve Board) and Sunghyun Kim (Suffolk University).  

Journal of Economic Dynamics &Control, 2011, Vol. 35, pp.203-206.

Kollmann, Maliar, Malin and Pichler (JEDC, 2011) provide detailed additional results beyond those reported in this paper.

The paper is part of the special issue "Computational Suite of Models with Heterogeneous Agents II: Multi-Country Real Business Cycle Models", edited by Wouter den Haan, Ken Judd and Michel Juillard. See den Haan, Judd and Juillard (JEDC, 2011) and Juillard and Villemot (JEDC, 2011).for presentations of the model and of the numerical ‘testbench’.

 

 

Solving the Incomplete Markets Model with Aggregate Uncertainty Using a Perturbation Method, 

with Jinill Kim (Federal Reserve Board) and Sunghyun Kim (Suffolk University).

Journal of Economic Dynamics & Control, 2010,Vol. 34, pp.50-58 (special issue on "Heterogeneous Agents: Incomplete Markets and Aggregate Uncertainty", edited by Wouter den Haan, Ken Judd and Michel Juillard).  This paper is a contribution to a project that compares numerical solution methods for an economy with heterogeneous agents. Please read it in conjunction with the model description (by  den Haan-Judd-Juillard), JEDC, 2010, Vol. 34, pp. 1-3.  Wouter den Haan provides a detailed comparison between the different solution methods (JEDC, 2010, Vol. 34, pp.4-27) ; that comparison paper provides detailed additional results beyond those reported in my paper with J. Kim and S. Kim.

 

 

International Portfolios, Capital Accumulation and the Dynamics of Capital Flows,

with Nicolas Coeurdacier (London Business School) and Philippe Martin (Sciences Po, Paris).

Journal of International Economics, 2010, Vol. 80, pp.100-112.

Technical Appendix

 

Slides for this paper.  Older versions of the paper were published as CEPR DP 6902 (July 2008) and as

Working Paper No 27, The Globalization and Monetary Policy Institute, Fed of Dallas (January 2009).

 

 

Government Purchases and the Real Exchange Rate,

Open Economies Review, 2010, Vol. 21, pp.49-64.

(Special issue "Testing Open Economy Models".) Also published as CEPR Discussion Paper 7427(August 2009).

 

 

Comment on ‘Fiscal Policy, Intercountry Adjustment and the Real Exchange Rate within Europe (C. Allsopp and D. Vines, Oxford University);

in: ‘The Euro—The First Decade’, Cambridge University Press, 2010 (Marco Buti, Servaas Deroose, Vítor Gaspar, and Joăo Nogueira Martins, editors), ISBN 978-9-279-09842-0, pp.552-556.

 

 

Welfare Maximizing Operational Monetary and Tax Policy Rules,

Macroeconomic Dynamics, 2008, Vol. 12, pp. 112-125.   

 

 

International Portfolios with Supply, Demand and Redistributive Shocks, with Nicolas Coeurdacier (London Business School) and Philippe Martin (Sciences Po, Paris), 

NBER International Seminar on Macroeconomics 2007, pp. 231-263 (University of Chicago Press). Published also as: CEPR Discussion Paper 6482 (Sept. 2007) and NBER Working Paper 13424 (Sept. 2007).

 

 

Comment on "International Prices and Productivity: an Empirical Analysis of the Transmission among OECD Countries",

NBER International Seminar on Macroeconomics 2006, pp.186-194  (University of Chicago Press).

 

 

A Dynamic General Equilibrium Model of International Portfolio Holdings: Comment, 

Econometrica, 2006,Vol. 74, pp.269-273.

Technical Appendix.

 

 

Macroeconomic Effects of Nominal Exchange Rates Regimes: New Insights into the Role of Price Dynamics,

Journal of International Money and Finance, 2005, Vol. 24, pp.275-292.Also published in 2004 as CEPR DP 4487.

 

 

Welfare Effects of a Monetary Union: the Role of Trade Openness, 

Journal of the European Economic Association, 2004, Vol. 2, pp.289-301.

A detailed version of that paper appeared as: Monetary Policy Rules in an Interdependent World, 2003, CEPR DP 4012.

 

 

Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles, 

Journal of Monetary Economics, 2002, Vol.49, pp.989-1015.Also published in 2002 as CEPR DP 3279.

 

 

The Exchange Rate in a Dynamic-Optimizing Business Cycle Model with Nominal Rigidities: A Quantitative Investigation,

Journal of International Economics, 2001, Vol. 55, pp. 243-262.

 

 

Explaining International Comovements of Output and Asset Returns: The Role of Money and Nominal Rigidities, 

Journal of Economic Dynamics & Control, 2001, Vol. 25, pp. 1547-1583.

 

 

U.S. Trade Balance Dynamics: the Role of Fiscal Policy and Productivity Shocks and of Financial Market Linkages,

Journal of International Money and Finance, 1998, Vol. 17, pp.637-669. (Early version published in 1995 as Discussion Paper 98, Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis.) 

If downloading the paper takes too much time, please download these two files (pp.637-653 and 654-669, respectively): JIMF 1998 part1,  JIMF 1998 part2

 

 

The Cyclical Behavior of Mark Ups in U.S. Manufacturing and Trade: New Empirical Evidence Based on a Model of Optimal Storage,

Economics Letters, 1997, Vol. 57, pp.331-337.

 

 

Endogenous Fertility in a Model with Non-Dynastic Parental Preferences, 

Journal of Population Economics, 1997. Vol. 10, 87-95.

 

 

Incomplete Asset Markets and the Cross-Country Consumption Correlation Puzzle,

Journal of Economic Dynamics &  Control,  1996,  Vol.20, pp.945-962.

 

 

Consumption, Real Exchange Rates and the Structure of International Asset Markets,

Journal of International Money and Finance,  1995,Vol. 14, pp.191-211.

If downloading the paper takes too much time, please download these two files (pp.191-201 and 202-211, respectively): JIMF 1995 part1,  JIMF 1995 part2 .

 

 

The Correlation of Productivity Growth Across Regions and Industries in the US,

Economics Letters, 1995, Vol. 47, pp.437-443.

 

 

Hidden Unemployment: A Search Theoretic  Interpretation,

Economics Letters, 1994, Vol. 46, pp.351-355.

 

 

The Duration of Unemployment as a Signal, 

Economics Letters, 1994, Vol. 45, pp.373-377.

 

 

"Comment on 'A Forecasting Equation for the Canada-US Dollar Exchange Rate', by R. Amano and S. van Norden",

in: The Exchange Rate and the Economy, Proceedings of 1992 Bank of Canada Conference; Bank of Canada, 1993, Ottawa (ISBN 0-660-15195-2), pp. 266-271.

 

 

 

B) Book Reviews

Book review of "Economic and Monetary Union in Europe: Moving Beyond Maastricht" (Peter Kenen; Cambridge University Press, 1995),

Review of International Economics, 1998, pp.181-182.

 

 

Book review of "Frontiers of Business Cycle Research" (T.Cooley, ed.; Princeton University Press, 1995), 

Journal of Economics (Zeitschrift für Nationalökonomie), 1996, Vol. 63, pp.222-223.

 

 

 

C) Working papers

Speculative Bubbles and Aggregate Boom Bust Cycles  (March 2020)

 

A longer version of the previous paper that also includes a detailed analysis of bubbles in open economies:  

Speculative Bubbles and Aggregate Boom Bust Cycles: Closed and Open Economies  (March 2022)

(This is a substantially revised version of CEPR Discussion Paper 14367, February 2020:

https://cepr.org/active/publications/discussion_papers/dp.php?dpno=14367  )

 

The OLG structure referenced in the previous two papers on bubbles is presented here:

A Tractable Overlapping Generations Structure for Quantitative DSGE Models  (March 2022)

 

 

Global Liquidity Traps (April 2020)

 

 

Risk Sharing in a World Economy with Uncertainty Shocks  (2015)

CEPR Discussion Paper 10940, November 2015 

 

 

Banks and the Domestic and International Propagation of Macroeconomic and Financial Shocks  (2010)

MPRA Working Paper 70349

 

 

Household Heterogeneity and the Real Exchange Rate: Still a Puzzle  (2009)

CEPR Discussion Paper 7301. All data and programs (MATLAB) used in this paper are available upon request.

 

 

International Portfolio Equilibrium and the Current Account (2006)

CEPR Discussion Paper 5512.

Slides for presentation at NBER EFG conference,  New York, Sept. 2006.

 

                                                                                               

Solving Non-Linear Rational Expectations Models: Approximations based on Taylor Expansions (2005)

 

 

Effects of Government Purchases in Open Economies: Empirical Evidence and Predictions of a Dynamic General Equilibrium Model With Nominal Rigidities  (1999)

MPRA Working Paper 70342

 

 

 

 

D)  Ph.D. dissertation

"Essays on International Business Cycles", Economics Department, University of Chicago, 1991. Thesis committee: Michael Woodford (chairman), José Scheinkman, John Huizinga.

 

Chapter 1 (Introduction) and Ch. 2 ("The Structure of International Capital Markets and Common Trends in International Consumption Data: An Empirical Analysis").  To download:  Chapters 1 & 2

 

Ch. 3 ("World Business Cycles and Incomplete International Asset Markets"); PART 3 (pp. 40-71) .

 

Appendix and Bibliography. APPENDIX PART 1 (pp.72-91)APPENDIX PART 2 (pp.91-111).

 

My 1991 dissertation (pp.12-13) showed (inter alia) that efficient international risk sharing countries requires that ratios of Home and Foreign marginal utilities of aggregate consumption are proportional to the relative price of Home vs. Foreign consumption:

                                                                                                    U’(C)/U’(C*)=kP/P*,

with C,C*: aggregate consumption of Home and Foreign households, respectively; P,P*: Home and Foreign consumption prices indices (expressed in a common currency); U’ is the marginal utility of consumption, and k>0 is a date-and-time invariant coefficient (that reflects countries’ relative wealth).  With constant relative risk aversion (identical for both countries), this implies: - s log(C/C*)=log(P/P*), where s>0 is the coefficient of relative risk aversion.   Thus, in an efficient world, relative Home vs. Foreign consumption would be closely linked to the (CPI-based) real exchange rate; a country whose real exchange rate depreciates would experience faster consumption growth than the rest of the world.  The dissertation shows that this prediction is strongly rejected by the data (pp.  22-27). My 1995 Journal of International Money and Finance paper (see above) is based on these results.

 

Two years after my dissertation, David Backus and Gregor Smith (Journal of International Economics, 1993) published a paper that derives the same risk sharing condition; these authors likewise conclude that this condition is rejected empirically.  The literature sometimes refers to the risk sharing condition as the ‘Backus-Smith condition’, and describes the empirical failure of that condition as the ‘Backus-Smith puzzle’. My dissertation independently--and earlier--derived that condition, and it provided empirical tests that are complementary to those of Backus and Smith.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

------------------------------------

Robert Kollman,  Robert Kolman,  Robert Kolmann, R. Kollman,  R. Kolman,  R. Kolmann, Kollmann, Kollman, Kolmann, Kolman, Collmann, Collman, Colmann, Colman,

Robert Collmann, Robert Collman,  Robert Colman,  Robert Colmann, R. Collmann, R. Collman,  R. Colman, R. Colmann

Backus-Smith condition, Backus-Smith puzzle, Backus-Smith equation, Backus Smith equation, Backus Smith condition, Backus Smith puzzle, consumption-real exchange rate anomaly, consumption-real exchange rate puzzle, consumption correlation puzzle, consumption correlation anomaly, bank bail-out