NEW: Conference on ‘Current Account Imbalances
and International Financial Integration’
(co-organized by the European
Commission, the Journal of International Money and Finance, CEPR, ECARES,
UBC, UC Santa Cruz, Tilburg
University and the University of Wisconsin), Brussels, December 6-7, 2013.
Call for
papers. Submissions deadline: August 19, 2013
Address:
European Centre for Advances Research in
Economics and Statistics, ECARES
Université Libre de Bruxelles, CP 114
50 Avenue Franklin Roosevelt
B-1050 Brussels; Belgium
robert_kollmann@yahoo.com
robert.kollmann@ulb.ac.be
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.)
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-).
Other affiliations/professional
experience:
Research Fellow, Centre for Economic
Policy Research, CEPR (2002-).
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, PEGGED (Politics,
Economics and Global Governance) network (2008-).
HCM 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;
Member of programme/scientific committees
of research conferences and workshops, editorial positions:
‘First Brussels Conference on International
Macroeconomics and Finance’ (co-organized by ECARES, 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
ECARES, the Centre for Economic Policy Research, the World Economy and Finance
programme 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 and ECARES), Brussels, July 2010.
Conference on
‘International Risk Sharing’ (co-organized by Review of International
Economics, Bank of Canada and ECARES), Brussels, October 2010.
Conference on
‘Advances in Business Cycle Research: Lessons from the Crisis’ (ECARES,
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], ECARES, 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, ECARES,
Indiana University and the Journal of Economic Dynamics and Control), Brussels,
March 2012.
Conference on ‘'International Capital
Flows and Spillovers in a Post-Crisis World' (co-organized by ECARES, 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, ECARES, UBC,
UC Santa Cruz, Tilburg University and the University of Wisconsin), December
6-7, 2013. Call for papers.
Organized sessions
on "International Capital Flows" at the Annual meetings of the
American Economic Association, 2007, 2008, and 2009.
Member of programme committee, Annual
congress of European Economic Association, 2005, 2007, 2008, 2009, 2010 and
2011.
Member of programme committee, Annual
congress of German Economics Association, 2003, 2004 and 2013.
Local organizer, Annual conference of
Society for Economic Dynamics, Gent (Belgium), July 7-9, 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-).
Associate Editor, economics e-journal (2007-). www.economics-ejournal.org
Associate Editor, Open Economies Review (2010-), Springer.
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 ‘Fiscal Policy in the Aftermath of the Financial Crisis’, Journal of Economic Dynamics and Control,
2013, Vol. 37(2)
Guest editor,
special issue ‘Macroeconomics and Financial Intermediation: Directions since
the Crisis’, Journal of Money, Credit and
Banking, to be published in 2013.
Rankings of Economists in Belgium and in
European Union:
http://ideas.repec.org/top/top.belgium.html
http://ideas.repec.org/top/top.eu.html#authors
Research 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
A) Published or forthcoming
The Financial Crisis: Lessons for
International Macroeconomics , 2013
with Matthieu Bussière (Bank of France),
Jean Imbs (Paris School of Economics) and Romain Rancière (Paris School of
Economics)
Forthcoming in: American Economic Journal:
Macroeconomics.
Productive
Government Expenditures and the Real Exchange Rate,
2012
with
Parantap
Basu (Durham University).
Forthcoming
in: The
Manchester School.
doi:
10.1111/j.1467-9957.2012.02295.x
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 and 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 and Control, 2013,
Vol.
37(2), pp. 365-366.
(Special
issue ‘Fiscal Policy in the Aftermath of the Financial Crisis’).
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 (ECARES).
Journal
of Economic Dynamics and Control, 2012, Vol.
36, pp.1267-1283.
Web Appendix (with
detailed additional robustness results)
An
older version was published in 2011 as CEPR Discussion Paper 8327.
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
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 and 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 and 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 and 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
heterogenous 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.
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 João 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.
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 and 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
and 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
Tractable Latent State Filtering
for Non-Linear DSGE Models Using a Second-Order Approximation
CEPR Discussion Paper
9469 (May 2013).
Code (MATLAB): KOLLMANN_CODE_KalmanQ_May10_2013.zip [ZIP file];
see KalmanQ_READ_ME_May10_2013.pdf
for explanations.
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; European Commission)
Working Paper, March
2013. This paper has been commissioned by the journal Economic Policy (Blackwell)
for presentation at the
59th Panel Meeting of Economic
Policy, CEPR-CESifo-Paris School of Economics (April 2014).
Global
Banks, Financial Shocks and International Business Cycles: Evidence from an
Estimated Model , 2012
CEPR Discussion Paper 8327 (May 2012)
Household Heterogeneity and the Real Exchange
Rate: Still a Puzzle, 2009
CEPR
Discussion Paper 7301. All data and programmes (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. Working Paper.
"The
Sensitivity of Macroeconomic Fluctuations to the Degree of Price
Stickiness", Working Paper 2000.
"Fiscal
Policy in Open Economies with Nominal Rigidities: a General Equilibrium Perspective",
Working Paper, 2000.
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 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, 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
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