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 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, PEGGED (Politics, Economics and Global
Governance) network (2008-).
Research Associate, Globalization and Monetary
Policy Institute, Federal Reserve Bank of Dallas (2009-).
HCM Fellow, Economics Department,
Summer Intern, Rand Corporation,
Research Assistant,
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:
‘First Brussels Conference on International
Macroeconomics and Finance’ (co-organized by ECARES, the Centre for Economic
Policy Research, University of
‘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),
Conference on ‘International Risk Sharing’
(co-organized by Review of International Economics, Bank of Canada and ECARES),
Conference on ‘Advances in Business Cycle
Research: Lessons from the Crisis’ (ECARES, Euro-Area Business Cycle network,
National Bank of
Conference on ‘The Financial Crisis: Lessons for
International Macroeconomics’ (American Economic Journal: Macroeconomics
[AEJ-Macro], ECARES, Banque de France, Paris School of Economics, CEPR),
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.
Local organizer, Annual conference of Society for Economic
Dynamics,
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-).
Rankings of
Economists in
http://ideas.repec.org/top/top.belgium.html
http://ideas.repec.org/top/top.eu.html#authors
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
Fiscal Policy in a
Financial Crisis: Standard Policy vs. Bank Rescue Measures,
with Jan in’t Veld (European
Commission) and Werner
Roeger (European Commission)
Forthcoming (2012) in: American
Economic Review (Papers and Proceedings).
Limited Asset Market Participation and the Consumption-Real Exchange Rate Anomaly,
Forthcoming (2012) in: Canadian Journal of Economics.
Also published in 2009 as CEPR Discussion Paper 7542.
With Michael B. Devereux
(
Forthcoming
(2012) in: Canadian Journal of Economics
Leverage as a Predictor
of Real Activity and Volatility,
with Stefan Zeugner (ECARES).
Forthcoming in: Journal
of Economic Dynamics and Control.
Web
Appendix (with
detailed additional robustness results)
An older version was published
in 2011 as CEPR Discussion Paper 8327.
Productive
Government Expenditures and the Real Exchange Rate,
with Parantap Basu (
Forthcoming (2012) in: The
Financial Contagion, 2010,
with Frédéric
Malherbe (
Forthcoming in Encyclopedia of Financial Globalization (Elsevier), Jerry Caprio (ed.)
Global Banking and
International Business Cycles,
with Zeno Enders (
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
(
European Economic Review, 2011, Vol.55,
pp.307-308.
Comparison of Numerical
Solutions to a Suite of Multi-Country Models,
with Serguei Maliar (
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 (
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 (
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 (
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 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
(
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.
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.
B) Working
papers
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,
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.
C) Ph.D. dissertation
"Essays on International Business
Cycles", Economics Department,
● 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
●
● 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 condition, Backus Smith puzzle, consumption-real exchange
rate anomaly, consumption-real exchange rate puzzle,
consumption correlation puzzle,
consumption correlation anomaly