Call for Papers
for Conference (special issue JEDC)
“Secular Stagnation, Low
Interest Rates and Low Inflation”
Brussels, 5-6
November 2020
--------------------------------------------------------------------------------------------
New Papers:
“Rational Bubbles in Non-Linear Business Cycle Models: Closed
and Open Economies“; SLIDES
(updated February 21, 2020) [Published as CEPR DP
14367 (January 2020), https://cepr.org/active/publications/discussion_papers/dp.php?dpno=14367
]
ABSTRACT: This paper studies rational bubbles
in non-linear dynamic general equilibrium models of the macroeconomy. The term ‘rational bubbles’ refers to multiple equilibria arising
from the absence of a transversality condition (TVC) for capital. The
lack of TVC can be due to an overlapping generations
structure. Rational bubbles reflect self-fulfilling fluctuations in agents’
expectations about future investment. In contrast to explosive rational bubbles
in linearized models (Blanchard (1979)), the rational bubbles in non-linear
models here are stable and bounded. Bounded bubbles can generate persistent
fluctuations of real activity, and capture key business cycle stylized facts.
Both closed and open economies are analyzed. In a
non-linear two-country model with integrated financial markets, bubbles must be
perfectly correlated across countries.
“Liquidity Traps in a Monetary Union” (August 8, 2020)
ABSTRACT: The closed economy macro literature
has shown that a liquidity trap can result from the self-fulfilling expectation
that future inflation and output will be low (Benhabib et al. (2001)). This paper
investigates expectations-driven liquidity traps in a two-country New Keynesian
model of a monetary union. In the model here, country-specific productivity
shocks induce synchronized responses of domestic and foreign output, while
country-specific aggregate demand shocks trigger asymmetric domestic and
foreign responses. A rise in government purchases in an individual country
lowers GDP in the rest of the union. The result here cast doubt on the view that,
in the current era of ultra-low interest rates, a rise in fiscal spending by
Euro Area (EA) core countries would significantly boost GDP in the EA periphery
(e.g. Blanchard et al. (2016)).
--------------------------------------------------------------------------------------------
Address:
Solvay Brussels School of Economics and
Management (SBS-EM),
Université Libre
de Bruxelles, CP 114
50 Avenue Franklin Roosevelt
B-1050
robert_kollmann@yahoo.com
robert.kollmann@ulb.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.)
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 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,
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, PEGGED (Politics,
Economics and Global Governance) network, funded
by European Commission (FP7)(2008-12).
Team Leader, MACFINROBODS
(Integrated Macro-Financial Modelling for Robust Policy Design) network, funded
by European Commission (FP7)(2014-17)
Team Leader, CoPFiR (Community of Practice in Financial Research), network of
leading European Universities, coordinated by European Commission (Joint Research
Centre), 2017-
Editorial experience:
Associate Editor, Journal of International Money and Finance (2018-)
Associate Editor, Journal of International Economics (2016-)
Co-Editor, Economics e-journal (2007-). www.economics-ejournal.org
Associate Editor, Open Economies Review (2010-)
Member of Editorial Board, Central Bank Review (2016-)
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.
Other professional experience:
Research 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;
Honors:
Commander of the
Order of the Crown (Commandeur de l’Ordre de la Couronne),
Rankings of Economists in
http://ideas.repec.org/top/top.belgium.html
http://ideas.repec.org/top/top.eu.html#authors
Member of programme/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
● ‘Second Brussels Conference on International Macroeconomics and
Finance’ (co-organized by ULB, 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 ULB), Brussels, July
2010.
●Conference on ‘International Risk Sharing’
(co-organized by Review of International Economics, Bank of Canada and ULB),
●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,
●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,
● 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.
●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,
2007-2011, 2016.
●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 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
A)
Published or forthcoming
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.
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.
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.
with Lukas Vogel (European Commission)
Journal of Economic
Dynamics & Control, 2016. Vol. 72, pp.
94-97.
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.
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’ (
http://voxeu.org/article/drivers-post-crisis-slump-eurozone-and-us
with Eric Leeper (
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).
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 (
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 Bussière (Bank of
American Economic Journal: Macroeconomics, 2013, Vol.5, pp.75-84.
Productive Government Expenditures and the Real Exchange Rate,
with Parantap Basu (Durham
University).
The
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.
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
with Michael B. Devereux (
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 (
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.
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
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).
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 (
NBER International
Seminar on Macroeconomics 2007, pp. 231-263 (
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.
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.
Journal of International Economics, 2001, Vol. 55, pp. 243-262.
Journal of Economic Dynamics & Control, 2001, Vol. 25, pp. 1547-1583.
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
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.
in: The Exchange
Rate and the Economy, Proceedings of 1992 Bank of
B) Book Reviews
Review of International Economics, 1998, pp.181-182.
Journal of Economics (Zeitschrift für Nationalökonomie), 1996, Vol. 63,
pp.222-223.
C)
Working papers
Liquidity Traps in a Monetary Union (August 2020)
Global Liquidity Traps (April 2020)
Rational Bubbles in Non-Linear Business Cycle Models: Closed and Open Economies ; SLIDES
CEPR Discussion Paper 14367, February 2020
https://cepr.org/active/publications/discussion_papers/dp.php?dpno=14367
Stationary Rational Bubbles in Non-Linear Business
Cycle Models , April 2019
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 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.
MPRA Working Paper
70342
D) Ph.D. dissertation
"Essays on
International Business Cycles", Economics
Department,
● Chapter 1 (Introduction) and
●
● 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