Prof. Robert Kollmann                                                                                              January 26, 2012

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

 

Research interests: macroeconomics, banking, international finance, public finance, computational economics

 

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, 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, 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:

 ‘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.

 

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, 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-). 

 

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

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

 

 

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

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.

 

 

International Risk Sharing,

With Michael B. Devereux (University of British Columbia)

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 (Durham University).

Forthcoming (2012) in: The Manchester School.

 

 

Financial Contagion, 2010,

with Frédéric Malherbe (London Business School).

Forthcoming in Encyclopedia of Financial Globalization (Elsevier), Jerry Caprio (ed.)

 

 

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.

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 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,  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.

 

 

 

C)  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.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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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