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, 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,
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 European Union:
http://ideas.repec.org/top/top.eu.html#authors
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
● ‘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),
●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.
●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
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.
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.
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 Bussičre (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 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 (
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
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,
Solving
Non-Linear Rational Expectations Models: Approximations based on Taylor
Expansions (2005)
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