Details about Urban Joseph Jermann

Access statistics for papers by Urban Joseph Jermann.

Last updated 2007-02-15. Update your information in the RePEc Author Service.

Short-id: pje4

Working Papers

2006

1. Financial Innovations and Macroeconomic Volatility
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in
   NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations
2. Interest Rate Swap and Corporate Default
   2006 Meeting Papers, Society for Economic Dynamics
3. The Equity Premium Implied by Production
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in
   2005 Meeting Papers, Society for Economic Dynamics (2005) View citations

2005

4. Financial Development and Macroeconomic Stability
   2005 Meeting Papers, Society for Economic Dynamics

2002

5. Stock Market Boom and the Productivity Gains of the 1990s
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2001

6. The Size of the Permanent Component of Asset Pricing Kernels
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2000

7. Using Asset Prices to Measure the Cost of Business Cycles
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in
   Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research (2000) View citations
   See Also Journal Article in Journal of Political Economy (2004)

1999

8. Household Production and the Excess Sensitivity of Consumption to Current Income
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See Also Journal Article in American Economic Review (1999)
9. Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations
   Working Papers, Federal Reserve Bank of Philadelphia (1999) View citations
   See Also Journal Article in Review of Financial Studies (2001)

1998

10. Asset Pricing when Risk Sharing is Limited by Default
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
11. International Portfolio Diversification and Endogenous Labour Supply Choice
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
    See Also Journal Article in European Economic Review (2002)
12. International Portfolio Diversification and Labor/Leisure Choice
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1997)

1995

13. Nontraded Goods, Nontraded Factors, and International Non-Diversification
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of International Economics (1998)
14. The International Diversification Puzzle is Worse Than You Think
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (1993) View citations
    See Also Journal Article in American Economic Review (1997)

Journal Articles

2005

1. Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
   Econometrica, 2005, 73, (6), 1977-2016 View citations

2004

2. Using Asset Prices to Measure the Cost of Business Cycles
   Journal of Political Economy, 2004, 112, (6), 1223-1256 View citations
   See Also Working Paper (2000)

2002

3. EconomicDynamics Interviews Urban Jermann on Asset Pricing
   EconomicDynamics Newsletter, 2002, 3, (2)
4. International portfolio diversification and endogenous labor supply choice
   European Economic Review, 2002, 46, (3), 507-522 View citations
   See Also Working Paper (1998)

2001

5. Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
   Review of Financial Studies, 2001, 14, (4), 1117-51 View citations
   See Also Working Paper (1999)

2000

6. Efficiency, Equilibrium, and Asset Pricing with Risk of Default
   Econometrica, 2000, 68, (4), 775-798 View citations

1999

7. Household Production and the Excess Sensitivity of Consumption to Current Income
   American Economic Review, 1999, 89, (4), 902-920 View citations
   See Also Working Paper (1999)
8. Social security and institutions for intergenerational, intragenerational, and international risk-sharing: A comment
   Carnegie-Rochester Conference Series on Public Policy, 1999, 50, (1), 205-212 View citations

1998

9. Asset pricing in production economies
   Journal of Monetary Economics, 1998, 41, (2), 257-275 View citations
10. Nontraded goods, nontraded factors, and international non-diversification
    Journal of International Economics, 1998, 44, (2), 211-229 View citations
    See Also Working Paper (1995)
11. Synthetic returns on NIPA assets: An international comparison
    European Economic Review, 1998, 42, (6), 1141-1172 View citations

1997

12. The International Diversification Puzzle Is Worse Than You Think
    American Economic Review, 1997, 87, (1), 170-80 View citations
    See Also Working Paper (1995)