Details about Urban Joseph Jermann

Access statistics for papers by Urban Joseph Jermann.

Last updated 2024-06-07. Update your information in the RePEc Author Service.

Short-id: pje4

Working Papers

2025

1. Rules versus Discretion in Capital Regulation
   NBER Working Papers, National Bureau of Economic Research, Inc

2024

2. Perpetual Futures Pricing
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   Also in Papers, arXiv.org (2024) View citations (1)

2023

3. Dynamic Banking with Non-Maturing Deposits
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   See also Journal Article Dynamic banking with non-maturing deposits, Journal of Economic Theory, Elsevier (2023) View citations (1) (2023)
4. Gold's Value as an Investment
   NBER Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article Gold’s Value as an Investment, The Review of Financial Studies, Society for Financial Studies (2025) (2025)

2021

5. Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Journal Article Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans, Journal of Financial Services Research, Springer (2024) (2024)

2020

6. Should the U.S. Government Issue Floating Rate Notes?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2019

7. Negative Swap Spreads and Limited Arbitrage
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
   See also Journal Article Negative Swap Spreads and Limited Arbitrage, The Review of Financial Studies, Society for Financial Studies (2020) View citations (20) (2020)
8. The Two-Pillar Policy for the RMB
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (3)
   See also Journal Article The Two‐Pillar Policy for the RMB, Journal of Finance, American Finance Association (2022) View citations (1) (2022)

2016

9. Financial Markets’ Views about the Euro-Swiss Franc Floor
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   See also Journal Article Financial Markets' Views about the Euro–Swiss Franc Floor, Journal of Money, Credit and Banking, Blackwell Publishing (2017) View citations (13) (2017)

2014

10. Sticky Leverage
    2014 Meeting Papers, Society for Economic Dynamics View citations (1)
    See also Journal Article Sticky Leverage, American Economic Review, American Economic Association (2016) View citations (26) (2016)

2013

11. A Production-Based Model for the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Journal Article A production-based model for the term structure, Journal of Financial Economics, Elsevier (2013) View citations (18) (2013)
12. Interest rate swaps and corporate default
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    Also in 2006 Meeting Papers, Society for Economic Dynamics (2006)
    Working Paper Series, European Central Bank (2013) View citations (4)
    See also Journal Article Interest rate swaps and corporate default, Journal of Economic Dynamics and Control, Elsevier (2018) View citations (4) (2018)

2010

13. Asset Pricing When Risk Sharing is Limited by Default
    Levine's Working Paper Archive, David K. Levine
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (13)

2009

14. Macroeconomic Effects of Financial Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (55)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (59)
    See also Journal Article Macroeconomic Effects of Financial Shocks, American Economic Review, American Economic Association (2012) View citations (588) (2012)
15. On the Macroeconomic Effects of Credit Shocks
    2009 Meeting Papers, Society for Economic Dynamics

2007

16. Financial Innovations and Macroeconomic Volatility
    2007 Meeting Papers, Society for Economic Dynamics View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (91)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (81)
    See also Journal Article Financial innovations and macroeconomic volatility, Proceedings, Federal Reserve Bank of San Francisco (2006) View citations (68) (2006)

2006

17. The Equity Premium Implied by Production
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (9)
    See also Journal Article The equity premium implied by production, Journal of Financial Economics, Elsevier (2010) View citations (31) (2010)

2005

18. Financial Development and Macroeconomic Stability
    2005 Meeting Papers, Society for Economic Dynamics View citations (2)

2002

19. Stock Market Boom and the Productivity Gains of the 1990s
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    See also Journal Article Stock market boom and the productivity gains of the 1990s, Journal of Monetary Economics, Elsevier (2007) View citations (55) (2007)

2001

20. The Size of the Permanent Component of Asset Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2001) View citations (5)

2000

21. Using Asset Prices to Measure the Cost of Business Cycles
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (16)
    Also in Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research (2000) View citations (16)
    NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (24)
    See also Journal Article Using Asset Prices to Measure the Cost of Business Cycles, Journal of Political Economy, University of Chicago Press (2004) View citations (126) (2004)

1999

22. Household Production and the Excess Sensitivity of Consumption to Current Income
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (115)
    See also Journal Article Household Production and the Excess Sensitivity of Consumption to Current Income, American Economic Review, American Economic Association (1999) View citations (130) (1999)
23. Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1999) View citations (11)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (9)
    See also Journal Article Quantitative Asset Pricing Implications of Endogenous Solvency Constraints, The Review of Financial Studies, Society for Financial Studies (2001) View citations (109) (2001)

1998

24. International Portfolio Diversification and Endogenous Labour Supply Choice
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
    See also Journal Article International portfolio diversification and endogenous labor supply choice, European Economic Review, Elsevier (2002) View citations (19) (2002)
25. International Portfolio Diversification and Labor/Leisure Choice
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1997) View citations (3)

1995

26. Nontraded Goods, Nontraded Factors, and International Non-Diversification
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    See also Journal Article Nontraded goods, nontraded factors, and international non-diversification, Journal of International Economics, Elsevier (1998) View citations (116) (1998)
27. The International Diversification Puzzle is Worse Than You Think
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (1993) View citations (34)
    See also Journal Article The International Diversification Puzzle Is Worse Than You Think, American Economic Review, American Economic Association (1997) View citations (390) (1997)

Journal Articles

2025

1. Gold’s Value as an Investment
   The Review of Financial Studies, 2025, 38, (2), 422-456
   See also Working Paper Gold's Value as an Investment, NBER Working Papers (2023) (2023)

2024

2. Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans
   Journal of Financial Services Research, 2024, 65, (2), 141-152
   See also Working Paper Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans, NBER Working Papers (2021) View citations (3) (2021)
3. The pricing of U.S. Treasury floating rate notes
   Journal of Financial Economics, 2024, 155, (C)

2023

4. Dynamic banking with non-maturing deposits
   Journal of Economic Theory, 2023, 209, (C) View citations (1)
   See also Working Paper Dynamic Banking with Non-Maturing Deposits, NBER Working Papers (2023) View citations (1) (2023)

2022

5. The Two‐Pillar Policy for the RMB
   Journal of Finance, 2022, 77, (6), 3093-3140 View citations (1)
   See also Working Paper The Two-Pillar Policy for the RMB, FRB Atlanta Working Paper (2019) View citations (3) (2019)

2021

6. Cryptocurrencies and Cagan’s model of hyperinflation
   Journal of Macroeconomics, 2021, 69, (C)

2020

7. Negative Swap Spreads and Limited Arbitrage
   The Review of Financial Studies, 2020, 33, (1), 212-238 View citations (20)
   See also Working Paper Negative Swap Spreads and Limited Arbitrage, NBER Working Papers (2019) View citations (12) (2019)

2018

8. Interest rate swaps and corporate default
   Journal of Economic Dynamics and Control, 2018, 88, (C), 104-120 View citations (4)
   See also Working Paper Interest rate swaps and corporate default, International Finance Discussion Papers (2013) View citations (1) (2013)

2017

9. Financial Markets' Views about the Euro–Swiss Franc Floor
   Journal of Money, Credit and Banking, 2017, 49, (2-3), 553-565 View citations (13)
   See also Working Paper Financial Markets’ Views about the Euro-Swiss Franc Floor, NBER Working Papers (2016) View citations (4) (2016)

2016

10. Sticky Leverage
    American Economic Review, 2016, 106, (12), 3800-3828 View citations (26)
    See also Working Paper Sticky Leverage, 2014 Meeting Papers (2014) View citations (1) (2014)

2013

11. A production-based model for the term structure
    Journal of Financial Economics, 2013, 109, (2), 293-306 View citations (18)
    See also Working Paper A Production-Based Model for the Term Structure, NBER Working Papers (2013) View citations (18) (2013)

2012

12. Erratum: Macroeconomic Effects of Financial Shocks
    American Economic Review, 2012, 102, (2), 1186-1186 View citations (487)
13. Macroeconomic Effects of Financial Shocks
    American Economic Review, 2012, 102, (1), 238-71 View citations (588)
    See also Working Paper Macroeconomic Effects of Financial Shocks, CEPR Discussion Papers (2009) View citations (55) (2009)

2010

14. The equity premium implied by production
    Journal of Financial Economics, 2010, 98, (2), 279-296 View citations (31)
    See also Working Paper The Equity Premium Implied by Production, NBER Working Papers (2006) View citations (4) (2006)

2007

15. Stock market boom and the productivity gains of the 1990s
    Journal of Monetary Economics, 2007, 54, (2), 413-432 View citations (55)
    See also Working Paper Stock Market Boom and the Productivity Gains of the 1990s, NBER Working Papers (2002) View citations (9) (2002)

2006

16. Financial innovations and macroeconomic volatility
    Proceedings, 2006, (Nov) View citations (68)
    See also Working Paper Financial Innovations and Macroeconomic Volatility, 2007 Meeting Papers (2007) View citations (8) (2007)

2005

17. Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
    Econometrica, 2005, 73, (6), 1977-2016 View citations (168)

2004

18. Using Asset Prices to Measure the Cost of Business Cycles
    Journal of Political Economy, 2004, 112, (6), 1223-1256 View citations (126)
    See also Working Paper Using Asset Prices to Measure the Cost of Business Cycles, Working Papers (2000) View citations (16) (2000)

2002

19. EconomicDynamics Interviews Urban Jermann on Asset Pricing
    EconomicDynamics Newsletter, 2002, 3, (2)
20. International portfolio diversification and endogenous labor supply choice
    European Economic Review, 2002, 46, (3), 507-522 View citations (19)
    See also Working Paper International Portfolio Diversification and Endogenous Labour Supply Choice, Weiss Center Working Papers (1998) (1998)

2001

21. Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
    The Review of Financial Studies, 2001, 14, (4), 1117-51 View citations (109)
    See also Working Paper Quantitative Asset Pricing Implications of Endogenous Solvency Constraints, NBER Working Papers (1999) View citations (13) (1999)

2000

22. Efficiency, Equilibrium, and Asset Pricing with Risk of Default
    Econometrica, 2000, 68, (4), 775-798 View citations (429)

1999

23. Household Production and the Excess Sensitivity of Consumption to Current Income
    American Economic Review, 1999, 89, (4), 902-920 View citations (130)
    See also Working Paper Household Production and the Excess Sensitivity of Consumption to Current Income, NBER Working Papers (1999) View citations (115) (1999)
24. 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 (9)

1998

25. Asset pricing in production economies
    Journal of Monetary Economics, 1998, 41, (2), 257-275 View citations (690)
26. Nontraded goods, nontraded factors, and international non-diversification
    Journal of International Economics, 1998, 44, (2), 211-229 View citations (116)
    See also Working Paper Nontraded Goods, Nontraded Factors, and International Non-Diversification, NBER Working Papers (1995) View citations (12) (1995)
27. Synthetic returns on NIPA assets: An international comparison
    European Economic Review, 1998, 42, (6), 1141-1172 View citations (1)

1997

28. The International Diversification Puzzle Is Worse Than You Think
    American Economic Review, 1997, 87, (1), 170-80 View citations (390)
    See also Working Paper The International Diversification Puzzle is Worse Than You Think, NBER Working Papers (1995) View citations (8) (1995)