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
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Working Papers
2024
- Perpetual Futures Pricing
Papers, arXiv.org View citations (1)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2024) View citations (1)
2023
- 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)
- 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
- 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
- Should the U.S. Government Issue Floating Rate Notes?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
2019
- 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)
- 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
- 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
- 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
- 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)
- 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 Working Paper Series, European Central Bank (2013) View citations (4) 2006 Meeting Papers, Society for Economic Dynamics (2006)
See also Journal Article Interest rate swaps and corporate default, Journal of Economic Dynamics and Control, Elsevier (2018) View citations (4) (2018)
2010
- 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
- Macroeconomic Effects of Financial Shocks
NBER Working Papers, National Bureau of Economic Research, Inc View citations (59)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (55)
See also Journal Article Macroeconomic Effects of Financial Shocks, American Economic Review, American Economic Association (2012) View citations (588) (2012)
- On the Macroeconomic Effects of Credit Shocks
2009 Meeting Papers, Society for Economic Dynamics
2007
- 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
- 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
- Financial Development and Macroeconomic Stability
2005 Meeting Papers, Society for Economic Dynamics View citations (2)
2002
- 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
- The Size of the Permanent Component of Asset Pricing Kernels
Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (5)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (6)
2000
- Using Asset Prices to Measure the Cost of Business Cycles
Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (16)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (24) Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2000) View citations (16)
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
- 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)
- Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (9) Working Papers, Federal Reserve Bank of Philadelphia (1999) View citations (11)
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
- 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)
- 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
- 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)
- 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 (388) (1997)
Journal Articles
2025
- 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
- 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)
- The pricing of U.S. Treasury floating rate notes
Journal of Financial Economics, 2024, 155, (C)
2023
- 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
- 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
- Cryptocurrencies and Cagan’s model of hyperinflation
Journal of Macroeconomics, 2021, 69, (C)
2020
- 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
- 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
- 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
- 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
- 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
- Erratum: Macroeconomic Effects of Financial Shocks
American Economic Review, 2012, 102, (2), 1186-1186 View citations (487)
- 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, NBER Working Papers (2009) View citations (59) (2009)
2010
- 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
- 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
- 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
- Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
Econometrica, 2005, 73, (6), 1977-2016 View citations (167)
2004
- 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, Weiss Center Working Papers (2000) View citations (16) (2000)
2002
- EconomicDynamics Interviews Urban Jermann on Asset Pricing
EconomicDynamics Newsletter, 2002, 3, (2)
- 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
- 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
- Efficiency, Equilibrium, and Asset Pricing with Risk of Default
Econometrica, 2000, 68, (4), 775-798 View citations (429)
1999
- 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)
- 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
- Asset pricing in production economies
Journal of Monetary Economics, 1998, 41, (2), 257-275 View citations (688)
- 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)
- Synthetic returns on NIPA assets: An international comparison
European Economic Review, 1998, 42, (6), 1141-1172 View citations (1)
1997
- The International Diversification Puzzle Is Worse Than You Think
American Economic Review, 1997, 87, (1), 170-80 View citations (388)
See also Working Paper The International Diversification Puzzle is Worse Than You Think, NBER Working Papers (1995) View citations (8) (1995)
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