EconPapers    
Economics at your fingertips  
 

Details about Urban Joseph Jermann

Homepage:http://finance.wharton.upenn.edu/~jermann/
Phone:215 898-4184
Postal address:Finance Department The Wharton School of the University of Pennsylvania 3620 Locust Walk Philadelphia, PA 19104-6367
Workplace:National Bureau of Economic Research (NBER), (more information at EDIRC)
Finance Department, Wharton School of Business, University of Pennsylvania, (more information at EDIRC)

Access statistics for papers by Urban Joseph Jermann.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: pje4


Jump to Journal Articles

Working Papers

2023

  1. Dynamic Banking with Non-Maturing Deposits
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article Dynamic banking with non-maturing deposits, Journal of Economic Theory, Elsevier (2023) Downloads (2023)
  2. Gold's Value as an Investment
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Perpetual Futures Pricing
    Papers, arXiv.org Downloads

2021

  1. Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2020

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

2019

  1. Negative Swap Spreads and Limited Arbitrage
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    See also Journal Article Negative Swap Spreads and Limited Arbitrage, The Review of Financial Studies, Society for Financial Studies (2020) Downloads View citations (13) (2020)
  2. The Two-Pillar Policy for the RMB
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (3)
    See also Journal Article The Two‐Pillar Policy for the RMB, Journal of Finance, American Finance Association (2022) Downloads View citations (1) (2022)

2016

  1. Financial Markets’ Views about the Euro-Swiss Franc Floor
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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) Downloads View citations (12) (2017)

2014

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

2013

  1. A Production-Based Model for the Term Structure
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    See also Journal Article A production-based model for the term structure, Journal of Financial Economics, Elsevier (2013) Downloads View citations (18) (2013)
  2. Interest rate swaps and corporate default
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    Also in Working Paper Series, European Central Bank (2013) Downloads 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) Downloads View citations (3) (2018)

2010

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

2009

  1. Macroeconomic Effects of Financial Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (59)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (55)

    See also Journal Article Macroeconomic Effects of Financial Shocks, American Economic Review, American Economic Association (2012) Downloads View citations (564) (2012)
  2. On the Macroeconomic Effects of Credit Shocks
    2009 Meeting Papers, Society for Economic Dynamics

2007

  1. Financial Innovations and Macroeconomic Volatility
    2007 Meeting Papers, Society for Economic Dynamics Downloads View citations (8)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (81)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (91)

    See also Journal Article Financial innovations and macroeconomic volatility, Proceedings, Federal Reserve Bank of San Francisco (2006) Downloads View citations (57) (2006)

2006

  1. The Equity Premium Implied by Production
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (9)

    See also Journal Article The equity premium implied by production, Journal of Financial Economics, Elsevier (2010) Downloads View citations (31) (2010)

2005

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

2002

  1. Stock Market Boom and the Productivity Gains of the 1990s
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article Stock market boom and the productivity gains of the 1990s, Journal of Monetary Economics, Elsevier (2007) Downloads View citations (54) (2007)

2001

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

2000

  1. Using Asset Prices to Measure the Cost of Business Cycles
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (16)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (24)
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research (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) Downloads View citations (123) (2004)

1999

  1. Household Production and the Excess Sensitivity of Consumption to Current Income
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (114)
    See also Journal Article Household Production and the Excess Sensitivity of Consumption to Current Income, American Economic Review, American Economic Association (1999) Downloads View citations (129) (1999)
  2. Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1999) Downloads View citations (11)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research Downloads 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

  1. 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) Downloads View citations (19) (2002)
  2. International Portfolio Diversification and Labor/Leisure Choice
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1997) Downloads View citations (3)

1995

  1. Nontraded Goods, Nontraded Factors, and International Non-Diversification
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    See also Journal Article Nontraded goods, nontraded factors, and international non-diversification, Journal of International Economics, Elsevier (1998) Downloads View citations (116) (1998)
  2. The International Diversification Puzzle is Worse Than You Think
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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) Downloads View citations (384) (1997)

Journal Articles

2023

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

2022

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

2021

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

2020

  1. Negative Swap Spreads and Limited Arbitrage
    The Review of Financial Studies, 2020, 33, (1), 212-238 Downloads View citations (13)
    See also Working Paper Negative Swap Spreads and Limited Arbitrage, NBER Working Papers (2019) Downloads View citations (12) (2019)

2018

  1. Interest rate swaps and corporate default
    Journal of Economic Dynamics and Control, 2018, 88, (C), 104-120 Downloads View citations (3)
    See also Working Paper Interest rate swaps and corporate default, International Finance Discussion Papers (2013) Downloads View citations (1) (2013)

2017

  1. Financial Markets' Views about the Euro–Swiss Franc Floor
    Journal of Money, Credit and Banking, 2017, 49, (2-3), 553-565 Downloads View citations (12)
    See also Working Paper Financial Markets’ Views about the Euro-Swiss Franc Floor, NBER Working Papers (2016) Downloads View citations (4) (2016)

2016

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

2013

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

2012

  1. Erratum: Macroeconomic Effects of Financial Shocks
    American Economic Review, 2012, 102, (2), 1186-1186 Downloads View citations (463)
  2. Macroeconomic Effects of Financial Shocks
    American Economic Review, 2012, 102, (1), 238-71 Downloads View citations (564)
    See also Working Paper Macroeconomic Effects of Financial Shocks, NBER Working Papers (2009) Downloads View citations (59) (2009)

2010

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

2007

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

2006

  1. Financial innovations and macroeconomic volatility
    Proceedings, 2006, (Nov) Downloads View citations (57)
    See also Working Paper Financial Innovations and Macroeconomic Volatility, 2007 Meeting Papers (2007) Downloads View citations (8) (2007)

2005

  1. Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
    Econometrica, 2005, 73, (6), 1977-2016 Downloads View citations (164)

2004

  1. Using Asset Prices to Measure the Cost of Business Cycles
    Journal of Political Economy, 2004, 112, (6), 1223-1256 Downloads View citations (123)
    See also Working Paper Using Asset Prices to Measure the Cost of Business Cycles, Working Papers (2000) Downloads View citations (16) (2000)

2002

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

2001

  1. 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) Downloads View citations (12) (1999)

2000

  1. Efficiency, Equilibrium, and Asset Pricing with Risk of Default
    Econometrica, 2000, 68, (4), 775-798 View citations (415)

1999

  1. Household Production and the Excess Sensitivity of Consumption to Current Income
    American Economic Review, 1999, 89, (4), 902-920 Downloads View citations (129)
    See also Working Paper Household Production and the Excess Sensitivity of Consumption to Current Income, NBER Working Papers (1999) Downloads View citations (114) (1999)
  2. 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 Downloads View citations (10)

1998

  1. Asset pricing in production economies
    Journal of Monetary Economics, 1998, 41, (2), 257-275 Downloads View citations (671)
  2. Nontraded goods, nontraded factors, and international non-diversification
    Journal of International Economics, 1998, 44, (2), 211-229 Downloads View citations (116)
    See also Working Paper Nontraded Goods, Nontraded Factors, and International Non-Diversification, NBER Working Papers (1995) Downloads View citations (12) (1995)
  3. Synthetic returns on NIPA assets: An international comparison
    European Economic Review, 1998, 42, (6), 1141-1172 Downloads View citations (1)

1997

  1. The International Diversification Puzzle Is Worse Than You Think
    American Economic Review, 1997, 87, (1), 170-80 Downloads View citations (384)
    See also Working Paper The International Diversification Puzzle is Worse Than You Think, NBER Working Papers (1995) Downloads View citations (8) (1995)
 
Page updated 2024-05-25