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Details about George G. Pennacchi

Homepage:http://business.illinois.edu/gpennacc/
Workplace:Department of Finance, College of Business, University of Illinois at Urbana-Champaign, (more information at EDIRC)

Access statistics for papers by George G. Pennacchi.

Last updated 2012-06-11. Update your information in the RePEc Author Service.

Short-id: ppe479


Jump to Journal Articles Chapters

Working Papers

2018

  1. Why do banks target ROE?
    Staff Reports, Federal Reserve Bank of New York Downloads

2015

  1. Discounting Pension Liabilities: Funding versus Value
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Chapter (2015)

2011

  1. Inflation expectations, real rates, and risk premia: evidence from inflation swaps
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (22)
    See also Journal Article in Review of Financial Studies (2012)

2010

  1. A structural model of contingent bank capital
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (27)
  2. Contingent Capital: The Case for COERCs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
  3. Portfolio Allocation for Public Pension Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in Journal of Pension Economics and Finance (2011)

2008

  1. Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (25)

2007

  1. Harming depositors and helping borrowers: the disparate impact of bank consolidation
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (16)
    See also Journal Article in Review of Financial Studies (2009)

2001

  1. Bank Consolidation and Consumer Loan Interest Rates
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (4)

1998

  1. Government guarantees on pension fund returns
    Social Protection Discussion Papers and Notes, The World Bank Downloads View citations (1)

1997

  1. Estimating the cost of U.S. indexed bonds
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (1)

1996

  1. Bank deposit rate clustering: theory and empirical evidence
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (4)

1992

  1. A framework for estimating the value and interest rate risk of retail bank deposits
    Working Paper Series, Issues in Financial Regulation, Federal Reserve Bank of Chicago View citations (1)
  2. Deriving developing country repayment capacity from the market prices of sovereign debt
    Policy Research Working Paper Series, The World Bank Downloads View citations (2)

1991

  1. Security Baskets and Index-Linked Securities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (5)

    See also Journal Article in The Journal of Business (1993)

1990

  1. Banks and Loan Sales: Marketing Non-Marketable Assets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in Journal of Monetary Economics (1995)

1985

  1. Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

Undated

  1. An Empirical Investigation of Bond Prices and Inflation
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  2. Are Loan Sales Really Off-Balance Sheet
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (6)
  3. Banks and Loan Sales: Marketing Non-Marketable Assets (Reprint 051)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  4. Effects of Non-Assumable Mortgage Finance on Housing Demand and Relocation Decisions
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  5. Government Guarantees for Old Age Income
    Pension Research Council Working Papers, Wharton School Pension Research Council, University of Pennsylvania View citations (3)
  6. Information Disclosure and Bank Runs
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  7. Loan Sales and the Cost of Bank Capital
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  8. Optimal Portfolio Choice and the Collapse of a Fixed-Exchange Rate Regime
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
    See also Journal Article in Journal of International Economics (1989)
  9. Partial Deposit, Bank Runs and Private Deposit Insurance
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  10. Serial Correlation of Asset Returns and Optimal Portfolios for the Short and Long Term
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  11. Transaction Contracts
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

Journal Articles

2012

  1. Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps
    Review of Financial Studies, 2012, 25, (5), 1588-1629 Downloads View citations (31)
    See also Working Paper (2011)

2011

  1. Portfolio allocation for public pension funds
    Journal of Pension Economics and Finance, 2011, 10, (02), 221-245 Downloads View citations (11)
    See also Working Paper (2010)

2010

  1. Special Issue: Risk Transfer Mechanisms and Financial Stability
    Journal of Financial Intermediation, 2010, 19, (3), 305-307 Downloads

2009

  1. Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence
    Journal of Financial and Quantitative Analysis, 2009, 44, (04), 745-775 Downloads View citations (24)
  2. Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation
    Review of Financial Studies, 2009, 22, (1), 1-40 Downloads View citations (30)
    See also Working Paper (2007)

2008

  1. Restructuring Retirement Risks. Edited by Blitzstein David, S. Mitchell Olivia, and P. Utkus Stephen. Oxford University Press, 2006, ISBN 0-19-920465-9, 272 pages
    Journal of Pension Economics and Finance, 2008, 7, (03), 363-365 Downloads
  2. Special issue: Banking and bank regulation: Challenges for the future
    Journal of Financial Intermediation, 2008, 17, (4), 509-510 Downloads

2006

  1. Deposit insurance, bank regulation, and financial system risks
    Journal of Monetary Economics, 2006, 53, (1), 1-30 Downloads View citations (75)

2005

  1. Risk-based capital standards, deposit insurance, and procyclicality
    Journal of Financial Intermediation, 2005, 14, (4), 432-465 Downloads View citations (33)

2003

  1. Introduction: Special Issue on Pricing the Risks of Deposit Insurance
    Journal of Financial Services Research, 2003, 24, (2), 89-92 Downloads View citations (3)
  2. The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach
    Journal of Financial Services Research, 2003, 24, (2), 121-148 Downloads View citations (13)

2002

  1. Bank deposit insurance and business cycles: controlling the volatility of risk-based premiums
    Conference Series ; [Proceedings], 2002 Downloads View citations (2)

2001

  1. Comments on Morgan and Stiroh
    Journal of Financial Services Research, 2001, 20, (2), 209-211 Downloads View citations (1)

2000

  1. Comment on Incentives for Banking Megamergers: What Motives Might Regulators Infer from Event-Study Evidence?
    Journal of Money, Credit and Banking, 2000, 32, (3), 702-05 View citations (1)

1999

  1. The Effects of Setting Deposit Insurance Premiums to Target Insurance Fund Reserves
    Journal of Financial Services Research, 1999, 16, (2), 153-180 Downloads View citations (6)

1998

  1. Comment on "Intermediation and Vertical Integration."
    Journal of Money, Credit and Banking, 1998, 30, (3), 520-23
  2. Deposit insurance premiums and the value of the banking insurance fund: should they be linked?
    Proceedings, 1998, (Sep)

1996

  1. Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds
    Journal of Financial and Quantitative Analysis, 1996, 31, (01), 109-126 Downloads View citations (36)
  2. Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits
    Journal of Financial and Quantitative Analysis, 1996, 31, (03), 399-417 Downloads View citations (38)
  3. The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures
    Journal of Money, Credit and Banking, 1996, 28, (3), 426-46 Downloads View citations (61)
    Also in Proceedings, 1996, (Aug), 426-451 (1996) View citations (27)

1995

  1. Banks and loan sales Marketing nonmarketable assets
    Journal of Monetary Economics, 1995, 35, (3), 389-411 Downloads View citations (163)
    See also Working Paper (1990)
  2. The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis
    Journal of Financial Intermediation, 1995, 4, (3), 242-271 Downloads View citations (13)

1994

  1. The Value of Pension Benefit Guaranty Corporation Insurance
    Journal of Money, Credit and Banking, 1994, 26, (3), 735-53 Downloads View citations (9)
    Also in Proceedings, 1994, 735-756 (1994) View citations (15)

1993

  1. Security Baskets and Index-Linked Securities
    The Journal of Business, 1993, 66, (1), 1-27 Downloads View citations (71)
    See also Working Paper (1991)

1992

  1. The opening of new markets for bank assets
    Proceedings, 1992, 3-38

1991

  1. Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data
    Review of Financial Studies, 1991, 4, (1), 53-86 Downloads View citations (66)

1990

  1. Financial Intermediaries and Liquidity Creation
    Journal of Finance, 1990, 45, (1), 49-71 Downloads View citations (291)
  2. Valuation of Interest Payment Guarantees on Developing Country Debt
    IMF Staff Papers, 1990, 37, (4), 806-824 Downloads View citations (2)

1989

  1. Banks and loan sales: evidence of implicit contracts
    Proceedings, 1989
  2. Optimal portfolio choice and the collapse of a fixed-exchange rate regime
    Journal of International Economics, 1989, 27, (1-2), 1-24 Downloads View citations (12)
    See also Working Paper

1987

  1. A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance
    Journal of Money, Credit and Banking, 1987, 19, (3), 340-60 Downloads View citations (41)
  2. Alternative forms of deposit insurance: Pricing and bank incentive issues
    Journal of Banking & Finance, 1987, 11, (2), 291-312 Downloads View citations (35)

Chapters

2015

  1. Discounting Pension Liabilities: Funding versus Value
    A chapter in The Impact of Reforms of State Retirement Plans, 2015, pp 254-284 View citations (3)
    See also Working Paper (2015)

2009

  1. Comment on "Pricing Personal Account Benefit Guarantees: A Simplified Approach"
    A chapter in Social Security Policy in a Changing Environment, 2009, pp 249-254 Downloads
 
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