Details about George G. Pennacchi
Access statistics for papers by George G. Pennacchi.
Last updated 2020-07-06. Update your information in the RePEc Author Service.
Short-id: ppe479
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Working Papers
2018
- Why Do Banks Target ROE?
Liberty Street Economics, Federal Reserve Bank of New York View citations (4)
Also in Staff Reports, Federal Reserve Bank of New York (2018) View citations (4)
2015
- Discounting Pension Liabilities: Funding versus Value
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
See also Chapter Discounting Pension Liabilities: Funding versus Value, NBER Chapters, National Bureau of Economic Research, Inc (2015) View citations (8) (2015)
2011
- Inflation expectations, real rates, and risk premia: evidence from inflation swaps
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (26)
See also Journal Article Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps, The Review of Financial Studies, Society for Financial Studies (2012) View citations (102) (2012)
2010
- A structural model of contingent bank capital
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (34)
- Contingent Capital: The Case for COERCs
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
- Portfolio Allocation for Public Pension Funds
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
See also Journal Article Portfolio allocation for public pension funds*, Journal of Pension Economics and Finance, Cambridge University Press (2011) View citations (21) (2011) Chapter Portfolio Allocation for Public Pension Funds, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (1) (2010)
2008
- 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 View citations (27)
2007
- Harming depositors and helping borrowers: the disparate impact of bank consolidation
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (17)
Also in Proceedings, Federal Reserve Bank of Chicago (2004) View citations (11)
See also Journal Article Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation, The Review of Financial Studies, Society for Financial Studies (2009) View citations (51) (2009)
2001
- Bank Consolidation and Consumer Loan Interest Rates
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (4)
Also in Proceedings, Federal Reserve Bank of Chicago (2000) View citations (7)
- Estimating fair deposit insurance premiums for a sample of banks under a new long-term insurance pricing methodology
Proceedings, Federal Reserve Bank of Chicago
1998
- Government guarantees on pension fund returns
Social Protection Discussion Papers and Notes, The World Bank View citations (1)
1997
- Estimating the cost of U.S. indexed bonds
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (1)
1996
- Bank deposit rate clustering: theory and empirical evidence
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (4)
See also Journal Article Bank Deposit Rate Clustering: Theory and Empirical Evidence, Journal of Finance, American Finance Association (1999) View citations (65) (1999)
1992
- 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)
- Deriving developing country repayment capacity from the market prices of sovereign debt
Policy Research Working Paper Series, The World Bank View citations (2)
- Nonbanks and the future of banking
Proceedings, Federal Reserve Bank of Chicago
1991
- Security Baskets and Index-Linked Securities
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
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 Security Baskets and Index-Linked Securities, The Journal of Business, University of Chicago Press (1993) View citations (96) (1993)
1990
- Banks and Loan Sales: Marketing Non-Marketable Assets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
See also Journal Article Banks and loan sales Marketing nonmarketable assets, Journal of Monetary Economics, Elsevier (1995) View citations (251) (1995)
1987
- Market discipline, information disclosure, and uninsured deposits
Proceedings, Federal Reserve Bank of Chicago
1985
- An empirical analysis of bank risk
Proceedings, Federal Reserve Bank of Chicago
- Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
Undated
- 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
- 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)
- 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
- 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
- Government Guarantees for Old Age Income
Pension Research Council Working Papers, Wharton School Pension Research Council, University of Pennsylvania View citations (3)
- Information Disclosure and Bank Runs
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
- 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
- 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 Optimal portfolio choice and the collapse of a fixed-exchange rate regime, Journal of International Economics, Elsevier (1989) View citations (13) (1989)
- 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
- 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 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 (1)
- Transaction Contracts
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
Journal Articles
2012
- Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps
The Review of Financial Studies, 2012, 25, (5), 1588-1629 View citations (102)
See also Working Paper Inflation expectations, real rates, and risk premia: evidence from inflation swaps, Working Papers (Old Series) (2011) View citations (26) (2011)
2011
- Portfolio allocation for public pension funds*
Journal of Pension Economics and Finance, 2011, 10, (2), 221-245 View citations (21)
See also Chapter Portfolio Allocation for Public Pension Funds, NBER Chapters, 2010, 221-245 (2010) View citations (1) (2010) Working Paper Portfolio Allocation for Public Pension Funds, NBER Working Papers (2010) View citations (1) (2010)
2010
- Special Issue: Risk Transfer Mechanisms and Financial Stability
Journal of Financial Intermediation, 2010, 19, (3), 305-307
2009
- Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence
Journal of Financial and Quantitative Analysis, 2009, 44, (4), 745-775 View citations (50)
- Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation
The Review of Financial Studies, 2009, 22, (1), 1-40 View citations (51)
See also Working Paper Harming depositors and helping borrowers: the disparate impact of bank consolidation, Working Papers (Old Series) (2007) View citations (17) (2007)
2008
- 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, (3), 363-365
- Special issue: Banking and bank regulation: Challenges for the future
Journal of Financial Intermediation, 2008, 17, (4), 509-510 View citations (1)
2006
- Deposit insurance, bank regulation, and financial system risks
Journal of Monetary Economics, 2006, 53, (1), 1-30 View citations (127)
2005
- Risk-based capital standards, deposit insurance, and procyclicality
Journal of Financial Intermediation, 2005, 14, (4), 432-465 View citations (47)
2003
- Introduction: Special Issue on Pricing the Risks of Deposit Insurance
Journal of Financial Services Research, 2003, 24, (2), 89-92 View citations (3)
- The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach
Journal of Financial Services Research, 2003, 24, (2), 121-148 View citations (16)
2002
- Bank deposit insurance and business cycles: controlling the volatility of risk-based premiums
Conference Series ; [Proceedings], 2002 View citations (2)
2001
- Comments on Morgan and Stiroh
Journal of Financial Services Research, 2001, 20, (2), 209-211 View citations (1)
2000
- 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 (2)
1999
- Bank Deposit Rate Clustering: Theory and Empirical Evidence
Journal of Finance, 1999, 54, (6), 2185-2214 View citations (65)
See also Working Paper Bank deposit rate clustering: theory and empirical evidence, Working Papers (Old Series) (1996) View citations (4) (1996)
- The Effects of Setting Deposit Insurance Premiums to Target Insurance Fund Reserves
Journal of Financial Services Research, 1999, 16, (2), 153-180 View citations (12)
1998
- Comment on "Intermediation and Vertical Integration."
Journal of Money, Credit and Banking, 1998, 30, (3), 520-23 View citations (1)
- Deposit insurance premiums and the value of the banking insurance fund: should they be linked?
Proceedings, 1998, (Sep)
1996
- Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds
Journal of Financial and Quantitative Analysis, 1996, 31, (1), 109-126 View citations (41)
- Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits
Journal of Financial and Quantitative Analysis, 1996, 31, (3), 399-417 View citations (60)
- The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures
Journal of Money, Credit and Banking, 1996, 28, (3), 426-46 View citations (71)
Also in Proceedings, 1996, (Aug), 426-451 (1996) View citations (30)
1995
- Banks and loan sales Marketing nonmarketable assets
Journal of Monetary Economics, 1995, 35, (3), 389-411 View citations (251)
See also Working Paper Banks and Loan Sales: Marketing Non-Marketable Assets, NBER Working Papers (1990) View citations (4) (1990)
- The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis
Journal of Financial Intermediation, 1995, 4, (3), 242-271 View citations (18)
1994
- The Value of Pension Benefit Guaranty Corporation Insurance
Journal of Money, Credit and Banking, 1994, 26, (3), 735-53 View citations (15)
Also in Proceedings, 1994, 735-756 (1994) View citations (18)
1993
- Security Baskets and Index-Linked Securities
The Journal of Business, 1993, 66, (1), 1-27 View citations (96)
See also Working Paper Security Baskets and Index-Linked Securities, NBER Working Papers (1991) View citations (4) (1991)
1992
- The opening of new markets for bank assets
Proceedings, 1992, 3-38
1991
- Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data
The Review of Financial Studies, 1991, 4, (1), 53-86 View citations (79)
1990
- Financial Intermediaries and Liquidity Creation
Journal of Finance, 1990, 45, (1), 49-71 View citations (484)
- Valuation of Interest Payment Guarantees on Developing Country Debt
IMF Staff Papers, 1990, 37, (4), 806-824 View citations (2)
1989
- Banks and loan sales: evidence of implicit contracts
Proceedings, 1989
- Optimal portfolio choice and the collapse of a fixed-exchange rate regime
Journal of International Economics, 1989, 27, (1-2), 1-24 View citations (13)
See also Working Paper Optimal Portfolio Choice and the Collapse of a Fixed-Exchange Rate Regime, Rodney L. White Center for Financial Research Working Papers View citations (2)
1987
- A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance
Journal of Money, Credit and Banking, 1987, 19, (3), 340-60 View citations (75)
- Alternative forms of deposit insurance: Pricing and bank incentive issues
Journal of Banking & Finance, 1987, 11, (2), 291-312 View citations (49)
Chapters
2015
- Discounting Pension Liabilities: Funding versus Value
A chapter in The Impact of Reforms of State Retirement Plans, 2015, pp 254-284 View citations (8)
See also Working Paper Discounting Pension Liabilities: Funding versus Value, National Bureau of Economic Research, Inc (2015) View citations (8) (2015)
2010
- Portfolio Allocation for Public Pension Funds
A chapter in The Economics of State and Local Pensions, 2010, pp 221-245 View citations (1)
See also Journal Article Portfolio allocation for public pension funds*, Cambridge University Press (2011) View citations (21) (2011) Working Paper Portfolio Allocation for Public Pension Funds, National Bureau of Economic Research, Inc (2010) View citations (1) (2010)
2009
- Comment on "Pricing Personal Account Benefit Guarantees: A Simplified Approach"
A chapter in Social Security Policy in a Changing Environment, 2009, pp 249-254
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