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

Working Papers

2018

1. Why Do Banks Target ROE?
   Liberty Street Economics, Federal Reserve Bank of New York View citations (5)
   Also in Staff Reports, Federal Reserve Bank of New York (2018) View citations (5)

2015

2. 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

3. 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 (104) (2012)

2010

4. A structural model of contingent bank capital
   Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (34)
5. Contingent Capital: The Case for COERCs
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
6. 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

7. 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

8. 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 (53) (2009)

2001

9. 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)
10. 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

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

1997

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

1996

13. 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

14. 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)
15. Deriving developing country repayment capacity from the market prices of sovereign debt
    Policy Research Working Paper Series, The World Bank View citations (2)
16. Nonbanks and the future of banking
    Proceedings, Federal Reserve Bank of Chicago

1991

17. 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 (97) (1993)

1990

18. 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 (255) (1995)

1987

19. Market discipline, information disclosure, and uninsured deposits
    Proceedings, Federal Reserve Bank of Chicago

1985

20. An empirical analysis of bank risk
    Proceedings, Federal Reserve Bank of Chicago
21. 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

22. 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
23. 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)
24. 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
25. 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
26. Government Guarantees for Old Age Income
    Pension Research Council Working Papers, Wharton School Pension Research Council, University of Pennsylvania View citations (3)
27. Information Disclosure and Bank Runs
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
28. 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
29. 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)
30. 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
31. 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)
32. 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
   The Review of Financial Studies, 2012, 25, (5), 1588-1629 View citations (104)
   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

2. 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

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

2009

4. 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)
5. Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation
   The Review of Financial Studies, 2009, 22, (1), 1-40 View citations (53)
   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

6. 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
7. Special issue: Banking and bank regulation: Challenges for the future
   Journal of Financial Intermediation, 2008, 17, (4), 509-510 View citations (1)

2006

8. Deposit insurance, bank regulation, and financial system risks
   Journal of Monetary Economics, 2006, 53, (1), 1-30 View citations (127)

2005

9. Risk-based capital standards, deposit insurance, and procyclicality
   Journal of Financial Intermediation, 2005, 14, (4), 432-465 View citations (47)

2003

10. Introduction: Special Issue on Pricing the Risks of Deposit Insurance
    Journal of Financial Services Research, 2003, 24, (2), 89-92 View citations (3)
11. 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

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

2001

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

2000

14. 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

15. 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)
16. 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

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

1996

19. 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)
20. 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)
21. 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

22. Banks and loan sales Marketing nonmarketable assets
    Journal of Monetary Economics, 1995, 35, (3), 389-411 View citations (255)
    See also Working Paper Banks and Loan Sales: Marketing Non-Marketable Assets, NBER Working Papers (1990) View citations (4) (1990)
23. The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis
    Journal of Financial Intermediation, 1995, 4, (3), 242-271 View citations (18)

1994

24. 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

25. Security Baskets and Index-Linked Securities
    The Journal of Business, 1993, 66, (1), 1-27 View citations (97)
    See also Working Paper Security Baskets and Index-Linked Securities, NBER Working Papers (1991) View citations (4) (1991)

1992

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

1991

27. 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

28. Financial Intermediaries and Liquidity Creation
    Journal of Finance, 1990, 45, (1), 49-71 View citations (485)
29. Valuation of Interest Payment Guarantees on Developing Country Debt
    IMF Staff Papers, 1990, 37, (4), 806-824 View citations (2)

1989

30. Banks and loan sales: evidence of implicit contracts
    Proceedings, 1989
31. 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

32. 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)
33. Alternative forms of deposit insurance: Pricing and bank incentive issues
    Journal of Banking & Finance, 1987, 11, (2), 291-312 View citations (50)

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 (8)
   See also Working Paper Discounting Pension Liabilities: Funding versus Value, National Bureau of Economic Research, Inc (2015) View citations (8) (2015)

2010

2. 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

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