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Details about George G. Pennacchi

Homepage:https://sites.google.com/site/georgegpennacchi/
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 2020-07-06. Update your information in the RePEc Author Service.

Short-id: ppe479


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Working Papers

2018

  1. Why Do Banks Target ROE?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads View citations (4)
    Also in Staff Reports, Federal Reserve Bank of New York (2018) Downloads View citations (4)

2015

  1. Discounting Pension Liabilities: Funding versus Value
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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

  1. Inflation expectations, real rates, and risk premia: evidence from inflation swaps
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads 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) Downloads View citations (102) (2012)

2010

  1. A structural model of contingent bank capital
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (34)
  2. Contingent Capital: The Case for COERCs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (17)
  3. Portfolio Allocation for Public Pension Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article Portfolio allocation for public pension funds*, Journal of Pension Economics and Finance, Cambridge University Press (2011) Downloads 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

  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 (27)

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 (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) Downloads View citations (51) (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)
    Also in Proceedings, Federal Reserve Bank of Chicago (2000) View citations (7)
  2. 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

  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)
    See also Journal Article Bank Deposit Rate Clustering: Theory and Empirical Evidence, Journal of Finance, American Finance Association (1999) Downloads View citations (65) (1999)

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)
  3. Nonbanks and the future of banking
    Proceedings, Federal Reserve Bank of Chicago

1991

  1. Security Baskets and Index-Linked Securities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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) Downloads View citations (96) (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 Banks and loan sales Marketing nonmarketable assets, Journal of Monetary Economics, Elsevier (1995) Downloads View citations (251) (1995)

1987

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

1985

  1. An empirical analysis of bank risk
    Proceedings, Federal Reserve Bank of Chicago
  2. 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 Optimal portfolio choice and the collapse of a fixed-exchange rate regime, Journal of International Economics, Elsevier (1989) Downloads View citations (13) (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 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)
  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
    The Review of Financial Studies, 2012, 25, (5), 1588-1629 Downloads View citations (102)
    See also Working Paper Inflation expectations, real rates, and risk premia: evidence from inflation swaps, Working Papers (Old Series) (2011) Downloads View citations (26) (2011)

2011

  1. Portfolio allocation for public pension funds*
    Journal of Pension Economics and Finance, 2011, 10, (2), 221-245 Downloads 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) Downloads View citations (1) (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, (4), 745-775 Downloads View citations (50)
  2. Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation
    The Review of Financial Studies, 2009, 22, (1), 1-40 Downloads View citations (51)
    See also Working Paper Harming depositors and helping borrowers: the disparate impact of bank consolidation, Working Papers (Old Series) (2007) Downloads View citations (17) (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, (3), 363-365 Downloads
  2. Special issue: Banking and bank regulation: Challenges for the future
    Journal of Financial Intermediation, 2008, 17, (4), 509-510 Downloads View citations (1)

2006

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

2005

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

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 (16)

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 (2)

1999

  1. Bank Deposit Rate Clustering: Theory and Empirical Evidence
    Journal of Finance, 1999, 54, (6), 2185-2214 Downloads View citations (65)
    See also Working Paper Bank deposit rate clustering: theory and empirical evidence, Working Papers (Old Series) (1996) Downloads View citations (4) (1996)
  2. 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 (12)

1998

  1. Comment on "Intermediation and Vertical Integration."
    Journal of Money, Credit and Banking, 1998, 30, (3), 520-23 View citations (1)
  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, (1), 109-126 Downloads View citations (41)
  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, (3), 399-417 Downloads View citations (60)
  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 (71)
    Also in Proceedings, 1996, (Aug), 426-451 (1996) View citations (30)

1995

  1. Banks and loan sales Marketing nonmarketable assets
    Journal of Monetary Economics, 1995, 35, (3), 389-411 Downloads View citations (251)
    See also Working Paper Banks and Loan Sales: Marketing Non-Marketable Assets, NBER Working Papers (1990) Downloads View citations (4) (1990)
  2. The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis
    Journal of Financial Intermediation, 1995, 4, (3), 242-271 Downloads View citations (18)

1994

  1. The Value of Pension Benefit Guaranty Corporation Insurance
    Journal of Money, Credit and Banking, 1994, 26, (3), 735-53 Downloads View citations (15)
    Also in Proceedings, 1994, 735-756 (1994) View citations (18)

1993

  1. Security Baskets and Index-Linked Securities
    The Journal of Business, 1993, 66, (1), 1-27 Downloads View citations (96)
    See also Working Paper Security Baskets and Index-Linked Securities, NBER Working Papers (1991) Downloads View citations (4) (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
    The Review of Financial Studies, 1991, 4, (1), 53-86 Downloads View citations (79)

1990

  1. Financial Intermediaries and Liquidity Creation
    Journal of Finance, 1990, 45, (1), 49-71 Downloads View citations (484)
  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 (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

  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 (75)
  2. Alternative forms of deposit insurance: Pricing and bank incentive issues
    Journal of Banking & Finance, 1987, 11, (2), 291-312 Downloads View citations (49)

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) Downloads View citations (8) (2015)

2010

  1. 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) Downloads View citations (21) (2011)
    Working Paper Portfolio Allocation for Public Pension Funds, National Bureau of Economic Research, Inc (2010) Downloads View citations (1) (2010)

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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