Urban J. Jermann

University of Pennsylvania - Finance Department

Professor

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

22

DOWNLOADS
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SSRN RANKINGS

Top 18,953

in Total Papers Downloads

2,492

CITATIONS
Rank 17,775

SSRN RANKINGS

Top 17,775

in Total Papers Citations

27

Scholarly Papers (22)

1.

Financial Markets' Views about the Euro-Swiss Franc Floor

Number of pages: 17 Posted: 02 Sep 2014 Last Revised: 22 Jan 2017
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 381 (76,034)
Citation 5

Abstract:

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Exchange rate target, FX options

2.

Bitcoin and Cagan's Model of Hyperinflation

Number of pages: 16 Posted: 06 Mar 2018 Last Revised: 10 Mar 2018
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 313 (95,113)
Citation 1

Abstract:

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Bitcoin, money demand, exchange rates

3.

Sticky Leverage

The Wharton School Research Paper No. 52
Number of pages: 44 Posted: 29 May 2013 Last Revised: 11 May 2016
Joao F. Gomes, Urban J. Jermann and Lukas Schmid
The Wharton School, University of Pennsylvania - Finance Department and Duke University - The Fuqua School of Business
Downloads 241 (125,316)
Citation 11

Abstract:

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Debt deflation, debt overhang, monetary non-neutrality

4.

Should the U.S. Government Issue Floating Rate Notes?

Number of pages: 24 Posted: 24 Apr 2017 Last Revised: 10 Mar 2018
Jonathan Hartley and Urban J. Jermann
University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
Downloads 216 (139,534)

Abstract:

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floating rate notes, fixed Income arbitrage, tax-smoothing, optimal debt management

5.
Downloads 203 (147,908)
Citation 3

Negative Swap Spreads and Limited Arbitrage

Number of pages: 32 Posted: 26 Feb 2016 Last Revised: 31 Dec 2018
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 202 (148,448)
Citation 1

Abstract:

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Swap spread, limited arbitrage, fixed income arbitrage

Negative Swap Spreads and Limited Arbitrage

NBER Working Paper No. w25422
Number of pages: 34 Posted: 07 Jan 2019 Last Revised: 13 Jan 2019
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 1 (676,043)
Citation 3
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6.
Downloads 187 (159,549)
Citation 13

The Equity Premium Implied by Production

EFA 2006 Zurich Meetings Paper
Number of pages: 39 Posted: 06 Jun 2006
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 147 (196,841)

Abstract:

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Equity Premium, Production

The Equity Premium Implied by Production

NBER Working Paper No. w12487
Number of pages: 40 Posted: 30 Aug 2006 Last Revised: 05 Nov 2010
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 40 (428,137)
Citation 28

Abstract:

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7.
Downloads 167 (176,450)
Citation 3

Interest Rate Swaps and Corporate Default

ECB Working Paper No. 1590
Number of pages: 43 Posted: 10 Oct 2013
Urban J. Jermann and Vivian Z. Yue
University of Pennsylvania - Finance Department and Emory University
Downloads 146 (198,001)

Abstract:

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Interest Rate Swaps, Corporate Default, Risk Management, Swap Position, Debt Pricing

Interest Rate Swaps and Corporate Default

FRB International Finance Discussion Paper No. 1090
Number of pages: 47 Posted: 30 May 2017
Urban J. Jermann and Vivian Z. Yue
University of Pennsylvania - Finance Department and Emory University
Downloads 21 (526,872)
Citation 3

Abstract:

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8.
Downloads 142 (201,989)
Citation 157

Macroeconomic Effects of Financial Shocks

NBER Working Paper No. w15338
Number of pages: 42 Posted: 15 Sep 2009 Last Revised: 13 Oct 2009
Urban J. Jermann and Vincenzo Quadrini
University of Pennsylvania - Finance Department and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 136 (209,756)
Citation 5

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Macroeconomic Effects of Financial Shocks

CEPR Discussion Paper No. DP7451
Number of pages: 34 Posted: 07 Oct 2009
Urban J. Jermann and Vincenzo Quadrini
University of Pennsylvania - Finance Department and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 6 (626,650)
Citation 298
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business cycle, debt and equity, Financial frictions

9.

Is SOFR better than LIBOR?

Number of pages: 20 Posted: 07 May 2019
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 101 (276,531)

Abstract:

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LIBOR, floating rates, TED spread

10.
Downloads 97 (267,288)
Citation 6

Financial Innovations and Macroeconomic Volatility

NBER Working Paper No. w12308
Number of pages: 35 Posted: 14 Jul 2006 Last Revised: 20 Aug 2010
Urban J. Jermann and Vincenzo Quadrini
University of Pennsylvania - Finance Department and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 52 (383,264)

Abstract:

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Financial Innovations and Macroeconomic Volatility

CEPR Discussion Paper No. 5727
Number of pages: 36 Posted: 16 Aug 2006
Urban J. Jermann and Vincenzo Quadrini
University of Pennsylvania - Finance Department and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 45 (408,400)
Citation 8
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Financing constraints, debt-equity finance, business cycle

11.

The International Diversification Puzzle is Worse than You Think

NBER Working Paper No. w5019
Number of pages: 24 Posted: 14 Jun 2000 Last Revised: 21 Sep 2010
Marianne Baxter and Urban J. Jermann
Boston University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 79 (303,718)
Citation 187

Abstract:

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12.

Stock Market Boom and the Productivity Gains of the 1990s

NBER Working Paper No. w9034
Number of pages: 40 Posted: 27 Jun 2002 Last Revised: 28 Oct 2010
Urban J. Jermann and Vincenzo Quadrini
University of Pennsylvania - Finance Department and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 56 (364,426)
Citation 39

Abstract:

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13.

Asset Pricing When Risk Sharing is Limited by Default

NBER Working Paper No. w6476
Number of pages: 77 Posted: 15 Jul 2000 Last Revised: 09 Oct 2010
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 48 (390,484)
Citation 2

Abstract:

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14.
Downloads 45 (404,434)

The Two-Pillar Policy for the RMB

Number of pages: 49 Posted: 18 Apr 2019
Urban J. Jermann, Bin Wei and Zhanwei Yue
University of Pennsylvania - Finance Department, Federal Reserve Bank of Atlanta and Emory University
Downloads 34 (458,776)

Abstract:

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Exchange Rate Policy, Two-Pillar Policy, Managed Float, Chinese Currency, Renminbi, RMB, Central Parity, RMB Index

The Two-Pillar Policy for the RMB

FRB Atlanta Working Paper No. 2019-8
Number of pages: 49 Posted: 26 Apr 2019
Urban J. Jermann, Bin Wei and Zhanwei Yue
University of Pennsylvania - Finance Department, Federal Reserve Bank of Atlanta and Emory University
Downloads 11 (592,209)

Abstract:

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exchange rate policy, two-pillar policy, managed float, Chinese currency, renminbi, RMB, central parity, RMB index

15.

The Size of the Permanent Component of Asset Pricing Kernels

NBER Working Paper No. w8360
Number of pages: 61 Posted: 28 Jun 2001
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 41 (415,463)
Citation 1

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Using Asset Prices to Measure the Cost of Business Cycles

NBER Working Paper No. w7978
Number of pages: 68 Posted: 22 Oct 2000 Last Revised: 11 Apr 2010
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 38 (436,681)
Citation 72

Abstract:

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Using Asset Prices to Measure the Cost of Business Cycles

Journal of Political Economy, Vol. 112, pp. 1223-1256, December 2004
Posted: 02 Nov 2004
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department

Abstract:

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Quantitative Asset Pricing Implications of Endogenous Solvency Constraints

NBER Working Paper No. w6953
Number of pages: 71 Posted: 08 Mar 1999 Last Revised: 06 Jul 2018
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 33 (458,776)

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Quantitative Asset Pricing Implications of Endogenous Solvency Constraints

Review of Financial Studies, Winter Issue
Posted: 19 Sep 2001
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department

Abstract:

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18.

Nontraded Goods, Nontraded Factors, and International Non-Diversification

NBER Working Paper No. w5175
Number of pages: 27 Posted: 20 Jul 2000 Last Revised: 01 Sep 2010
Marianne Baxter, Urban J. Jermann and Robert G. King
Boston University - Department of Economics, University of Pennsylvania - Finance Department and Boston University - Department of Economics
Downloads 31 (457,014)
Citation 41

Abstract:

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19.

Household Production and the Excess Sensitivity of Consumption to Current Income

NBER Working Paper No. w7046
Number of pages: 61 Posted: 09 Jul 1999 Last Revised: 05 May 2000
Marianne Baxter and Urban J. Jermann
Boston University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 30 (461,698)
Citation 50

Abstract:

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20.

International Portfolio Diversification and Labor/Leisure Choice

NBER Working Paper No. w6382
Number of pages: 31 Posted: 15 Sep 2000 Last Revised: 07 Apr 2008
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 28 (471,410)

Abstract:

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21.

A Production-Based Model for the Term Structure

NBER Working Paper No. w18774
Number of pages: 34 Posted: 09 Feb 2013
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 8 (587,106)
Citation 16

Abstract:

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22.

Financial Markets’ Views About the Euro-Swiss Franc Floor

NBER Working Paper No. w21977
Number of pages: 18 Posted: 08 Feb 2016
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 7 (593,432)
Citation 7

Abstract:

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