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

25

DOWNLOADS
Rank 17,101

SSRN RANKINGS

Top 17,101

in Total Papers Downloads

3,604

SSRN CITATIONS
Rank 935

SSRN RANKINGS

Top 935

in Total Papers Citations

316

CROSSREF CITATIONS

921

Scholarly Papers (25)

1.

Cryptocurrencies and Cagan's Model of Hyperinflation

Number of pages: 21 Posted: 06 Mar 2018 Last Revised: 24 Jun 2021
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 538 (63,637)
Citation 6

Abstract:

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Bitcoin, Ethereum, money demand, exchange rates

2.

Is SOFR better than LIBOR?

Number of pages: 20 Posted: 07 May 2019
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 415 (87,134)
Citation 1

Abstract:

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LIBOR, floating rates, TED spread

3.

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 413 (87,621)
Citation 2

Abstract:

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Exchange rate target, FX options

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

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 38 Posted: 24 Apr 2017 Last Revised: 24 Feb 2021
Jonathan Hartley and Urban J. Jermann
Harvard University, Harvard Kennedy School (HKS), Students and University of Pennsylvania - Finance Department
Downloads 275 (136,586)

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

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

NBER Working Paper No. w27065
Number of pages: 39 Posted: 28 Apr 2020 Last Revised: 14 Jun 2021
Jonathan Hartley and Urban J. Jermann
Harvard University, Harvard Kennedy School (HKS), Students and University of Pennsylvania - Finance Department
Downloads 1 (814,463)
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5.

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 University of Southern California - Marshall School of Business
Downloads 252 (149,849)
Citation 23

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Debt deflation, debt overhang, monetary non-neutrality

6.
Downloads 228 (165,110)
Citation 17

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 227 (165,412)
Citation 4

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: 30 Jul 2021
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 1 (814,463)
Citation 6

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7.
Downloads 201 (185,939)
Citation 6

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 170 (215,697)
Citation 1

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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 31 (572,966)
Citation 2

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8.
Downloads 194 (191,990)
Citation 23

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 152 (237,315)

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: 14 Feb 2021
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 42 (513,767)
Citation 1

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9.
Downloads 156 (231,722)
Citation 353

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 150 (239,932)

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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 (764,363)
Citation 98
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business cycle, debt and equity, Financial frictions

10.
Downloads 134 (261,938)

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 96 (333,412)

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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 Last Revised: 29 Apr 2020
Urban J. Jermann, Bin Wei and Zhanwei Yue
University of Pennsylvania - Finance Department, Federal Reserve Bank of Atlanta and Emory University
Downloads 38 (533,875)

Abstract:

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

11.

Dynamic Banking with Non-Maturing Deposits

Number of pages: 32 Posted: 18 Feb 2021 Last Revised: 27 Apr 2021
Urban J. Jermann and Haotian Xiang
University of Pennsylvania - Finance Department and Peking University - Department of Finance
Downloads 111 (300,348)
Citation 1

Abstract:

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Debt maturity, dilution, capital regulation

12.
Downloads 104 (314,083)
Citation 11

Financial Innovations and Macroeconomic Volatility

NBER Working Paper No. w12308
Number of pages: 35 Posted: 14 Jul 2006 Last Revised: 18 Feb 2021
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 59 (441,945)
Citation 2

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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 (499,514)
Citation 2
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Financing constraints, debt-equity finance, business cycle

13.

Interest Received by Banks During the Financial Crisis: LIBOR vs Hypothetical SOFR Loans

Number of pages: 12 Posted: 23 Jun 2020
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 87 (352,062)
Citation 1

Abstract:

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LIBOR, SOFR, financial crisiis

14.

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 Mar 2021
Marianne Baxter and Urban J. Jermann
Boston University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 87 (352,062)
Citation 12

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15.

Non-Sovereign Stores of Value

Number of pages: 33 Posted: 22 Mar 2021 Last Revised: 10 May 2021
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 65 (414,976)

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Gold, Real interest rates, Bitcoin, Futures

16.

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: 10 Mar 2021
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 59 (435,582)
Citation 7

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17.

Asset Pricing When Risk Sharing is Limited by Default

NBER Working Paper No. w6476
Number of pages: 77 Posted: 15 Jul 2000 Last Revised: 14 Mar 2021
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 50 (469,328)

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18.

The Size of the Permanent Component of Asset Pricing Kernels

NBER Working Paper No. w8360
Number of pages: 61 Posted: 28 Jun 2001 Last Revised: 07 May 2021
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 43 (499,013)

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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: 21 Apr 2021
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 39 (528,710)
Citation 13

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Using Asset Prices to Measure the Cost of Business Cycles

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 37 (538,986)

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Quantitative Asset Pricing Implications of Endogenous Solvency Constraints

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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21.

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 36 (532,148)
Citation 1

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22.

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 33 (547,846)
Citation 1

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23.

NBER Working Paper No. w6382
Number of pages: 31 Posted: 15 Sep 2000 Last Revised: 15 Jun 2020
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 29 (570,001)

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24.

A Production-Based Model for the Term Structure

NBER Working Paper No. w18774
Number of pages: 34 Posted: 09 Feb 2013 Last Revised: 30 Jul 2021
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 9 (710,503)
Citation 2

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25.

Financial Markets’ Views About the Euro-Swiss Franc Floor

NBER Working Paper No. w21977
Number of pages: 18 Posted: 08 Feb 2016 Last Revised: 30 Jul 2021
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 8 (718,144)
Citation 7

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