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

  • University of Pennsylvania - Finance Department

    • Email
    • Tel: 215-898-4184
    • Fax: 215-898-6200
SCHOLARLY PAPERS

35

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Top 7,876

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12,134

TOTAL CITATIONS
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Top 915

in Total Papers Citations

601

Scholarly Papers (35)

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1.

Gold's Value as an Investment

Downloads 1,952 (18,505)
Citation 1

Gold's Value as an Investment

Number of pages: 52 Posted: 01 Oct 2021 Last Revised: 03 Nov 2024
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 1,937 (18,369)

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Gold, real interest rates, bubbles. JEL codes: G12, G13

Gold's Value as an Investment

NBER Working Paper No. w31386
Number of pages: 42 Posted: 26 Jun 2023 Last Revised: 10 Jul 2023
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 15 (1,292,234)
Citation 1

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2.

Is SOFR better than LIBOR?

Number of pages: 20 Posted: 07 May 2019
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 1,210 (37,881)
Citation 1

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LIBOR, floating rates, TED spread

3.

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 875 (59,971)
Citation 11

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Bitcoin, Ethereum, money demand, exchange rates

4.

A Macro Finance Model for Proof-of-Stake Ethereum

Number of pages: 37 Posted: 25 Jan 2023 Last Revised: 09 Apr 2025
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 812 (66,398)
Citation 3

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Cryptocurrencies, EIP1559, money supply, Ethereum, issuance curve

5.

Dynamic Banking with Non-Maturing Deposits

Downloads 631 (92,090)
Citation 5

Dynamic Banking with Non-Maturing Deposits

Number of pages: 32 Posted: 18 Feb 2021 Last Revised: 05 Apr 2023
Urban J. Jermann and Haotian Xiang
University of Pennsylvania - Finance Department and Peking University - Department of Finance
Downloads 605 (95,787)
Citation 1

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Debt maturity, dilution, time inconsistency, monetary policy

Dynamic Banking with Non-Maturing Deposits

NBER Working Paper No. w31057
Number of pages: 33 Posted: 27 Mar 2023 Last Revised: 12 May 2023
Urban J. Jermann and Haotian Xiang
University of Pennsylvania - Finance Department and Peking University - Department of Finance
Downloads 26 (1,119,994)
Citation 4

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6.

How Credible is Hong Kong's Currency Peg?

The Wharton School Research Paper
Number of pages: 33 Posted: 13 Feb 2025
Urban J. Jermann, Bin Wei and Vivian Z. Yue
University of Pennsylvania - Finance Department, Federal Reserve Bank of Atlanta and Emory University
Downloads 577 (103,459)

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Hong Kong dollar, HKD, currency board, peg, central parity, credibility

7.

The Pricing of U.S. Treasury Floating Rate Notes

Downloads 577 (103,229)

The Pricing of U.S. Treasury Floating Rate Notes

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 39 Posted: 24 Apr 2017 Last Revised: 13 Nov 2023
Jonathan Hartley and Urban J. Jermann
Stanford University and University of Pennsylvania - Finance Department
Downloads 548 (108,670)

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Floating rate notes, government debt, fixed income arbitrage

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

NBER Working Paper No. w27065
Number of pages: 39 Posted: 28 Apr 2020 Last Revised: 15 Jun 2023
Jonathan Hartley and Urban J. Jermann
Stanford University and University of Pennsylvania - Finance Department
Downloads 29 (1,082,652)

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8.

Perpetual Futures Pricing

The Wharton School Research Paper
Number of pages: 39 Posted: 01 Nov 2023 Last Revised: 19 Mar 2025
Damien Ackerer, Julien Hugonnier and Urban J. Jermann
École Polytechnique Fédérale de Lausanne (EPFL), Centre for Economic Policy Research (CEPR) and University of Pennsylvania - Finance Department
Downloads 557 (107,866)
Citation 1

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Cryptocurrencies, Derivatives, Futures contracts

9.

Tokenomics: Optimal Monetary and Fee Policies

Number of pages: 66 Posted: 10 Oct 2022 Last Revised: 24 Jan 2025
Urban J. Jermann and Haotian Xiang
University of Pennsylvania - Finance Department and Peking University - Department of Finance
Downloads 482 (128,809)
Citation 1

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Cryptocurrencies, monetary policy, fees, commitment. JEL codes: E52, G32

10.

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 449 (140,362)
Citation 2

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Exchange rate target, FX options

11.

The Two-Pillar Policy for the RMB

Downloads 425 (149,555)
Citation 6

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 Vivian Z. Yue
University of Pennsylvania - Finance Department, Federal Reserve Bank of Atlanta and Emory University
Downloads 226 (290,959)
Citation 6

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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

Number of pages: 49 Posted: 18 Apr 2019
Urban J. Jermann, Bin Wei and Vivian Z. Yue
University of Pennsylvania - Finance Department, Federal Reserve Bank of Atlanta and Emory University
Downloads 199 (328,787)

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

12.

Negative Swap Spreads and Limited Arbitrage

Downloads 393 (163,485)
Citation 10

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 346 (186,607)
Citation 4

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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: 19 Jun 2022
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 47 (895,335)
Citation 6

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13.

Interest Rate Swaps and Corporate Default

Downloads 368 (176,035)
Citation 7

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 287 (228,463)
Citation 5

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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 81 (669,417)
Citation 2

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14.

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

Downloads 337 (193,755)
Citation 3

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

Number of pages: 19 Posted: 23 Jun 2020 Last Revised: 10 Jun 2023
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 307 (212,629)
Citation 1

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LIBOR, SOFR, financial crisiis

Interest Received by Banks During the Financial Crisis: Libor vs Hypothetical Sofr Loans

NBER Working Paper No. w29614
Number of pages: 19 Posted: 03 Jan 2022 Last Revised: 02 Jun 2023
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 30 (1,070,652)
Citation 2

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15.

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 307 (214,324)
Citation 94

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Debt deflation, debt overhang, monetary non-neutrality

16.

Macroeconomic Effects of Financial Shocks

Downloads 265 (249,762)
Citation 354

Macroeconomic Effects of Financial Shocks

NBER Working Paper No. w15338
Number of pages: 42 Posted: 15 Sep 2009 Last Revised: 31 May 2023
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 257 (255,926)
Citation 256

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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 8 (1,348,325)
Citation 98
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business cycle, debt and equity, Financial frictions

17.

The Equity Premium Implied by Production

Downloads 238 (278,062)
Citation 16

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 178 (364,709)

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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: 15 Aug 2022
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 60 (792,991)
Citation 16

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18.

Non-Sovereign Stores of Value

Number of pages: 30 Posted: 22 Mar 2021 Last Revised: 13 Oct 2022
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 230 (287,668)
Citation 1

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Gold, Real interest rates, Bitcoin, Futures

19.

Rules versus Discretion in Capital Regulation

Number of pages: 68 Posted: 18 Apr 2023 Last Revised: 09 Mar 2025
Urban J. Jermann and Haotian Xiang
University of Pennsylvania - Finance Department and Peking University - Department of Finance
Downloads 221 (298,885)

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capital regulation, time inconsistency, non-maturing deposits, dilution. JEL codes: G21, G28, E44

20.

Financial Innovations and Macroeconomic Volatility

Downloads 182 (358,207)
Citation 4

Financial Innovations and Macroeconomic Volatility

NBER Working Paper No. w12308
Number of pages: 35 Posted: 14 Jul 2006 Last Revised: 20 Aug 2022
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 135 (462,437)
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 47 (895,335)
Citation 2
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Financing constraints, debt-equity finance, business cycle

21.

Pricing Perpetual Futures

The Wharton School Research Paper
Number of pages: 1 Posted: 26 Sep 2023 Last Revised: 19 Aug 2024
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 178 (365,428)

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Cryptocurrencies, derivatives

22.

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 2022
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 158 (405,529)
Citation 7

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23.

The International Diversification Puzzle is Worse than You Think

NBER Working Paper No. w5019
Number of pages: 24 Posted: 14 Jun 2000 Last Revised: 19 Sep 2022
Marianne Baxter and Urban J. Jermann
Boston University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 126 (487,342)
Citation 22

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24.

Optimal Issuance for Proof-of-Stake Blockchains

The Wharton School Research Paper
Number of pages: 27 Posted: 16 Oct 2024 Last Revised: 04 Mar 2025
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 113 (529,719)

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Cryptocurrencies, Ethereum, Money supply, Staking yield, Issuance curve, Friedman rule

25.

Quantitative Asset Pricing Implications of Endogenous Solvency Constraints

Downloads 78 (675,195)

Quantitative Asset Pricing Implications of Endogenous Solvency Constraints

NBER Working Paper No. w6953
Number of pages: 71 Posted: 08 Mar 1999 Last Revised: 03 Jul 2022
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 78 (684,644)

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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

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26.

Using Asset Prices to Measure the Cost of Business Cycles

Downloads 68 (728,813)
Citation 27

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: 26 Oct 2022
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 68 (740,917)
Citation 27

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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

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27.

Asset Pricing When Risk Sharing is Limited by Default

NBER Working Paper No. w6476
Number of pages: 77 Posted: 15 Jul 2000 Last Revised: 12 Sep 2022
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 65 (746,479)

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28.

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 57 (798,545)
Citation 5

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29.

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: 06 Nov 2022
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 54 (820,210)

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30.

International Portfolio Diversification and Labor/Leisure Choice

NBER Working Paper No. w6382
Number of pages: 31 Posted: 15 Sep 2000 Last Revised: 11 Dec 2022
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 49 (858,921)

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31.

Nontraded Goods, Nontraded Factors, and International Non-Diversification

NBER Working Paper No. w5175
Number of pages: 27 Posted: 20 Jul 2000 Last Revised: 24 Aug 2022
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 41 (929,030)
Citation 1

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32.

A Production-Based Model for the Term Structure

NBER Working Paper No. w18774
Number of pages: 34 Posted: 09 Feb 2013 Last Revised: 20 Apr 2023
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 22 (1,137,742)
Citation 2

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33.

Financial Markets’ Views About the Euro-Swiss Franc Floor

NBER Working Paper No. w21977
Number of pages: 18 Posted: 08 Feb 2016 Last Revised: 21 Jul 2023
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 21 (1,150,168)
Citation 16

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34.

Perpetual Futures Pricing

NBER Working Paper No. w32936
Number of pages: 39 Posted: 17 Sep 2024 Last Revised: 18 Sep 2024
Damien Ackerer, Julien Hugonnier and Urban J. Jermann
École Polytechnique Fédérale de Lausanne (EPFL), Centre for Economic Policy Research (CEPR) and University of Pennsylvania - Finance Department
Downloads 12 (1,257,755)
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35.

Rules Versus Discretion in Capital Regulation

NBER Working Paper No. w33578
Number of pages: 69 Posted: 17 Mar 2025
Urban J. Jermann and Haotian Xiang
University of Pennsylvania - Finance Department and Peking University
Downloads 4 (1,321,475)
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