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

23

DOWNLOADS
Rank 18,100

SSRN RANKINGS

Top 18,100

in Total Papers Downloads

2,983

SSRN CITATIONS
Rank 980

SSRN RANKINGS

Top 980

in Total Papers Citations

195

CROSSREF CITATIONS

916

Scholarly Papers (23)

1.

Bitcoin and Cagan's Model of Hyperinflation

Number of pages: 16 Posted: 06 Mar 2018 Last Revised: 22 Jul 2020
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 413 (78,999)
Citation 4

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Bitcoin, money demand, exchange rates

2.

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 397 (82,602)
Citation 2

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Exchange rate target, FX options

3.

Is SOFR better than LIBOR?

Number of pages: 20 Posted: 07 May 2019
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 289 (117,905)
Citation 1

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LIBOR, floating rates, TED spread

4.

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 248 (138,184)
Citation 10

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Debt deflation, debt overhang, monetary non-neutrality

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

Number of pages: 30 Posted: 24 Apr 2017 Last Revised: 25 Jul 2019
Jonathan Hartley and Urban J. Jermann
Harvard University, Harvard Kennedy School (HKS), Students and University of Pennsylvania - Finance Department
Downloads 246 (138,784)

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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
Jonathan Hartley and Urban J. Jermann
Harvard University, Harvard Kennedy School (HKS), Students and University of Pennsylvania - Finance Department
Downloads 1 (755,688)
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6.
Downloads 219 (155,755)
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 218 (156,035)
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: 13 Jan 2019
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 1 (755,688)
Citation 5
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7.
Downloads 191 (176,863)
Citation 22

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 149 (219,477)

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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 42 (471,051)

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8.
Downloads 185 (182,039)
Citation 2

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 158 (208,885)

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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 27 (549,552)

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9.
Downloads 151 (216,697)
Citation 321

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 145 (224,406)

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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 (704,438)
Citation 75
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business cycle, debt and equity, Financial frictions

10.
Downloads 103 (288,883)
Citation 9

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 58 (407,954)

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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 (457,944)
Citation 2
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Financing constraints, debt-equity finance, business cycle

11.
Downloads 93 (308,787)

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 77 (349,863)

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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 16 (626,547)

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

12.

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 82 (333,789)
Citation 7

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13.

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 58 (402,083)
Citation 6

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14.

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 (437,611)

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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 43 (457,618)

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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 (489,465)
Citation 8

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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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17.

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 35 (492,758)
Citation 1

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LIBOR, SOFR, financial crisiis

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 34 (509,457)

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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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19.

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 33 (502,431)

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20.

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 31 (512,486)

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21.

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 28 (528,711)

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22.

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 9 (653,629)
Citation 2

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23.

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 8 (660,880)
Citation 7

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