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

31

DOWNLOADS
Rank 9,300

SSRN RANKINGS

Top 9,300

in Total Papers Downloads

9,231

SSRN CITATIONS
Rank 902

SSRN RANKINGS

Top 902

in Total Papers Citations

814

CROSSREF CITATIONS

836

Scholarly Papers (31)

1.
Downloads 1,659 (20,134)

Gold's Value as an Investment

Number of pages: 41 Posted: 01 Oct 2021 Last Revised: 30 May 2023
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 1,654 (19,866)

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Gold, real interest rates, bubbles

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 5 (1,123,733)
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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 1,054 (39,269)
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 814 (56,235)
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: 32 Posted: 25 Jan 2023 Last Revised: 10 Feb 2024
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 577 (87,865)
Citation 2

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Cryptocurrencies, EIP1559, money supply, Ethereum

5.
Downloads 539 (95,533)
Citation 4

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 Guanghua School of Management, Peking University
Downloads 534 (95,522)
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 - Guanghua School of Management
Downloads 5 (1,123,733)
Citation 4
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6.

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 440 (121,903)
Citation 2

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Exchange rate target, FX options

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 387 (140,071)

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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 15 (1,024,395)

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8.
Downloads 334 (166,193)
Citation 5

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 172 (316,330)

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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 Vivian Z. Yue
University of Pennsylvania - Finance Department, Federal Reserve Bank of Atlanta and Emory University
Downloads 162 (333,409)
Citation 4

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

9.
Downloads 324 (171,720)
Citation 32

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 291 (191,101)
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 33 (847,476)
Citation 6

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10.

Tokenomics: Optimal Monetary and Fee Policies

Number of pages: 49 Posted: 10 Oct 2022 Last Revised: 25 Sep 2023
Urban J. Jermann and Haotian Xiang
University of Pennsylvania - Finance Department and Guanghua School of Management, Peking University
Downloads 306 (182,325)

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Cryptocurrencies, money growth rates, commitment

11.
Downloads 297 (188,205)
Citation 9

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 227 (246,221)
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 70 (607,111)
Citation 2

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12.

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 293 (190,954)
Citation 78

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Debt deflation, debt overhang, monetary non-neutrality

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 269 (207,187)
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 13 (1,046,195)
Citation 2

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14.

Perpetual Futures Pricing

Number of pages: 30 Posted: 01 Nov 2023 Last Revised: 09 Nov 2023
Damien Ackerer, Julien Hugonnier and Urban J. Jermann
École Polytechnique Fédérale de Lausanne, École Polytechnique Fédérale de Lausanne and University of Pennsylvania - Finance Department
Downloads 270 (207,574)

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Cryptocurrencies, Derivatives, Futures contracts

15.
Downloads 220 (253,457)
Citation 31

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 167 (324,608)

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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 53 (700,880)
Citation 11

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16.
Downloads 204 (271,822)
Citation 476

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 198 (278,559)
Citation 200

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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 (1,115,113)
Citation 98
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business cycle, debt and equity, Financial frictions

17.

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 193 (285,738)
Citation 1

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Gold, Real interest rates, Bitcoin, Futures

18.

Pricing Perpetual Futures

Number of pages: 1 Posted: 26 Sep 2023 Last Revised: 29 Dec 2023
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 147 (361,244)

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Cryptocurrencies, derivatives

19.
Downloads 133 (390,854)
Citation 12

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 88 (528,821)
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 (754,108)
Citation 2
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Financing constraints, debt-equity finance, business cycle

20.

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 118 (428,002)
Citation 22

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21.

Capital Regulation with Non-Maturing Deposits

Number of pages: 65 Posted: 18 Apr 2023 Last Revised: 12 Mar 2024
Urban J. Jermann and Haotian Xiang
University of Pennsylvania - Finance Department and Peking University - Guanghua School of Management
Downloads 108 (457,092)

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Deposits, dilution, time inconsistency, capital regulation, Ramsey policy

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 101 (479,338)
Citation 7

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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: 03 Jul 2022
Fernando Alvarez and Urban J. Jermann
University of Chicago - Department of Economics and University of Pennsylvania - Finance Department
Downloads 71 (602,207)

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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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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 62 (648,395)
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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25.

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 62 (637,086)

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26.

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 (663,728)
Citation 4

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27.

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 53 (686,345)

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28.

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 (763,836)
Citation 1

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29.

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 40 (771,170)

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30.

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 15 (990,093)
Citation 13

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31.

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 15 (990,093)
Citation 2

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