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

28

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6,659

SSRN CITATIONS
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516

CROSSREF CITATIONS

880

Scholarly Papers (28)

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1.

Gold's Value as an Investment

Number of pages: 41 Posted: 01 Oct 2021 Last Revised: 13 Oct 2022
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 1,252 (25,657)

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Gold, real interest rates, bubbles

2.

Is SOFR better than LIBOR?

Number of pages: 20 Posted: 07 May 2019
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 823 (46,410)
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 758 (51,824)
Citation 2

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Bitcoin, Ethereum, money demand, exchange rates

4.

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 430 (105,498)
Citation 2

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Exchange rate target, FX options

5.

Dynamic Banking with Non-Maturing Deposits

Number of pages: 41 Posted: 18 Feb 2021 Last Revised: 19 Apr 2022
Urban J. Jermann and Haotian Xiang
University of Pennsylvania - Finance Department and Guanghua School of Management, Peking University
Downloads 383 (120,845)
Citation 1

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Debt maturity, dilution, capital regulation, time-inconsistency, Ramsey policy

6.

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

Downloads 306 (153,793)

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
Stanford University and University of Pennsylvania - Finance Department
Downloads 301 (155,545)

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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: 15 Dec 2022
Jonathan Hartley and Urban J. Jermann
Stanford University and University of Pennsylvania - Finance Department
Downloads 5 (945,444)

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7.

Negative Swap Spreads and Limited Arbitrage

Downloads 273 (173,775)
Citation 21

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 251 (188,252)
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 22 (786,020)
Citation 6

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8.

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 270 (175,041)
Citation 23

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Debt deflation, debt overhang, monetary non-neutrality

9.

The Two-Pillar Policy for the RMB

Downloads 258 (183,117)

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 149 (300,856)

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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 109 (381,612)

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

10.

Interest Rate Swaps and Corporate Default

Downloads 227 (207,333)
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 188 (246,360)
Citation 2

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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 39 (660,725)
Citation 2

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11.

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

Downloads 226 (208,233)
Citation 2

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

Number of pages: 17 Posted: 23 Jun 2020 Last Revised: 21 Dec 2021
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 219 (214,048)
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: 01 Feb 2023
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 7 (926,323)
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12.

The Equity Premium Implied by Production

Downloads 214 (219,318)
Citation 28

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 165 (276,309)

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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 49 (602,124)
Citation 8

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13.

Macroeconomic Effects of Financial Shocks

Downloads 171 (267,671)
Citation 412

Macroeconomic Effects of Financial Shocks

NBER Working Paper No. w15338
Number of pages: 42 Posted: 15 Sep 2009 Last Revised: 30 Nov 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 165 (276,309)
Citation 59

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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 (935,961)
Citation 98
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business cycle, debt and equity, Financial frictions

14.

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 159 (284,623)

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Gold, Real interest rates, Bitcoin, Futures

15.

Tokenomics: Optimal Monetary and Fee Policies

Number of pages: 36 Posted: 10 Oct 2022
Urban J. Jermann and Haotian Xiang
University of Pennsylvania - Finance Department and Guanghua School of Management, Peking University
Downloads 147 (305,285)

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Cryptocurrencies, money growth rates, commitment

16.

A Macro Finance Model for Proof-of-Stake Ethereum

Number of pages: 26 Posted: 25 Jan 2023 Last Revised: 15 Mar 2023
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 115 (369,856)

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Cryptocurrencies, EIP1559, money supply, Ethereum

17.

Financial Innovations and Macroeconomic Volatility

Downloads 114 (367,647)
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 69 (508,619)
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 (624,420)
Citation 2
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Financing constraints, debt-equity finance, business cycle

18.

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 105 (389,315)
Citation 16

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19.

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 70 (498,146)
Citation 7

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20.

Quantitative Asset Pricing Implications of Endogenous Solvency Constraints

Downloads 58 (547,633)

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 58 (556,699)

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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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21.

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 57 (552,105)

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22.

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 49 (590,405)

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23.

Using Asset Prices to Measure the Cost of Business Cycles

Downloads 49 (590,405)

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 49 (602,124)
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

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24.

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 48 (595,580)
Citation 1

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25.

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 (633,561)
Citation 1

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26.

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 34 (675,787)

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27.

Financial Markets’ Views About the Euro-Swiss Franc Floor

NBER Working Paper No. w21977
Number of pages: 18 Posted: 08 Feb 2016 Last Revised: 19 Jan 2023
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 11 (855,827)
Citation 9

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28.

A Production-Based Model for the Term Structure

NBER Working Paper No. w18774
Number of pages: 34 Posted: 09 Feb 2013 Last Revised: 26 Oct 2022
Urban J. Jermann
University of Pennsylvania - Finance Department
Downloads 11 (855,827)
Citation 2

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