George Pennacchi

University of Illinois

Professor of Finance

4041 BIF, Box 25

515 East Gregory Drive

Champaign, IL 61820

United States

http://https://giesbusiness.illinois.edu/profile/george-pennacchi

SCHOLARLY PAPERS

33

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SSRN CITATIONS
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Top 2,785

in Total Papers Citations

328

CROSSREF CITATIONS

320

Scholarly Papers (33)

1.

A Structural Model of Contingent Bank Capital

FRB of Cleveland Working Paper No. 10-04
Number of pages: 46 Posted: 24 Apr 2010 Last Revised: 05 Feb 2024
George Pennacchi
University of Illinois
Downloads 1,372 (27,373)
Citation 1

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2.
Downloads 1,185 (33,918)
Citation 20

Contingent Capital: The Case for COERCs

INSEAD Working Paper No. 2011/133/FIN
Number of pages: 54 Posted: 04 May 2011 Last Revised: 23 Dec 2011
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg
Downloads 862 (52,307)
Citation 10

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Contingent Capital: The Case for COERCs

Number of pages: 49 Posted: 16 Mar 2011
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg
Downloads 318 (176,890)
Citation 12

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Convertible bonds, bank capital, death spiral, debt overhang

Contingent Capital: The Case for COERCs

CEPR Discussion Paper No. DP8028
Number of pages: 46 Posted: 22 Nov 2010
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg
Downloads 5 (1,146,295)
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Banks, Financial crisis, Financial stability, Security design

3.

Can a Stock Exchange Improve Corporate Behavior? Evidence from Firms' Migration to Premium Listings in Brazil

Journal of Corporate Finance, Forthcoming
Number of pages: 48 Posted: 09 Mar 2005 Last Revised: 20 May 2011
Antonio Gledson De Carvalho and George Pennacchi
Fundacao Getulio Vargas School of Business at Sao Paulo and University of Illinois
Downloads 684 (72,132)
Citation 13

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Corporate governance, premium stock exchange, Brazil

Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates

Number of pages: 52 Posted: 17 Mar 2009
Joseph G. Haubrich, Peter H. Ritchken and George Pennacchi
Federal Reserve Bank of Cleveland, Case Western Reserve University - Department of Banking & Finance and University of Illinois
Downloads 391 (141,034)
Citation 7

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Term Structure, Inflation-Indexed Securities

Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates

FRB of Cleveland Working Paper No. 08-10
Number of pages: 53 Posted: 18 Apr 2012
Joseph G. Haubrich, George Pennacchi and Peter H. Ritchken
Federal Reserve Bank of Cleveland, University of Illinois and Case Western Reserve University - Department of Banking & Finance
Downloads 208 (270,672)

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Term structure of interest rates, infl ation expectations, asset pricing

5.

Corporate Taxes and Securitization

Journal of Finance, Forthcoming, KAIST College of Business Working Paper Series No. 2010-005, KDI School of Pub Policy & Management Paper No. 10-12
Number of pages: 48 Posted: 09 Aug 2010 Last Revised: 18 Mar 2021
JoongHo Han, Kwangwoo Park and George Pennacchi
SKKU Business School, College of Business, Korea Advanced Institute of Science and Technology (KAIST) and University of Illinois
Downloads 488 (109,883)
Citation 32

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Loan Sales, Securitization, Corporate Taxes

6.

Risk-Based Capital Standards, Deposit Insurance and Procyclicality

FDIC Center For Financial Research Working Paper No. 2004-05
Number of pages: 52 Posted: 01 Apr 2005
George Pennacchi
University of Illinois
Downloads 459 (118,131)
Citation 11

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Capital standards, deposit insurance, procyclical

7.

Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps

FRB of Cleveland Working Paper No. 1107
Number of pages: 58 Posted: 14 Mar 2011
Joseph G. Haubrich, George Pennacchi and Peter H. Ritchken
Federal Reserve Bank of Cleveland, University of Illinois and Case Western Reserve University - Department of Banking & Finance
Downloads 387 (143,926)
Citation 68

Abstract:

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Term structure of interest rates, infl ation expectations, asset pricing

8.

Bank Regulation, Credit Ratings, and Systematic Risk

Number of pages: 45 Posted: 14 Mar 2012
George Pennacchi and Giuliano Iannotta
University of Illinois and Università Cattolica
Downloads 368 (152,204)
Citation 9

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Bank regulation, credit ratings, systematic risk

Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation

AFA 2005 Philadelphia Meetings Paper, Review of Financial Studies, Forthcoming, KAIST College of Business Working Paper Series No. 2005-004, FRB of Cleveland Working Paper No. 07-04
Number of pages: 48 Posted: 16 Jan 2005 Last Revised: 18 Mar 2021
Kwangwoo Park and George Pennacchi
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and University of Illinois
Downloads 341 (164,699)
Citation 19

Abstract:

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Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation

The Review of Financial Studies, Vol. 22, Issue 1, pp. 1-40, 2009
Posted: 03 Jan 2009
Kwangwoo Park and George Pennacchi
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and University of Illinois

Abstract:

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G21, G28, G34, L11

10.
Downloads 286 (199,132)
Citation 13

Contingent Capital: The Case of COERCs

AFA 2013 San Diego Meetings Paper
Number of pages: 54 Posted: 16 Mar 2012
Christian C. P. Wolff, George Pennacchi and Theo Vermaelen
University of Luxembourg, University of Illinois and INSEAD - Finance
Downloads 185 (301,237)
Citation 5

Abstract:

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crisis, banks, recapitalization, reverse convertible

Contingent Capital: The Case of COERCs

Number of pages: 53 Posted: 26 Jan 2012
Christian C. P. Wolff, George Pennacchi and Theo Vermaelen
University of Luxembourg, University of Illinois and INSEAD - Finance
Downloads 82 (561,925)

Abstract:

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Contingent Capital: The Case of COERCs

Number of pages: 52 Posted: 12 Mar 2013
George Pennacchi, Theo Vermaelen and Christian C. P. Wolff
University of Illinois, INSEAD - Finance and University of Luxembourg
Downloads 19 (998,497)
Citation 7

Abstract:

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convertible bonds

Syndicated Loan Risk: The Effects of Covenants and Collateral

Number of pages: 51 Posted: 27 Apr 2021
Jianglin Dennis Ding and George Pennacchi
Roger Williams University - Gabelli School of Business and University of Illinois
Downloads 252 (225,002)

Abstract:

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syndicated loan, covenants, collateral

Syndicated Loan Risk: The Effects of Covenants and Collateral

Number of pages: 55 Posted: 20 Feb 2024
George Pennacchi and Jianglin Dennis Ding
University of Illinois and Roger Williams University - Gabelli School of Business
Downloads 15 (1,042,962)

Abstract:

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syndicated loans, covenants, collateral

12.

Banks and Loan Sales: Marketing Non-Marketable Assets

NBER Working Paper No. w3551
Number of pages: 42 Posted: 27 Apr 2000 Last Revised: 16 Sep 2022
Gary B. Gorton and George Pennacchi
Yale School of Management and University of Illinois
Downloads 245 (232,402)
Citation 29

Abstract:

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13.

Why Do Banks Target ROE?

FRB of New York Staff Report No. 855, Journal of Financial Stability 54, 1-19, 2021.
Number of pages: 40 Posted: 20 Jun 2018 Last Revised: 19 Sep 2023
George Pennacchi and João A. C. Santos
University of Illinois and Federal Reserve Bank of New York
Downloads 190 (294,774)
Citation 4

Abstract:

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banks, ROE, EPS

14.

A Reexamination of Contingent Convertibles with Stock Price Triggers

Number of pages: 46 Posted: 02 May 2016
George Pennacchi and Alexei Tchistyi
University of Illinois and Cornell SC Johnson College of Business
Downloads 170 (325,108)
Citation 9

Abstract:

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CoCos, equilibrium

The Role of Regulation and Bank Competition in Small Firm Financing: Evidence from the Community Reinvestment Act

Number of pages: 39 Posted: 17 Mar 2021 Last Revised: 15 Mar 2022
Alba Graduate Business School, The American College of Greece, University of Illinois, Drexel University and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 84 (553,495)

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Competition, Regulation, Information production, Small business loans

The Role of Regulation and Bank Competition in Small Firm Financing: Evidence from the Community Reinvestment Act

FRB of Philadelphia Working Paper No. 22-6
Number of pages: 49 Posted: 18 Feb 2022
Alba Graduate Business School, The American College of Greece, University of Illinois, Drexel University and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 41 (795,793)

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Competition, Regulation, Trade credit, Small business loans

16.

Security Baskets and Index-Linked Securities

NBER Working Paper No. w3711
Number of pages: 39 Posted: 24 Aug 2010 Last Revised: 24 Aug 2022
Gary B. Gorton and George Pennacchi
Yale School of Management and University of Illinois
Downloads 109 (461,484)
Citation 14

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17.

Valuing Interest Payment Guarantees on Developing Country Debt

IMF Working Paper No. 90/18
Number of pages: 26 Posted: 15 Feb 2006
Eduardo Borensztein and George Pennacchi
Inter-American Development Bank (IADB) and University of Illinois
Downloads 101 (487,043)

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18.

On Equilibrium When Contingent Capital Has a Market Trigger: A Correction to Sundaresan and Wang Journal of Finance (2015)

Journal of Finance, Forthcoming
Number of pages: 30 Posted: 16 Jul 2018
George Pennacchi and Alexei Tchistyi
University of Illinois and Cornell SC Johnson College of Business
Downloads 93 (514,130)
Citation 3

Abstract:

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contingent convertibles

19.

Portfolio Allocation for Public Pension Funds

NBER Working Paper No. w16456
Number of pages: 51 Posted: 18 Oct 2010 Last Revised: 19 Jun 2023
George Pennacchi and Mahdi Rastad
University of Illinois and Orfalea College of Business, California State Polytechnic University
Downloads 92 (517,591)
Citation 2

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20.

Bank Deposit Rate Clustering: Theory and Empirical Evidence

FRB of Cleveland Working Paper No. 9604
Number of pages: 32 Posted: 17 Jan 2015
Charles M. Kahn, George Pennacchi and Ben J. Sopranzetti
University of Illinois, Urbana-Champaign, University of Illinois and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 80 (563,863)
Citation 6

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21.

Benchmarking the Effects of the Fed’s Secondary Market Corporate Credit Facility Using Yankee Bonds

Number of pages: 43 Posted: 18 Nov 2021
Hui Xu and George Pennacchi
Lancaster University - Lancaster University Management School and University of Illinois
Downloads 72 (598,440)
Citation 2

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SMCCF, Corporate Bond, Credit Risk, Covid-19

22.

Discounting Pension Liabilities: Funding Versus Value

NBER Working Paper No. w21276
Number of pages: 51 Posted: 15 Jun 2015 Last Revised: 19 Feb 2023
Jeffrey R. Brown and George Pennacchi
University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois
Downloads 67 (621,860)
Citation 5

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23.

Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term

NBER Working Paper No. w1625
Number of pages: 38 Posted: 29 Jun 2004 Last Revised: 11 Oct 2008
Stanley Fischer and George Pennacchi
Bank of Israel and University of Illinois
Downloads 57 (674,043)

Abstract:

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24.

Preemptive Tools to Mitigate Financial System Risk: Lessons from the Recent Global Financial Crisis

Financial Stability Studies, Vol. 17, No. 2, Korea Deposit Insurance Corporation(KDIC), 2016, pp. 1-18.
Number of pages: 18 Posted: 10 Aug 2017 Last Revised: 09 Jan 2019
George Pennacchi
University of Illinois
Downloads 55 (685,299)

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Deposit Insurance, Preemptive Tools, Global Financial Crisis

25.

Estimating the Cost of U.S. Indexed Bonds

FRB of Cleveland Working Paper No. 9701
Number of pages: 29 Posted: 17 Jan 2015
Silverio Foresi, Alessandro Penati and George Pennacchi
Goldman Sachs Group, Inc. - Quantitative Strategy Group, Catholic University of the Sacred Heart of Milan and University of Illinois
Downloads 44 (754,677)

Abstract:

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Benchmarking the Effects of the Fed's Secondary Market Corporate Credit Facility Using Yankee Bonds

Number of pages: 56 Posted: 28 Mar 2022
George Pennacchi and Hui Xu
University of Illinois and Lancaster University - Lancaster University Management School
Downloads 20 (987,682)

Abstract:

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Federal Reserve Secondary Market Corporate Credit Facility, Yankee Bonds

Benchmarking the Effects of the Fed's Secondary Market Corporate Credit Facility Using Yankee Bonds

Number of pages: 65 Posted: 08 Jul 2022
George Pennacchi and Hui Xu
University of Illinois and Lancaster University - Lancaster University Management School
Downloads 19 (998,497)

Abstract:

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Federal Reserve Secondary Market Corporate Credit Facility, Yankee Bonds

27.

Ratings-based Regulation and Systematic Risk Incentives

Review of Financial Studies 32(4) 1374-1415, 2019.
Number of pages: 51 Posted: 16 Oct 2023
Giuliano Iannotta, George Pennacchi and João A. C. Santos
Università Cattolica, University of Illinois and Federal Reserve Bank of New York
Downloads 26 (898,451)
Citation 5

Abstract:

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Regulation, credit ratings, systematic risk

28.

Narrow Banking

Annual Review of Financial Economics, Vol. 4, pp. 141-159, 2012
Posted: 04 Nov 2012
George Pennacchi
University of Illinois

Abstract:

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29.

The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach

Posted: 17 Feb 2004
George Pennacchi and Michael Falkenheim
University of Illinois and Office of Management and Budget (OMB)

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Deposit insurance, market comparable valuation

30.

On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models

Posted: 12 May 2000
University of Illinois, Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN

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31.

The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures

Posted: 04 May 2000
Narasimhan Jegadeesh and George Pennacchi
Emory University - Department of Finance and University of Illinois

Abstract:

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32.

Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, September 1996
Posted: 13 May 1998
David E. Hutchison and George Pennacchi
University of Illinois at Urbana-Champaign - Department of Accountancy and University of Illinois

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33.

Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, March 1996
Posted: 17 Sep 1996
Stijn Claessens and George Pennacchi
Bank for International Settlements (BIS) and University of Illinois

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