George Pennacchi

University of Illinois

Professor of Finance

4041 BIF, Box 25

515 East Gregory Drive

Champaign, IL 61820

United States

http://www.business.illinois.edu/gpennacc/

  • University of Illinois

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    • Tel: 217-244-0952
SCHOLARLY PAPERS

28

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115

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311

Scholarly Papers (28)

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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: 31 Aug 2010
George Pennacchi
University of Illinois
Downloads 1,150 (20,032)

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2.

Contingent Capital: The Case for COERCs

Downloads 1,108 ( 21,188)
Citation 16

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 - Luxembourg School of Finance
Downloads 832 (31,565)
Citation 11

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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 - Luxembourg School of Finance
Downloads 271 (125,530)
Citation 11

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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 - Luxembourg School of Finance
Downloads 5 (712,897)
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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 648 (44,943)
Citation 7

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Corporate governance, premium stock exchange, Brazil

4.

Corporate Taxes and Securitization

Journal of Finance, Forthcoming, KAIST Business School 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: 06 Feb 2014
JoongHo Han, Kwangwoo Park and George Pennacchi
SKKU Business School, KAIST (Korea Advanced Institute of Science and Technology) - College of Business and University of Illinois
Downloads 445 (72,283)
Citation 22

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Loan Sales, Securitization, Corporate Taxes

5.

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

Downloads 444 ( 72,467)
Citation 11

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 328 (102,177)
Citation 6

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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 116 (267,202)

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

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 423 (76,763)
Citation 5

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Capital standards, deposit insurance, procyclical

7.

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 308 (110,158)
Citation 9

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Bank regulation, credit ratings, systematic risk

8.

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

Downloads 293 (116,309)
Citation 10

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

AFA 2005 Philadelphia Meetings Paper, Review of Financial Studies, Forthcoming, KAIST Business School Working Paper Series No. 2005-004, FRB of Cleveland Working Paper No. 07-04
Number of pages: 48 Posted: 16 Jan 2005 Last Revised: 29 Aug 2008
Kwangwoo Park and George Pennacchi
KAIST (Korea Advanced Institute of Science and Technology) - College of Business and University of Illinois
Downloads 293 (115,654)
Citation 11

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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
KAIST (Korea Advanced Institute of Science and Technology) - College of Business and University of Illinois

Abstract:

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G21, G28, G34, L11

9.

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 255 (134,444)
Citation 23

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

10.

Contingent Capital: The Case of COERCs

Downloads 221 (154,534)
Citation 2

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 - Luxembourg School of Finance, University of Illinois and INSEAD - Finance
Downloads 161 (205,706)
Citation 2

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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 - Luxembourg School of Finance, University of Illinois and INSEAD - Finance
Downloads 60 (401,153)

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11.

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 2010
Gary B. Gorton and George Pennacchi
Yale School of Management and University of Illinois
Downloads 195 (173,754)
Citation 23

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12.

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 University of Illinois at Urbana-Champaign - Department of Finance
Downloads 127 (248,647)
Citation 10

Abstract:

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CoCos, equilibrium

13.

Why Do Banks Target ROE?

FRB of New York Staff Report No. 855
Number of pages: 40 Posted: 20 Jun 2018
George Pennacchi and João A. C. Santos
University of Illinois and Federal Reserve Bank of New York
Downloads 73 (357,221)
Citation 3

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banks, ROE, EPS

14.

Security Baskets and Index-Linked Securities

NBER Working Paper No. w3711
Number of pages: 39 Posted: 24 Aug 2010
Gary B. Gorton and George Pennacchi
Yale School of Management and University of Illinois
Downloads 69 (368,282)
Citation 3

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15.

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 67 (374,169)

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16.

Portfolio Allocation for Public Pension Funds

NBER Working Paper No. w16456
Number of pages: 51 Posted: 18 Oct 2010 Last Revised: 19 Dec 2012
George Pennacchi and Mahdi Rastad
University of Illinois and Orfalea College of Business, California State Polytechnic University
Downloads 61 (392,459)
Citation 2

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17.

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 49 (434,121)
Citation 8

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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 University of Illinois at Urbana-Champaign - Department of Finance
Downloads 44 (453,736)
Citation 3

Abstract:

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contingent convertibles

19.

Discounting Pension Liabilities: Funding Versus Value

NBER Working Paper No. w21276
Number of pages: 51 Posted: 15 Jun 2015
Jeffrey R. Brown and George Pennacchi
University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois
Downloads 35 (493,045)
Citation 2

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20.

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 32 (507,750)

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21.

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 24 (552,843)

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Deposit Insurance, Preemptive Tools, Global Financial Crisis

22.

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 24 (552,843)

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23.

Narrow Banking

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

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24.

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

25.

On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models

Posted: 12 May 2000
George Pennacchi, Peter H. Ritchken and L. Sankarasubramanian
University of Illinois, Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN

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26.

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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27.

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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28.

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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