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Urban Joseph Jermann

Personal Details

First Name:Urban
Middle Name:Joseph
Last Name:Jermann
Suffix:
RePEc Short-ID:pje4
[This author has chosen not to make the email address public]
http://finance.wharton.upenn.edu/~jermann/
Finance Department The Wharton School of the University of Pennsylvania 3620 Locust Walk Philadelphia, PA 19104-6367
215 898-4184
Terminal Degree:1994 International Economics Section; The Graduate Institute of International and Development Studies (from RePEc Genealogy)

Affiliation

(50%) Finance Department
Wharton School of Business
University of Pennsylvania

Philadelphia, Pennsylvania (United States)
http://finance.wharton.upenn.edu/
RePEc:edi:fdupaus (more details at EDIRC)

(50%) National Bureau of Economic Research (NBER)

Cambridge, Massachusetts (United States)
http://www.nber.org/
RePEc:edi:nberrus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Urban Jermann & Haotian Xiang, 2023. "Dynamic Banking with Non-Maturing Deposits," NBER Working Papers 31057, National Bureau of Economic Research, Inc.
  2. Damien Ackerer & Julien Hugonnier & Urban Jermann, 2023. "Perpetual Futures Pricing," Papers 2310.11771, arXiv.org, revised Sep 2024.
  3. Urban Jermann, 2023. "Gold's Value as an Investment," NBER Working Papers 31386, National Bureau of Economic Research, Inc.
  4. Urban Jermann, 2021. "Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans," NBER Working Papers 29614, National Bureau of Economic Research, Inc.
  5. Jonathan S. Hartley & Urban Jermann, 2020. "Should the U.S. Government Issue Floating Rate Notes?," NBER Working Papers 27065, National Bureau of Economic Research, Inc.
  6. Urban Jermann, 2019. "Negative Swap Spreads and Limited Arbitrage," NBER Working Papers 25422, National Bureau of Economic Research, Inc.
  7. Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2019. "The Two-Pillar Policy for the RMB," FRB Atlanta Working Paper 2019-8, Federal Reserve Bank of Atlanta.
  8. Urban J. Jermann, 2016. "Financial Markets’ Views about the Euro-Swiss Franc Floor," NBER Working Papers 21977, National Bureau of Economic Research, Inc.
  9. Urban Jermann & Lukas Schmid & Joao Gomes, 2014. "Sticky Leverage," 2014 Meeting Papers 40, Society for Economic Dynamics.
  10. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
  11. Jermann, Urban J. & Yue, Vivian Z., 2013. "Interest rate swaps and corporate default," Working Paper Series 1590, European Central Bank.
  12. Fernando Alvarez & Urban J Jermann, 2010. "Asset Pricing When Risk Sharing is Limited by Default," Levine's Working Paper Archive 1898, David K. Levine.
  13. Quadrini, Vincenzo & Jermann, Urban, 2009. "Macroeconomic Effects of Financial Shocks," CEPR Discussion Papers 7451, C.E.P.R. Discussion Papers.
  14. Vincenzo Quadrini & Urban Jermann, 2009. "On the Macroeconomic Effects of Credit Shocks," 2009 Meeting Papers 169, Society for Economic Dynamics.
  15. Quadrini, Vincenzo & Jermann, Urban, 2006. "Financial Innovations and Macroeconomic Volatility," CEPR Discussion Papers 5727, C.E.P.R. Discussion Papers.
  16. Urban Jermann, 2006. "The Equity Premium Implied by Production," NBER Working Papers 12487, National Bureau of Economic Research, Inc.
  17. Vincenzo Quadrini & Urban Jermann, 2005. "Financial Development and Macroeconomic Stability," 2005 Meeting Papers 692, Society for Economic Dynamics.
  18. Urban Jermann & Vincenzo Quadrini, 2002. "Stock Market Boom and the Productivity Gains of the 1990s," NBER Working Papers 9034, National Bureau of Economic Research, Inc.
  19. Alvarez, Fernando & Jermann, Urban J., 2001. "The Size of the Permanent Component of Asset Pricing Kernels," Working Papers 01-4, University of Pennsylvania, Wharton School, Weiss Center.
  20. Alvarez, Fernando & Jermann, Urban J., 2000. "Using Asset Prices to Measure the Cost of Business Cycles," Working Papers 00-1, University of Pennsylvania, Wharton School, Weiss Center.
  21. Marianne Baxter & Urban J. Jermann, 1999. "Household Production and the Excess Sensitivity of Consumption to Current Income," NBER Working Papers 7046, National Bureau of Economic Research, Inc.
  22. Fernando Alvarez & Urban J. Jermann, 1999. "Quantitative asset pricing implications of endogenous solvency constraints," Working Papers 99-5, Federal Reserve Bank of Philadelphia.
  23. Jermann, U.J., 1998. "International Portfolio Diversification and Endogenous Labour Supply Choice," Weiss Center Working Papers 98-06, Wharton School - Weiss Center for International Financial Research.
  24. Urban J. Jermann, 1997. "International portfolio diversification and labor/leisure choice," Discussion Paper / Institute for Empirical Macroeconomics 119, Federal Reserve Bank of Minneapolis.
  25. Marianne Baxter & Urban J. Jermann & Robert G. King, 1995. "Nontraded Goods, Nontraded Factors, and International Non-Diversification," NBER Working Papers 5175, National Bureau of Economic Research, Inc.
  26. Marianne Baxter & Urban J. Jermann, 1995. "The International Diversification Puzzle is Worse Than You Think," NBER Working Papers 5019, National Bureau of Economic Research, Inc.

Articles

  1. Urban Jermann, 2024. "Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans," Journal of Financial Services Research, Springer;Western Finance Association, vol. 65(2), pages 141-152, June.
  2. Hartley, Jonathan S. & Jermann, Urban J., 2024. "The pricing of U.S. Treasury floating rate notes," Journal of Financial Economics, Elsevier, vol. 155(C).
  3. Jermann, Urban & Xiang, Haotian, 2023. "Dynamic banking with non-maturing deposits," Journal of Economic Theory, Elsevier, vol. 209(C).
  4. Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2022. "The Two‐Pillar Policy for the RMB," Journal of Finance, American Finance Association, vol. 77(6), pages 3093-3140, December.
  5. Jermann, Urban J., 2021. "Cryptocurrencies and Cagan’s model of hyperinflation," Journal of Macroeconomics, Elsevier, vol. 69(C).
  6. Urban J Jermann, 2020. "Negative Swap Spreads and Limited Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 212-238.
  7. Jermann, Urban J. & Yue, Vivian Z., 2018. "Interest rate swaps and corporate default," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 104-120.
  8. Urban J. Jermann, 2017. "Financial Markets' Views about the Euro–Swiss Franc Floor," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 553-565, March.
  9. João Gomes & Urban Jermann & Lukas Schmid, 2016. "Sticky Leverage," American Economic Review, American Economic Association, vol. 106(12), pages 3800-3828, December.
  10. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
  11. Urban Jermann & Vincenzo Quadrini, 2012. "Macroeconomic Effects of Financial Shocks," American Economic Review, American Economic Association, vol. 102(1), pages 238-271, February.
  12. Urban Jermann & Vincenzo Quadrini, 2012. "Erratum: Macroeconomic Effects of Financial Shocks," American Economic Review, American Economic Association, vol. 102(2), pages 1186-1186, April.
  13. Jermann, Urban J., 2010. "The equity premium implied by production," Journal of Financial Economics, Elsevier, vol. 98(2), pages 279-296, November.
  14. Jermann, Urban J. & Quadrini, Vincenzo, 2007. "Stock market boom and the productivity gains of the 1990s," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 413-432, March.
  15. Urban J. Jermann & Vincenzo Quadrini, 2006. "Financial innovations and macroeconomic volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
  16. Fernando Alvarez & Urban J. Jermann, 2005. "Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth," Econometrica, Econometric Society, vol. 73(6), pages 1977-2016, November.
  17. Fernando Alvarez & Urban J. Jermann, 2004. "Using Asset Prices to Measure the Cost of Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1223-1256, December.
  18. Jermann, Urban J., 2002. "International portfolio diversification and endogenous labor supply choice," European Economic Review, Elsevier, vol. 46(3), pages 507-522, March.
  19. Urban Jermann, 2002. "EconomicDynamics Interviews Urban Jermann on Asset Pricing," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 3(2), April.
  20. Alvarez, Fernando & Jermann, Urban J, 2001. "Quantitative Asset Pricing Implications of Endogenous Solvency Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 14(4), pages 1117-1151.
  21. Fernando Alvarez & Urban J. Jermann, 2000. "Efficiency, Equilibrium, and Asset Pricing with Risk of Default," Econometrica, Econometric Society, vol. 68(4), pages 775-798, July.
  22. Jermann, Urban J., 1999. "Social security and institutions for intergenerational, intragenerational, and international risk-sharing : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 50(1), pages 205-212, June.
  23. Urban J. Jermann & Marianne Baxter, 1999. "Household Production and the Excess Sensitivity of Consumption to Current Income," American Economic Review, American Economic Association, vol. 89(4), pages 902-920, September.
  24. Jermann, Urban J., 1998. "Asset pricing in production economies," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 257-275, April.
  25. Baxter, Marianne & Jermann, Urban J. & King, Robert G., 1998. "Nontraded goods, nontraded factors, and international non-diversification," Journal of International Economics, Elsevier, vol. 44(2), pages 211-229, April.
  26. Baxter, Marianne & Jermann, Urban J. & King, Robert G., 1998. "Synthetic returns on NIPA assets: An international comparison," European Economic Review, Elsevier, vol. 42(6), pages 1141-1172, June.
  27. Baxter, Marianne & Jermann, Urban J, 1997. "The International Diversification Puzzle Is Worse Than You Think," American Economic Review, American Economic Association, vol. 87(1), pages 170-180, March.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. Number of Registered Citing Authors
  19. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  20. Number of Journal Pages, Weighted by Simple Impact Factor
  21. Number of Journal Pages, Weighted by Recursive Impact Factor
  22. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  23. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  24. Euclidian citation score
  25. Breadth of citations across fields
  26. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 21 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-DGE: Dynamic General Equilibrium (11) 1999-02-15 1999-04-27 2002-07-04 2005-12-01 2006-06-24 2006-09-03 2006-10-28 2009-09-19 2009-11-27 2013-12-06 2014-07-28. Author is listed
  2. NEP-MAC: Macroeconomics (11) 2005-12-01 2006-06-24 2006-09-03 2006-10-28 2009-09-19 2009-11-27 2013-02-16 2014-07-28 2020-05-11 2022-02-07 2023-04-24. Author is listed
  3. NEP-FIN: Finance (6) 1999-08-04 2002-07-04 2005-12-01 2006-06-24 2006-09-03 2006-10-28. Author is listed
  4. NEP-BEC: Business Economics (5) 2006-06-24 2006-09-03 2009-09-19 2009-11-27 2013-12-06. Author is listed
  5. NEP-CBA: Central Banking (4) 2006-06-24 2009-09-19 2009-11-27 2019-05-06
  6. NEP-FMK: Financial Markets (4) 2002-07-04 2006-06-24 2006-09-03 2020-05-11
  7. NEP-MIC: Microeconomics (2) 1999-02-15 1999-04-27
  8. NEP-MON: Monetary Economics (2) 2016-03-29 2019-05-06
  9. NEP-RMG: Risk Management (2) 2013-11-16 2023-11-20
  10. NEP-AGR: Agricultural Economics (1) 1999-04-27
  11. NEP-BAN: Banking (1) 2023-04-24
  12. NEP-CNA: China (1) 2019-05-06
  13. NEP-CWA: Central and Western Asia (1) 2022-02-07
  14. NEP-FDG: Financial Development and Growth (1) 2023-04-24
  15. NEP-GEN: Gender (1) 2020-05-11
  16. NEP-HIS: Business, Economic and Financial History (1) 2006-10-28
  17. NEP-IPR: Intellectual Property Rights (1) 2024-10-14
  18. NEP-LAB: Labour Economics (1) 1999-04-27
  19. NEP-OPM: Open Economy Macroeconomics (1) 2013-12-06
  20. NEP-PKE: Post Keynesian Economics (1) 2005-12-01
  21. NEP-TRA: Transition Economics (1) 2019-05-06
  22. NEP-UPT: Utility Models and Prospect Theory (1) 2006-09-03

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