Urban Jermann

Finance Department
The Wharton School of the University of Pennsylvania
3620 Locust Walk
Philadelphia, PA 19104
Tel: 215/898-4184
Fax: 215/898-6200

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
NBER Program Affiliations: AP , IFM
NBER Affiliation: Research Associate
Institutional Affiliation: University of Pennsylvania

NBER Working Papers and Publications

April 2020Should the U.S. Government Issue Floating Rate Notes?
with Jonathan S. Hartley: w27065
January 2019Negative Swap Spreads and Limited Arbitrage

Published: Urban J Jermann, 2020. "Negative Swap Spreads and Limited Arbitrage," The Review of Financial Studies, vol 33(1), pages 212-238.

February 2016Financial Markets’ Views about the Euro-Swiss Franc Floor

Published: URBAN J. JERMANN, 2017. "Financial Markets' Views about the Euro-Swiss Franc Floor," Journal of Money, Credit and Banking, vol 49(2-3), pages 553-565.

February 2013A Production-Based Model for the Term Structure

Published: Journal of Financial Economics Volume 109, Issue 2, August 2013, Pages 293–306 Cover image A production-based model for the term structure ☆ Urban J. Jermanna, b, ,

September 2009Macroeconomic Effects of Financial Shocks
with Vincenzo Quadrini: w15338

Published: Urban Jermann & Vincenzo Quadrini, 2012. "Macroeconomic Effects of Financial Shocks," American Economic Review, American Economic Association, vol. 102(1), pages 238-71, February. citation courtesy of

August 2006The Equity Premium Implied by Production

Published: Jermann, Urban. "The Equity Premium Implied by Production." Journal of Financial Economics. Volume 98, Issue 2, November 2010, Pages 279-296 citation courtesy of

June 2006Financial Innovations and Macroeconomic Volatility
with Vincenzo Quadrini: w12308

Published: Urban Jermann & Vincenzo Quadrini, 2006. "Financial innovations and macroeconomic volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov. citation courtesy of

June 2002Stock Market Boom and the Productivity Gains of the 1990s
with Vincenzo Quadrini: w9034

Published: Jermann, U. J. and V. Quadrini. "Stock Market Boom and the Productivity Gains of the 1990s." Journal of Monetary Economics (March 2007): 413-432. citation courtesy of

July 2001The Size of the Permanent Component of Asset Pricing Kernels
with Fernando Alvarez: w8360
October 2000Using Asset Prices to Measure the Cost of Business Cycles
with Fernando Alvarez: w7978

Published: Alvarez, Fernando and Urban J. Jermann. "Using Asset Prices To Measure The Persistence Of The Marginal Utility Of Wealth," Econometrica, 2005, v73(6,Nov), 1977-2016. Also Fernando Alvarez & Urban J. Jermann. "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 2004. citation courtesy of

March 1999Household Production and the Excess Sensitivity of Consumption to Current Income
with Marianne Baxter: w7046

Published: American Economic Review, Vol. 89, no. 5 (September 1999): 902-920. citation courtesy of

February 1999Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
with Fernando Alvarez: w6953

Published: Alvarez, F. and U. J. Jermann. "Quantitative Asset Pricing Implications Of Endogenous Solvency Constructs," Review of Financial Studies, 2001, v14(4,Oct), 1117-1151. citation courtesy of

March 1998Asset Pricing when Risk Sharing is Limited by Default
with Fernando Alvarez: w6476

Published: Alvarez, Fernando and Urban J. Jermann. "Efficiency, Equilibrium, And Asset Pricing With Risk Of Default," Econometrica, 2000, v68(4,Jul), 775-797.

January 1998International Portfolio Diversification and Labor/Leisure Choice

Published: Jermann, Urban J. "International Portfolio Diversification And Endogenous Labor Supply Choice," European Economic Review, 2002, v46(3,Mar), 507-522.

July 1995Nontraded Goods, Nontraded Factors, and International Non-Diversification
with Marianne Baxter, Robert G. King: w5175

Published: Journal of International Economics, Vol. 44, no. 2 (April 1998): 211-229. citation courtesy of

February 1995The International Diversification Puzzle is Worse Than You Think
with Marianne Baxter: w5019

Published: American Economic Review, march 1997. citation courtesy of

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