Urban J. Jermann
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Research Subjects
Research Interests
Urban J. Jermann has a total of 4 co-authors. Here are the top co-authors by number of shared publications:
Fernando Alvarez
Dept. of Economics, University of Chicago, Chicago, IL 60637, U.S.A.; and NBER; f‐and Dept. of Finance, The Wharton School, University of Pennsylvania, 3620 Locust Walk, Philadelphia, PA 19104‐6367, U.S.A.; and NBER;; http://finance.wharton.upenn.edu/~jermann
2 shared publications- Bin Wei
Federal Reserve Bank of Atlanta, United States
1 shared publication - Jonathan S. Hartley
Stanford University, United States of America
1 shared publication - Vivian Yue
Board of Governors of the Federal Reserve System (U.S.)
1 shared publication
Latest Publications
- 8 November 2024
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 38 (2) , 422-456
Gold’s Value as an Investment
This paper presents an approach for pricing gold from investors’ perspective. The model is based on no-arbitrage principles with minimal structural assumptions. There is no need to specify investor preferences. When fitted to match 10-year real U.S. Treasury rates, the model can replicate the salient fluctuations in the time series of gold prices since 2007. The model is also able to capture key patterns of CME Comex gold futures prices. The model implies that the majority of the value of gold is due to its role as an investment asset. (JEL G12, G13)
- 8 November 2024
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 38 (2) , 422-456
Gold’s Value as an Investment
This paper presents an approach for pricing gold from investors’ perspective. The model is based on no-arbitrage principles with minimal structural assumptions. There is no need to specify investor preferences. When fitted to match 10-year real U.S. Treasury rates, the model can replicate the salient fluctuations in the time series of gold prices since 2007. The model is also able to capture key patterns of CME Comex gold futures prices. The model implies that the majority of the value of gold is due to its role as an investment asset. (JEL G12, G13)
- 27 March 2024
- Published by Elsevier in Journal of Financial Economics
- Vol. 155
The pricing of U.S. Treasury floating rate notes
- 27 March 2024
- Published by Elsevier in Journal of Financial Economics
- Vol. 155
The pricing of U.S. Treasury floating rate notes
- 27 July 2023
- Published by Springer Nature in Journal of Financial Services Research
- Vol. 65 (2-3) , 1-12
Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans
- 27 July 2023
- Published by Springer Nature in Journal of Financial Services Research
- Vol. 65 (2-3) , 1-12
Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans
- 1 November 2005
- Published by The Econometric Society in Econometrica
- Vol. 73 (6) , 1977-2016
Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
- 1 November 2005
- Published by The Econometric Society in Econometrica
- Vol. 73 (6) , 1977-2016
Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
- 1 October 2001
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 14 (4) , 1117-1151
Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
We study the asset pricing implications of an economy where solvency constraints are endogenously determined to deter agents from defaulting while allowing as much risk sharing as possible. We solve analytically for efficient allocations and for the corresponding asset prices, portfolio holdings, and solvency constraints for a simple example. Then we calibrate a more general model to U.S. aggregate as well as idiosyncratic income processes. We find equity premia, risk premia for long-term bonds, and Sharpe ratios of magnitudes similar to the U.S. data for lowrisk aversion and a low time-discount factor.
- 1 October 2001
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 14 (4) , 1117-1151
Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
We study the asset pricing implications of an economy where solvency constraints are endogenously determined to deter agents from defaulting while allowing as much risk sharing as possible. We solve analytically for efficient allocations and for the corresponding asset prices, portfolio holdings, and solvency constraints for a simple example. Then we calibrate a more general model to U.S. aggregate as well as idiosyncratic income processes. We find equity premia, risk premia for long-term bonds, and Sharpe ratios of magnitudes similar to the U.S. data for lowrisk aversion and a low time-discount factor.