Urban Jermann

Urban Jermann
  • Safra Professor of International Finance and Capital Markets
  • Professor of Finance

Contact Information

  • office Address:

    2327 Steinberg-Dietrich Hall
    3620 Locust Walk
    Philadelphia, PA 19104

Research Interests: asset pricing, international finance, macroeconomics

Links: CV, Personal Website

Overview

Education

PhD, The Graduate Institute of International Studies, Geneva, Switzerland, 1994; Licence, Universite de Geneve, Faculte des sciences economiques et sociales, Geneva, Switzerland, 1988.

Academic Positions Held

Wharton: 1994-present (named Safra Professor of International Finance and Capital Markets, 2007). Previous appointments: University of Virginia; Universite de Geneve. Visiting appointment: University of Rochester.

Other Positions

Co-Editor Journal of Monetary Economics, Editor Review of Economic Dynamics.

NBER Research Associate, Asset Pricing, International Finance & Macroecononomics.

Senior Economist, Federal Reserve Bank of Minneapolis, 2000-01; Visiting Scholar, Federal Reserve Bank of Philadelphia, 1997, 1999, 2007-2012; Economist, National Australia Bank, Melbourne, 1988-89.
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Research

  • Joao F. Gomes, Urban Jermann, Lukas Schmid (2016), Sticky Leverage, American Economic Review, 2016.

    Abstract: We develop a tractable general equilibrium model that captures the interplay between nominal long-term corporate debt, inflation, and real aggregates. We show that unanticipated inflation changes the real burden of debt and, more significantly, leads to a debt overhang that distorts future investment and production decisions. For these effects to be both large and very persistent it is essential that debt maturity exceeds one period. We also show that interest rate rules can help stabilize our economy.

  • Urban Jermann and Vincenzo Quadrini (2012), Macroeconomic Effects of Financial Shocks, American Economic Review.

  • Urban Jermann (2010), The Equity Premium Implied by Production, Journal of Financial Economics.

  • Urban Jermann and Vincenzo Quadrini (2007), Stock Market Boom and the Productivity Gains of the 1990s, Journal of Monetary Economics.

  • Fernando Alvarez and Urban Jermann (2005), Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth, Econometrica, November 2005, 1977-2016.

  • Fernando Alvarez and Urban Jermann (2004), Using Asset Prices to Measure the Cost of Business Cycles, Journal of Political Economy, December 2004, 1223-56.

Teaching

Current Courses

  • FNCE219 - International Financial Markets

    FNCE 219 is a course on international financial markets. Major topics include foreign exchange rates, international money markets, currency and interest rate derivatives (forwards, options, and swaps), international stock and bond portfolios, and cryptocurrencies. Students learn about the features of financial instruments and the motivations of market participants. The class focuses on risk management, investing, and arbitrage relations in these markets.

    FNCE219001 ( Syllabus )

    FNCE219002 ( Syllabus )

  • FNCE719 - International Financial Markets

    FNCE 719 is a course on international financial markets. Major topics include foreign exchange rates, international money markets, currency and interest rate derivatives (forwards, options, and swaps), international stock and bond portfolios, and cryptocurrencies. Students learn about the features of financial instruments and the motivations of market participants. The class focuses on risk management, investing, and arbitrage relations in these markets.

    FNCE719001 ( Syllabus )

Past Courses

  • FNCE101 - Monetary Economics and the Global Economy

    FNCE 101 is an intermediate-level course in macroeconomics and the global economy, including topics in monetary and international economics. The goal is to provide a unified framework for understanding macroeconomic events and policy, which govern the global economic environment of business. The course analyzes the determinants and behavior of employment, production, demand and profits; inflation, interest rates, asset prices, and wages; exchange rates and international flows of goods and assets; including the interaction of the real economy with monetary policy and the financial system. The analysis is applied to current events, both in the US and abroad. ,HONORS FNCE 101 is only offered in the Fall semester. Registration for this class is through an application process. Please go to: https:fnce.wharton.upenn.edu/programs-course-applications, This course presents the analysis of macroeconomic theory with a current events perspective. The material in the class concentrates on lecture notes, which are the primary learning source, and readings from a course packet of articles drawn from journals, magazines, newspapers, and other economic publications. The material covered will include: (1) Economic Statistics, GDP, Price Indices,Productivity and the nature of the business cycle, (2) The government budget and Social Security, (3) Monetary policy, The Fed and other Central Banks,(4) Interest rates - indexed bonds and ther term structure (5) Aggregate Demand and the determination of income and interest rate, (6) Money and Inflation - the Velocity Approach, (7) Reaction of Financial Markets to economic data,(8) Inflation, inflationary expectations and the Phillips Curve,(9) Supply-side shocks and macro-dynamics, (10) International Balance of Payments, the current account and capital flows, (11) Determination of Exchange Rates, exchange rate systems, purchasing power and interest rate parity.

  • FNCE219 - International Financial Markets

    FNCE 219 is a course on international financial markets. Major topics include foreign exchange rates, international money markets, currency and interest rate derivatives (forwards, options, and swaps), international stock and bond portfolios, and cryptocurrencies. Students learn about the features of financial instruments and the motivations of market participants. The class focuses on risk management, investing, and arbitrage relations in these markets.

  • FNCE399 - Supervised Study in Finance

    Integrates the work of the various courses and familiarizes the student with the tools and techniques of research.

  • FNCE719 - International Financial Markets

    FNCE 719 is a course on international financial markets. Major topics include foreign exchange rates, international money markets, currency and interest rate derivatives (forwards, options, and swaps), international stock and bond portfolios, and cryptocurrencies. Students learn about the features of financial instruments and the motivations of market participants. The class focuses on risk management, investing, and arbitrage relations in these markets.

  • FNCE899 - Independent Study Project in Finance

    Independent Study Projects require extensive independent work and a considerable amount of writing. ISP in Finance are intended to give students the opportunity to study a particular topic in Finance in greater depth than is covered in the curriculum. The application for ISP's should outline a plan of study that requires at least as much work as a typical course in the Finance Department that meets twice a week. At a minimum, we need a description of the methodology you intend to employ, a bibliography and description of the data that you will use as well as a list of interim deliverables and dates to ensure that you complete the project within the semester. Applications for FNCE 899 ISP's will not be accepted after the THIRD WEEK OF THE SEMESTER. You must submit your Finance ISP request using the Finance Department's ISP form located at https://fnce.wharton.upenn.edu under the Course ISP section

Activity

Latest Research

Joao F. Gomes, Urban Jermann, Lukas Schmid (2016), Sticky Leverage, American Economic Review, 2016.
All Research