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George G. Pennacchi

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Personal Details

First Name: George
Middle Name: G.
Last Name: Pennacchi
Suffix:

RePEc Short-ID: ppe479

Email: [This author has chosen not to make the email address public]
Homepage: http://business.illinois.edu/gpennacc/
Postal Address:
Phone:

Affiliation

Department of Finance
College of Business
University of Illinois at Urbana-Champaign
Location: Urbana-Champaign, Illinois (United States)
Homepage: http://www.business.illinois.edu/finance/
Email:
Phone: (217) 244-2239
Fax: (217) 244-3102
Postal: 340 Wohlers Hall, MC 706, 1206 South Sixth Street, Champaign, IL 61820
Handle: RePEc:edi:dfuiuus (more details at EDIRC)

Works

as in new window

Working papers

  1. Joseph G. Haubrich & George Pennacchi & Peter Ritchken, 2011. "Inflation expectations, real rates, and risk premia: evidence from inflation swaps," Working Paper 1107, Federal Reserve Bank of Cleveland.
  2. George Pennacchi & Mahdi Rastad, 2010. "Portfolio Allocation for Public Pension Funds," NBER Working Papers 16456, National Bureau of Economic Research, Inc.
  3. George Pennacchi, 2010. "A structural model of contingent bank capital," Working Paper 1004, Federal Reserve Bank of Cleveland.
  4. Pennacchi, George G. & Vermaelen, Theo & Wolff, Christian C, 2010. "Contingent Capital: The Case for COERCs," CEPR Discussion Papers 8028, C.E.P.R. Discussion Papers.
  5. Joseph G. Haubrich & George Pennacchi & Peter Ritchken, 2008. "Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates," Working Paper 0810, Federal Reserve Bank of Cleveland.
  6. Kwangwoo Park & George Pennacchi, 2007. "Harming depositors and helping borrowers: the disparate impact of bank consolidation," Working Paper 0704, Federal Reserve Bank of Cleveland.
  7. Charles Kahn & George Pennacchi & Ben Sopranzetti, 2001. "Bank Consolidation and Consumer Loan Interest Rates," Center for Financial Institutions Working Papers 01-14, Wharton School Center for Financial Institutions, University of Pennsylvania.
  8. Pennacchi & Pennacchi, George, 1998. "Government guarantees on pension fund returns," Social Protection Discussion Papers 20049, The World Bank.
  9. Silverio Foresi & Alessandro Penati & George Pennacchi, 1997. "Estimating the cost of U.S. indexed bonds," Working Paper 9701, Federal Reserve Bank of Cleveland.
  10. Charles Kahn & George Pennacchi & Ben Sopranzetti, 1996. "Bank deposit rate clustering: theory and empirical evidence," Working Paper 9604, Federal Reserve Bank of Cleveland.
  11. David E. Hutchison & George G. Pennacchi, 1992. "A framework for estimating the value and interest rate risk of retail bank deposits," Working Paper Series, Issues in Financial Regulation 92-30, Federal Reserve Bank of Chicago.
  12. Claessens, Stijn & Pennacchi, George, 1992. "Deriving developing country repayment capacity from the market prices of sovereign debt," Policy Research Working Paper Series 1043, The World Bank.
  13. Gary Gorton & George Pennacchi, 1990. "Banks and Loan Sales: Marketing Non-Marketable Assets," NBER Working Papers 3551, National Bureau of Economic Research, Inc.
  14. Stanley Fischer & George Pennacchi, 1985. "Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term," NBER Working Papers 1625, National Bureau of Economic Research, Inc.
  15. George Pennacchi & Gary Gorton, . "Security Baskets and Index-Linked Securities," Rodney L. White Center for Financial Research Working Papers 29-89, Wharton School Rodney L. White Center for Financial Research.
  16. Stanley Fischer & George G. Pennacchi, . "Serial Correlation of Asset Returns and Optimal Portfolios for the Short and Long Term," Rodney L. White Center for Financial Research Working Papers 09-85, Wharton School Rodney L. White Center for Financial Research.
  17. Gary B. Gorton & George Pennacchi, . "Transaction Contracts," Rodney L. White Center for Financial Research Working Papers 34-88, Wharton School Rodney L. White Center for Financial Research.
  18. George Pennacchi, . "Loan Sales and the Cost of Bank Capital," Rodney L. White Center for Financial Research Working Papers 07-87, Wharton School Rodney L. White Center for Financial Research.
  19. Gary Gorton & George Pennacchi, . "Banks and Loan Sales: Marketing Non-Marketable Assets (Reprint 051)," Rodney L. White Center for Financial Research Working Papers 27-90, Wharton School Rodney L. White Center for Financial Research.
  20. George G. Pennacchi, . "Government Guarantees for Old Age Income," Pension Research Council Working Papers 97-10, Wharton School Pension Research Council, University of Pennsylvania.
  21. Gary Gorton & George Pennacchi, . "Are Loan Sales Really Off-Balance Sheet," Rodney L. White Center for Financial Research Working Papers 18-88, Wharton School Rodney L. White Center for Financial Research.
  22. George G. Pennacchi, . "An Empirical Investigation of Bond Prices and Inflation," Rodney L. White Center for Financial Research Working Papers 17-88, Wharton School Rodney L. White Center for Financial Research.
  23. A. Pennacchi, . "Information Disclosure and Bank Runs," Rodney L. White Center for Financial Research Working Papers 12-86, Wharton School Rodney L. White Center for Financial Research.
  24. George Pennacchi, . "Partial Deposit, Bank Runs and Private Deposit Insurance," Rodney L. White Center for Financial Research Working Papers 17-84, Wharton School Rodney L. White Center for Financial Research.
  25. Alessandro Penati & George Pennacchi, . "Optimal Portfolio Choice and the Collapse of a Fixed-Exchange Rate Regime," Rodney L. White Center for Financial Research Working Papers 25-86, Wharton School Rodney L. White Center for Financial Research.
  26. George G. Pennacchi, . "Effects of Non-Assumable Mortgage Finance on Housing Demand and Relocation Decisions," Rodney L. White Center for Financial Research Working Papers 7-85, Wharton School Rodney L. White Center for Financial Research.

Articles

  1. Joseph Haubrich & George Pennacchi & Peter Ritchken, 2012. "Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1588-1629.
  2. Pennacchi, George & Rastad, Mahdi, 2011. "Portfolio allocation for public pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 10(02), pages 221-245, April.
  3. Pennacchi, George G., 2010. "Special Issue: Risk Transfer Mechanisms and Financial Stability," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 305-307, July.
  4. Kwangwoo Park & George Pennacchi, 2009. "Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 1-40, January.
  5. Chen, Hsiu-lang & Pennacchi, George G., 2009. "Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(04), pages 745-775, August.
  6. Beck, Thorsten & Laeven, Luc & Levine, Ross & Pennacchi, George, 2008. "Special issue: Banking and bank regulation: Challenges for the future," Journal of Financial Intermediation, Elsevier, vol. 17(4), pages 509-510, October.
  7. Pennacchi, George, 2008. "Restructuring Retirement Risks. Edited by Blitzstein David, S. Mitchell Olivia, and P. Utkus Stephen. Oxford University Press, 2006, ISBN 0-19-920465-9, 272 pages," Journal of Pension Economics and Finance, Cambridge University Press, vol. 7(03), pages 363-365, November.
  8. Pennacchi, George, 2006. "Deposit insurance, bank regulation, and financial system risks," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 1-30, January.
  9. Pennacchi, George G., 2005. "Risk-based capital standards, deposit insurance, and procyclicality," Journal of Financial Intermediation, Elsevier, vol. 14(4), pages 432-465, October.
  10. Michael Falkenheim & George Pennacchi, 2003. "The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach," Journal of Financial Services Research, Springer, vol. 24(2), pages 121-148, October.
  11. Dilip Madan & George Pennacchi, 2003. "Introduction: Special Issue on Pricing the Risks of Deposit Insurance," Journal of Financial Services Research, Springer, vol. 24(2), pages 89-92, October.
  12. George G. Pennacchi, 2002. "Bank deposit insurance and business cycles: controlling the volatility of risk-based premiums," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
  13. George Pennacchi, 2001. "Comments on Morgan and Stiroh," Journal of Financial Services Research, Springer, vol. 20(2), pages 209-211, October.
  14. Pennacchi, George, 2000. "Comment on Incentives for Banking Megamergers: What Motives Might Regulators Infer from Event-Study Evidence?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(3), pages 702-05, August.
  15. Charles Kahn & George Pennacchi & Ben Sopranzetti, 1999. "Bank Deposit Rate Clustering: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 54(6), pages 2185-2214, December.
  16. George Pennacchi, 1999. "The Effects of Setting Deposit Insurance Premiums to Target Insurance Fund Reserves," Journal of Financial Services Research, Springer, vol. 16(2), pages 153-180, December.
  17. Pennacchi, George, 1998. "Comment on "Intermediation and Vertical Integration."," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 520-23, August.
  18. George G. Pennacchi, 1998. "Deposit insurance premiums and the value of the banking insurance fund: should they be linked?," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
  19. Claessens, Stijn & Pennacchi, George, 1996. "Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 109-126, March.
  20. Hutchison, David E. & Pennacchi, George G., 1996. "Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(03), pages 399-417, September.
  21. Narasimhan Jegadeesh & George G. Pennacchi, 1996. "The behavior of interest rates implied by the term structure of Eurodollar future," Proceedings, Federal Reserve Bank of Cleveland, issue Aug, pages 426-451.
  22. Gorton, Gary B. & Pennacchi, George G., 1995. "Banks and loan sales Marketing nonmarketable assets," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 389-411, June.
  23. Cooperstein Richard L. & Pennacchi George G. & Redburn F. Stevens, 1995. "The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis," Journal of Financial Intermediation, Elsevier, vol. 4(3), pages 242-271, July.
  24. Pennacchi, George G & Lewis, Christopher M, 1994. "The Value of Pension Benefit Guaranty Corporation Insurance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(3), pages 735-53, August.
  25. Gorton, Gary B & Pennacchi, George G, 1993. "Security Baskets and Index-Linked Securities," The Journal of Business, University of Chicago Press, vol. 66(1), pages 1-27, January.
  26. Gary Gorton & George G. Pennacchi & Stuart I. Greenbaum (ary), 1992. "The opening of new markets for bank assets," Proceedings, Federal Reserve Bank of St. Louis, pages 3-38.
  27. Pennacchi, George G, 1991. "Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 53-86.
  28. Gorton, Gary & Pennacchi, George, 1990. " Financial Intermediaries and Liquidity Creation," Journal of Finance, American Finance Association, vol. 45(1), pages 49-71, March.
  29. Eduardo Borensztein & George Pennacchi, 1990. "Valuation of Interest Payment Guarantees on Developing Country Debt," IMF Staff Papers, Palgrave Macmillan, vol. 37(4), pages 806-824, December.
  30. Gary Gorton & George Pennacchi, 1989. "Banks and loan sales: evidence of implicit contracts," Proceedings, Federal Reserve Bank of San Francisco.
  31. Penati, Alessandro & Pennacchi, George, 1989. "Optimal portfolio choice and the collapse of a fixed-exchange rate regime," Journal of International Economics, Elsevier, vol. 27(1-2), pages 1-24, August.
  32. Pennacchi, George G, 1988. " Loan Sales and the Cost of Bank Capital," Journal of Finance, American Finance Association, vol. 43(2), pages 375-96, June.
  33. Pennacchi, George G, 1987. "A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(3), pages 340-60, August.
  34. Pennacchi, George G., 1987. "Alternative forms of deposit insurance : Pricing and bank incentive issues," Journal of Banking & Finance, Elsevier, vol. 11(2), pages 291-312, June.

Chapters

  1. George G. Pennacchi, 2009. "Comment on "Pricing Personal Account Benefit Guarantees: A Simplified Approach"," NBER Chapters, in: Social Security Policy in a Changing Environment, pages 249-254 National Bureau of Economic Research, Inc.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (3) 2007-04-28 2010-05-15 2010-10-09. Author is listed
  2. NEP-BEC: Business Economics (1) 2010-05-15
  3. NEP-CBA: Central Banking (2) 2008-12-14 2011-03-26. Author is listed
  4. NEP-CFN: Corporate Finance (1) 2010-05-15
  5. NEP-COM: Industrial Competition (1) 2007-04-28
  6. NEP-MAC: Macroeconomics (2) 2008-12-14 2011-03-26. Author is listed
  7. NEP-MON: Monetary Economics (2) 2008-12-14 2011-03-26. Author is listed
  8. NEP-REG: Regulation (1) 2010-05-15
  9. NEP-RMG: Risk Management (1) 2010-05-15
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2011-03-26
  11. NEP-URE: Urban & Real Estate Economics (1) 2007-04-28

Statistics

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. h-index
  19. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  20. Number of Journal Pages
  21. Number of Journal Pages, Weighted by Simple Impact Factor
  22. Number of Journal Pages, Weighted by Recursive Impact Factor
  23. Number of Journal Pages, Weighted by Number of Authors
  24. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  25. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  26. Wu-Index

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