College of Business: University of Illinois at Urbana-Champaign

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George Pennacchi

Investors in Business Education Professor of Finance

All Publications


Articles in Journals

Pennacchi, G., Vermaelen, T., Wolff, C. Forthcoming. Contingent Capital: The Case of COERCs. Journal of Financial and Quantitative Analysis

Pennacchi, G., Park, K., Han, J. Forthcoming. Corporate Taxes and Securitization. Journal of Finance

Haubrich, J., Pennacchi, G., Ritchken, P. 2012. Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps. Review of Financial Studies, 25: 1588-1629

Pennacchi, G. 2012. Narrow Banking. Annual Review of Financial Economics, 4: 141-159

Pennacchi, G., Gledson de Carvalho, A. 2012. Can a Stock Exchange Improve Corporate Behavior? Evidence from Firms' Migration to Premium Listings in Brazil. Journal of Corporate Finance, 18: 883-903

Pennacchi, G., Rastad, M. 2011. Portfolio Allocation for Public Pension Funds. Journal of Pension Economics and Finance

Pennacchi, G., Chen, H. 2009. Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence. Journal of Financial and Quantitative Analysis, 44: 745-775

Pennacchi, G., Park, K. 2009. Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation. Review of Financial Studies, 22: 1-40

Pennacchi, G. 2006. Deposit Insurance, Bank Regulation, and Financial System Risks. Journal of Monetary Economics, 53: 1-30

Kahn, C. , Pennacchi, G., Sopranzetti, B. 2005. Bank Consolidation and the Dynamics of Consumer Loan Interest Rates. Journal of Business, 78: 99-133

Pennacchi, G. 2005. Risk-Based Capital Standards, Deposit Insurance, and Procyclicality. Journal of Financial Intermediation, 14: 432-465

Pennacchi, G., Falkenheim, M. 2003. The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach. Journal of Financial Services Research

Pennacchi, G. 2000. The Effects of Setting Deposit Insurance Premiums to Target Insurance Fund Reserves. Journal of Financial Services Research

Kahn, C. , Pennacchi, G., Sopranzetti, B. 1999. Bank Deposit Rate Clustering: Theory and Empirical Evidence. Journal of Finance, 54: 2185-2214

Pennacchi, G. 1999. The Value of Guarantees on Pension Fund Returns. Journal of Risk and Insurance

Pennacchi, G., Lewis, C. 1999. Valuing Insurance for Defined-Benefit Pension Funds. Advances in Futures & Options Research

Pennacchi, G., Claessens, S. 1996. Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds. Journal of Financial and Quantitative Analysis

Pennacchi, G., Hutchison, D. 1996. Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits. Journal of Financial and Quantitative Analysis

Pennacchi, G., Jegadeesh, N. 1996. The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures. Journal of Money, Credit, and Banking

Pennacchi, G., Penati, A., Foresi, S. 1996. Reducing the Cost of Government Debt: the Italian Experience and the Role of Indexed Bonds. Swedish Economic Policy Review

Pennacchi, G., Ritchken, P., Sankarasubramanian, L. 1996. On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models. Review of Derivatives Reseach

Pennacchi, G., Cooperstein, R., Redburn, F. 1995. The Aggregate Cost of Deposit Insurance: A Multi-period Analysis. Journal of Financial Intermediation

Pennacchi, G., Gorton, G. 1995. Banks and Loan Sales: Marketing Non-Marketable Assets. Journal of Monetary Economics

Pennacchi, G., Lewis, C. 1994. The Value of Pension Benefit Guaranty Corporation Insurance. Journal of Money, Credit, and Banking

Pennacchi, G., Gorton, G. 1993. Security Baskets and Index-Linked Securities. Journal of Business

Pennacchi, G. 1991. Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data. Review of Financial Studies

Pennacchi, G., Borensztein, E. 1990. Valuation of Interest Payment Guarantees on Developing Country Debt. International Monetary Fund Staff Papers

Pennacchi, G., Gorton, G. 1990. Financial Intermediaries and Liquidity Creation. Journal of Finance

Pennacchi, G., Penati, A. 1989. Optimal Portfolio Choice and the Collapse of a Fixed Exchange Rate Regime. Journal of International Economics

Pennacchi, G. 1988. Loan Sales and the Cost of Bank Capital. Journal of Finance

Pennacchi, G. 1987. A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance. Journal of Money, Credit, and Banking

Pennacchi, G. 1987. Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues. Journal of Banking and Finance

Books

Pennacchi, G. 2008. Theory of Asset Pricing. Reading, MA: Addison-Wesley.

Pennacchi, G. , Dilip Madan George Pennacchi (Ed.). 2003. Special Issue on Pricing the Risks of Deposit Insurance. Journal of Financial Services Research. New York: Springer Publications.

Chapters in Books

Pennacchi, G. 2010. Deposit Insurance. In Jeffrey Brown (Ed.), Private Markets and Public Insurance Programs. Washington, DC: American Enterprise Institute Press.

Pennacchi, G. 1999. Government Guarantees for Old Age Income. In Olivia Mitchell, Robert J. Myers, and Howard Young (Ed.), Prospects for Social Security Reform. Pension Research Council and University of Pennsylvania.

Pennacchi, G., Foresi, S., Penati, A. 1997. Indexed Bonds and the Cost of Debt: The Italian Experience. In M. De Cecco, L. Pecchi, and G. Piga (Ed.), Managing Public Debt: Index-Linked Bonds in Theory and Practice. Northampton, MA: Edward Elgar.

Pennacchi, G., Gorton, G. 1993. Money Market Funds and Finance Companies: Are They the Banks of the Future?. In Michael Klausner and Lawrence J. White (Ed.), Structural Change in Banking. Irwin Publishing.

Pennacchi, G., Gorton, G. 1992. Financial Innovation and the Provision of Liquidity Services. In James R. Barth and R. Dan Brumbaugh (Ed.), The Reform of Federal Deposit Insurance: Disciplining the Government and Protecting Taxpayers. Harper Collins Publishers.

Pennacchi, G., Gorton, G. 1992. The Opening of New Markets for Bank Assets. In R. Alton Gilbert (Ed.), The Changing Market in Financial Services. Boston: Kluwer Academic Publishers.

Presentations

Pennacchi, G. 2009. Corporate Taxes and Securitization, Bocconi University, Milan.

Pennacchi, G. 2009. The Crisis of 2008: Can It Happen Again?, Bocconi University, Milan.

Pennacchi, G. 2009. Corporate Taxes and Securitization, University of Venice, Venice.

Pennacchi, G. 2009. Corporate Taxes and Securitization, Tilburg University, Tilburg.

Pennacchi, G. 2009. Corporate Taxes and Securitization, Federal Reserve Bank of New York, New York.

Pennacchi, G. 2009. Corporate Taxes and Securitization, Federal Reserve Bank of Chicago, Chicago.

Pennacchi, G. 2003. Why does Institution Size Matter for Banking Market Competition?, University of Alberta, Alberta.

Pennacchi, G. 2003. "Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation", Conference on Competition in Banking Markets, Leuven.

Pennacchi, G. 2002. The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach, Conference on Pricing the Risks of Deposit Insurance, Federal Deposit Insurance Corporation

Pennacchi, G. 2002. Bank Consolidation and Consumer Loan Interest Rates, University of Florida, Gainesville.

Pennacchi, G. 2002. Deposit Insurance and Business Cycles: Controlling the Volatility of Risk-Based Premiums, Conference on the Impact of Economic Slowdowns on Financial Institutions and Their Regulators, Boston.

Pennacchi, G. 2002. Bank Consolidation and the Dynamics of Consumer Loan Interest Rates, Conference on the Dollars and Sense of Bank Consolidation, Melbourne.

Kahn, C. , Pennacchi, G., Sopranzetti, B. 2001. Bank Consolidation and Consumer Loan Rates, Federal Reserve Bank, Philadelphia.

Kahn, C. , Pennacchi, G., Sopranzetti, B. 2000. Bank Consolidation and consumer Loan Interest Rates, Federal Reserve Bank, Chicago.

Pennacchi, G. 2000. Bank Consolidation and Consumer Loan Interest Rates, Federal Reserve Bank, Chicago.

Pennacchi, G. 2000. Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence, Federal Reserve Bank, Cleveland.

Pennacchi, G. 2000. Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence, American Finance Association Meetings, Boston.

Pennacchi, G. 2000. Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence, University of North Carolina, Chapel Hill.

Pennacchi, G. 2000. Methodology to Assess Fiscal Risk of Pension Guarantees, World Bank Seminar, Washington.

Pennacchi, G. 1999. Bank Consolidation and Consumer Loan Interest Rates, Federal Reserve Bank, Cleveland.

Pennacchi, G. 1999. Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence, University of Notre Dame, South Bend.

Pennacchi, G. 1998. Indexed Bonds and the Inflation Risk Premium, Federal Reserve Bank, St. Louis.

Pennacchi, G. 1998. Deposit Insurance and the Value of the Bank Insurance Fund: Should They Be Linked?, Conference on Financial Modernization, San Francisco.

Pennacchi, G. 1998. Estimating the Federal Government's Cost of Deposit Insurance, Board of Governors, Federal Reserve System, Washington.

Pennacchi, G. 1998. The Value of Guarantees on Pension Fund Returns, World Bank Seminar, Washington.

Pennacchi, G. 1997. Bank Deposit Rate Clustering: Theory and Empirical Evidence, Ohio State University, Columbus.

Pennacchi, G. 1997. Government Guarantees for Old Age Income, Wharton School, Philadelphia.

 

Contact Information:

4041 BIF
515 East Gregory Drive
Champaign, IL, 61820
(217) 244-0952
gpennacc@illinois.edu


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