Research
Journal Articles
"Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence."
G. Pennacchi,
H. Chen,
Journal of Financial and Quantitative Analysis,
(44)
August:
4
745-775
2009
"Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation."
G. Pennacchi,
K. Park,
Review of Financial Studies,
(22)
January:
1
1-40
2009
"Deposit Insurance, Bank Regulation, and Financial System Risks."
G. Pennacchi,
Journal of Monetary Economics,
(53)
1-30
2006
"Bank Consolidation and the Dynamics of Consumer Loan Interest Rates."
C. Kahn,
G. Pennacchi,
B. Sopranzetti,
Journal of Business,
(78)
January:
1, Part 2
99-133
2005
"Risk-Based Capital Standards, Deposit Insurance, and Procyclicality."
G. Pennacchi,
Journal of Financial Intermediation,
(14)
432-465
2005
"The Cost of Deposit Insurance for Privately Held Banks: A Market Comparable Approach."
G. Pennacchi,
M. Falkenheim,
Journal of Financial Services Research,
2003
"The Effects of Setting Deposit Insurance Premiums to Target Insurance Fund Reserves."
G. Pennacchi,
Journal of Financial Services Research,
(17)
1
2000
"The Value of Guarantees on Pension Fund Returns."
G. Pennacchi,
Journal of Risk and Insurance,
(66)
June:
2
1999
"Valuing Insurance for Defined-Benefit Pension Funds."
G. Pennacchi,
C. Lewis,
Advances in Futures & Options Research,
(10)
1999
"Bank Deposit Rate Clustering: Theory and Empirical Evidence."
C. Kahn,
G. Pennacchi,
B. Sopranzetti,
Journal of Finance,
(54)
December:
6
2185-2214
1999
"Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits."
G. Pennacchi,
D. Hutchison,
Journal of Financial and Quantitative Analysis,
1996
"The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures."
G. Pennacchi,
N. Jegadeesh,
Journal of Money, Credit, and Banking,
1996
"Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds."
G. Pennacchi,
S. Claessens,
Journal of Financial and Quantitative Analysis,
1996
"On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models."
G. Pennacchi,
P. Ritchken,
L. Sankarasubramanian,
Review of Derivatives Reseach,
1996
"Reducing the Cost of Government Debt: the Italian Experience and the Role of Indexed Bonds."
G. Pennacchi,
A. Penati,
S. Foresi,
Swedish Economic Policy Review,
(3)
1996
"Banks and Loan Sales: Marketing Non-Marketable Assets."
G. Pennacchi,
G. Gorton,
Journal of Monetary Economics,
(35)
1995
"The Aggregate Cost of Deposit Insurance: A Multi-period Analysis."
G. Pennacchi,
R. Cooperstein,
F. Redburn,
Journal of Financial Intermediation,
1995
"The Value of Pension Benefit Guaranty Corporation Insurance."
G. Pennacchi,
C. Lewis,
Journal of Money, Credit, and Banking,
(26)
1994
"Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data."
G. Pennacchi,
Review of Financial Studies,
1991
"Financial Intermediaries and Liquidity Creation."
G. Pennacchi,
G. Gorton,
Journal of Finance,
1990
"Valuation of Interest Payment Guarantees on Developing Country Debt."
G. Pennacchi,
E. Borensztein,
International Monetary Fund Staff Papers,
(37)
1990
"Optimal Portfolio Choice and the Collapse of a Fixed Exchange Rate Regime."
G. Pennacchi,
A. Penati,
Journal of International Economics,
1989
"Loan Sales and the Cost of Bank Capital."
G. Pennacchi,
Journal of Finance,
1988
"A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance."
G. Pennacchi,
Journal of Money, Credit, and Banking,
1987
"Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues."
G. Pennacchi,
Journal of Banking and Finance,
1987
Books
"Theory of Asset Pricing."
G. Pennacchi,
Addison-Wesley: Reading, MA,
2008
Chapters in Books
"Pension Guarantees: A Methodology for Assessing Fiscal Risk."
G. Pennacchi,
In Government at Risk: Contingent Liabilities and Fiscal Risk, (Eds: H. Polackova-Brixi and A. Schick),
Oxford University Press: Oxford,
2002
"Government Guarantees for Old Age Income."
G. Pennacchi,
In Prospects for Social Security Reform, (Eds: Olivia Mitchell, Robert J. Myers, and Howard Young),
Pension Research Council and University of Pennsylvania,
1999
"Indexed Bonds and the Cost of Debt: The Italian Experience."
G. Pennacchi,
S. Foresi,
A. Penati,
In Managing Public Debt: Index-Linked Bonds in Theory and Practice, (Eds: M. De Cecco, L. Pecchi, and G. Piga),
Edward Elgar: Northampton, MA,
1997
"Money Market Funds and Finance Companies: Are They the Banks of the Future?."
G. Pennacchi,
G. Gorton,
In Structural Change in Banking, (Eds: Michael Klausner and Lawrence J. White),
Irwin Publishing,
1993
"Financial Innovation and the Provision of Liquidity Services."
G. Pennacchi,
G. Gorton,
In The Reform of Federal Deposit Insurance: Disciplining the Government and Protecting Taxpayers, (Eds: James R. Barth and R. Dan Brumbaugh),
Harper Collins Publishers,
1992
"The Opening of New Markets for Bank Assets."
G. Pennacchi,
G. Gorton,
In The Changing Market in Financial Services, (Eds: R. Alton Gilbert),
Kluwer Academic Publishers: Boston,
1992
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