George Pennacchi

Professor Emeritus of Finance

Contact

4041 Business Instructional Facility

515 Gregory Dr

Champaign, IL 61820

217-666-0179

gpennacc@illinois.edu

Vita

Google Scholar

Website

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Educational Background

Ph.D., Economics, Massachusetts Institute of Technology, 1984
B.S., Applied Mathematics-Economics, Brown University, 1977

Positions Held

Member, Model Validation Council, Board of Governors of the Federal Reserve System, 2022 to present
Academic Advisor, Financial Stability Board, 2019-2021
Director, Finance Doctoral Program, University of Illinois at Urbana-Champaign, 2018-2023
Research Fellow, Bank of Finland, 2018-2022
Fred S. Bailey Memorial Chair in Finance, University of Illinois at Urbana-Champaign, 2016 to present
Visiting Scholar, Federal Reserve Bank of New York, 2015,2017
President, Financial Intermediation Research Society, 2014-2015
Investors in Business Education Professor of Finance, University of Illinois, 2010-2015
Faculty Associate, Finance, Center for Business and Public Policy, 2009-2023
Scientific Advisor, Baffi Centre for Applied Research in Finance, Bocconi University, 2009-2018
Program Coordinator for Deposit Insurance, Center for Financial Research, Federal Deposit Insurance Corporation, 2004-2012
Research Associate, Federal Reserve Bank of Cleveland, 1998 to present,1995-1996
Professor of Finance, University of Illinois at Urbana-Champaign, 1997 to present
Visiting Professor, Bocconi University, 1994-1996,2009-2011,2009-2012
Co-Director, Office for Banking Research, University of Illinois at Urbana-Champaign, 1993-2014
Associate Professor of Finance, University of Illinois, 1990-1997
Olympus Fund Assistant Professor of Finance, University of Pennsylvania, 1984-1990

Recent Publications

Xu, H., & Pennacchi, G. (2023). Benchmarking the Effects of the Fed’s Secondary Market Corporate Credit Facility Using Yankee Bonds. Journal of Financial Markets, Elsevier, 64 1-31.
Avramidis, P., Pennacchi, G., Serfes, K., & Wu, K. (2022). The Role of Regulation and Bank Competition in Small Firm Financing: Evidence from the Community Reinvestment Act. Journal of Money, Credit, and Banking, 54 (8), 2301-2340.
Avramidis, P., Mylonopoulos, N., & Pennacchi, G. (2022). The Role of Marketplace Lending in Credit Markets: Evidence from Bank Mergers. Management Science, 68 (4), 2377-3174.
Pennacchi, G., & Santos, J. (2021). Why Do Banks Target ROE? Journal of Financial Stability, Elsevier, 54 (1), 1-19.
Jackson, T., & Pennacchi, G. (2021). How Should Governments Create Liquidity? Journal of Monetary Economics, 118 281-295.

Other Publications

Articles

Fiordelisi, F., Pennacchi, G., & Ricci, O. (2020). Are Contingent Convertibles Going-Concern Capital? Journal of Financial Intermediation, 43.
Pennacchi, G., & Tchistyi, A. (2019). Contingent Convertibles with Stock Price Triggers: The Case of Perpetuities. Review of Financial Studies, 32 (6), 2302-2340.
Pennacchi, G., & Tchistyi, A. (2019). On Equilibrium when Contingent Capital has a Market Trigger: A Correction to Sundaresan and Wang Journal of Finance (2015). Journal of Finance, 74 (3), 1559-1576.
Iannotta, G., Pennacchi, G., & Santos, J. (2019). Ratings-Based Regulation and Systematic Risk Incentives. Review of Financial Studies, 32 (4), 1374-1415.
Pennacchi, G. (2019). Banks, Taxes, and Nonbank Competition. Journal of Financial Services Research, 55 (1), 1-30.
Brown, J., & Pennacchi, G. (2016). Discounting Pension Liabilities: Funding versus Value. Journal of Pension Economics and Finance, 15 254-284.
Han, J., Park, K., & Pennacchi, G. (2015). Corporate Taxes and Securitization. Journal of Finance, 70 (3), 1287-1321.
Pennacchi, G., Vermaelen, T., & Wolff, C. (2014). Contingent Capital: The Case of COERCs. Journal of Financial and Quantitative Analysis, 49 (3), 541-574.
Gledson de Carvalho, A., & Pennacchi, G. (2012). Can a Stock Exchange Improve Corporate Behavior? Evidence from Firms' Migration to Premium Listings in Brazil. Journal of Corporate Finance, 18 (4), 883-903.
Haubrich, J., Pennacchi, G., & Ritchken, P. (2012). Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps. Review of Financial Studies, 25 (5), 1588-1629.
Pennacchi, G. (2012). Narrow Banking. Annual Review of Financial Economics, 4 141-159.
Pennacchi, G., & Rastad, M. (2011). Portfolio Allocation for Public Pension Funds. Journal of Pension Economics and Finance, 10 (2).
Chen, H., & Pennacchi, G. (2009). Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence. Journal of Financial and Quantitative Analysis, 44 (4), 745-775.
Park, K., & Pennacchi, G. (2009). Harming Depositors and Helping Borrowers: The Disparate Impact of Bank Consolidation. Review of Financial Studies, 22 (1), 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 (1, Part 2), 99-133.
Pennacchi, G. (2005). Risk-Based Capital Standards, Deposit Insurance, and Procyclicality. Journal of Financial Intermediation, 14 432-465.
Falkenheim, M., & Pennacchi, G. (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, 17 (1).
Kahn, C., Pennacchi, G., & Sopranzetti, B. (1999). Bank Deposit Rate Clustering: Theory and Empirical Evidence. Journal of Finance, 54 (6), 2185-2214.
Pennacchi, G. (1999). The Value of Guarantees on Pension Fund Returns. Journal of Risk and Insurance, 66 (2).
Lewis, C., & Pennacchi, G. (1999). Valuing Insurance for Defined-Benefit Pension Funds. Advances in Futures & Options Research, 10.
Claessens, S., & Pennacchi, G. (1996). Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds. Journal of Financial and Quantitative Analysis.
Foresi, S., Penati, A., & Pennacchi, G. (1996). Reducing the Cost of Government Debt: the Italian Experience and the Role of Indexed Bonds. Swedish Economic Policy Review, 3.
Hutchison, D., & Pennacchi, G. (1996). Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits. Journal of Financial and Quantitative Analysis.
Jegadeesh, N., & Pennacchi, G. (1996). The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures. Journal of Money, Credit, and Banking.
Pennacchi, G., Ritchken, P., & Sankarasubramanian, L. (1996). On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models. Review of Derivatives Reseach.
Cooperstein, R., Pennacchi, G., & Redburn, F. (1995). The Aggregate Cost of Deposit Insurance: A Multi-period Analysis. Journal of Financial Intermediation.
Gorton, G., & Pennacchi, G. (1995). Banks and Loan Sales: Marketing Non-Marketable Assets. Journal of Monetary Economics, 35.
Lewis, C., & Pennacchi, G. (1994). The Value of Pension Benefit Guaranty Corporation Insurance. Journal of Money, Credit, and Banking, 26.
Gorton, G., & Pennacchi, 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.
Borensztein, E., & Pennacchi, G. (1990). Valuation of Interest Payment Guarantees on Developing Country Debt. International Monetary Fund Staff Papers, 37.
Gorton, G., & Pennacchi, G. (1990). Financial Intermediaries and Liquidity Creation. Journal of Finance.
Gorton, G., & Pennacchi, G. (1989). Are Loan Sales Really Off-Balance Sheet? Journal of Accounting, Auditing and Finance, 4 (Spring).
Penati, A., & Pennacchi, G. (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 and Monographs

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

Grants

Pension Research Council Grant, University of Pennsylvania, 1997
College of Commerce Bureau of Economic and Business Research, College of Commerce, 1993
University of Illinois Research Board Grant, University of Illinois at Urbana-Champaign, 1991-1992,1995,1999-2000
National Science Foundation Graduate Fellowship, National Science Foundation, 1979-1982

Service

Managing Editor, Journal of Financial and Quantitative Analysis, 2023 to present
Associate Editor, Journal of Financial Stability, 2019 to present
Associate Editor, Journal of Financial Intermediation, 2013 to present
Associate Editor, Journal of Financial Services Research, 1999 to present

Teaching Interests

Teaches courses in financial institutions and markets; and security pricing.

Research Interests

Research interests include financial institutions, derivative securities, and bond markets.

Current Courses

Introduction to Finance (FIN 500) Introduction to financial management and decision making. A customized course, designed to provide a survey of finance for graduate students who do not necessarily have previous training in the disciplines. Different sections of the course will cover different sets of topics.
Quantitative Finance (FIN 502) Quantitative methods used for financial decision making. Topics include elements of statistics, mathematics, and specific analytical tools used in the study and practice of finance.
Theory of Finance (FIN 591) Examines theoretical frameworks for financial decision making under certainty and uncertainty, as well as perfect and imperfect capital markets; discusses state preference, mean-variance, and continuous time models; emphasizes the structure of individual utility functions.