Lucio Sarno
Names
Identifer
Contact
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https://sites.google.com/view/luciosarno |
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Professor Lucio Sarno, Cambridge Judge Business School, University of Cambridge, Trumpington Street, Cambridge CB2 1AG, United Kingdom |
Affiliations
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Centre for Economic Policy Research (CEPR) (weight: 1%)
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University of Cambridge
/ Judge Business School (weight: 99%)
Research profile
author of:
- When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries (RePEc:aea:aejmac:v:11:y:2019:i:1:p:132-56)
by Marcel Fratzscher & Oliver Gloede & Lukas Menkhoff & Lucio Sarno & Tobias Stöhr - Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (RePEc:aea:jeclit:v:39:y:2001:i:3:p:839-868)
by Mark P. Taylor & Lucio Sarno - Risky bank guarantees (RePEc:bdi:wptemi:td_1232_19)
by Taneli M�kinen & Lucio Sarno & Gabriele Zinna - Currency risk premiums redux? (RePEc:bdi:wptemi:td_1415_23)
by Federico C. Nucera & Lucio Sarno & Gabriele Zinna - The scapegoat theory of exchange rates: the first tests (RePEc:bdi:wptemi:td_991_14)
by Marcel Fratzscher & Dagfinn Rime & Lucio Sarno & Gabriele Zinna - The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? (RePEc:bfr:banfra:313)
by Della Corte, P. & Sarno, L. & Sestieri, G. - Currency Momentum Strategies (RePEc:bis:biswps:366)
by Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf - Information flows in foreign exchange markets: dissecting customer currency trades (RePEc:bis:biswps:405)
by Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf - Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation (RePEc:bla:econom:v:68:y:2001:i:271:p:401-426)
by Lucio Sarno - Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers (RePEc:bla:jbfnac:v:31:y:2004:i:5-6:p:759-793)
by Ibrahim Chowdhury & Lucio Sarno - Carry Trades and Global Foreign Exchange Volatility (RePEc:bla:jfinan:v:67:y:2012:i:2:p:681-718)
by Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf - Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades (RePEc:bla:jfinan:v:71:y:2016:i:2:p:601-634)
by Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf - Savings-Investment Correlations: Transitory versus Permanent (RePEc:bla:manch2:v:66:y:1998:i:0:p:17-38)
by Sarno, Lucio & Taylor, Mark P - European Capital Flows and Regional Risk (RePEc:bla:manchs:v:67:y:1999:i:1:p:21-38)
by Tamim Bayoumi & Lucio Sarno & Mark P. Taylor - Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison (RePEc:bla:obuest:v:64:y:2002:i:3:p:183-212)
by Jagjit S. Chadha & Lucio Sarno - What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective (RePEc:bla:obuest:v:69:y:2007:i:2:p:293-319)
by Lucio Sarno & Daniel L. Thornton & Yi Wen - Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison (RePEc:bla:scotjp:v:44:y:1997:i:5:p:566-582)
by Liam A. Gallagher & Lucio Sarno & Mark P. Taylor - Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 (RePEc:bno:worpap:2005_02)
by Q. Farooq Akram & Øyvind Eitrheim & Lucio Sarno - Arbitrage in the foreign exchange market: Turning on the microscope (RePEc:bno:worpap:2005_12)
by Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno - Exchange rate forecasting, order flow and macroeconomic information (RePEc:bno:worpap:2007_02)
by Dagfinn Rime & Lucio Sarno & Elvira Sojli - Does the law of one price hold in international financial markets? Evidence from tick data (RePEc:bno:worpap:2008_19)
by Q. Farooq Akram & Dagfinn Rime & Lucio Sarno - What do stock markets tell us about exchange rates? (RePEc:boe:boeewp:0537)
by Cenedese, Gino & Payne, Richard & Sarno, Lucio & Valente, Giorgio - Unknown item RePEc:bof:bofrdp:2004_003 (paper)
- Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis (RePEc:bpj:sndecm:v:5:y:2001:i:3:n:1)
by Taylor Mark P. & Sarno Lucio - Saving-Investment Correlations: Transitory versus Permanent (RePEc:bru:bruedp:97-06)
by Lucio Sarno & Mark P. Taylor - Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation (RePEc:bru:bruedp:97-07)
by Lucio Sarno & Mark P. Taylor - Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK (RePEc:bru:bruedp:97-12)
by Lucio Sarno & Mark P. Taylor - European Capital Flows and Regional Risk (RePEc:bru:bruedp:97-13)
by Tamim Bayoumi & Lucio Sarno & Mark P.Taylor - Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion (RePEc:bru:bruedp:97-14)
by Lucio Sarno & Mark P. Taylor - Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? (RePEc:cje:issued:v:38:y:2005:i:3:p:673-708)
by Lucio Sarno - What Do Stock Markets Tell Us About Exchange Rates? (RePEc:cpr:ceprdp:10685)
by Sarno, Lucio & Payne, Richard & Valente, Giorgio & Cenedese, Gino - Unknown item RePEc:cpr:ceprdp:11129 (paper)
- Currency Value (RePEc:cpr:ceprdp:11324)
by Sarno, Lucio & Menkhoff, Lukas & Schmeling, Maik & Schrimpf, Paul - When is foreign exchange intervention effective? Evidence from 33 countries (RePEc:cpr:ceprdp:12510)
by Sarno, Lucio & Fratzscher, Marcel & Gloede, Oliver & Menkhoff, Lukas & Stöhr, Tobias - Risky Bank Guarantees (RePEc:cpr:ceprdp:13709)
by Sarno, Lucio & Mäkinen, Taneli & Zinna, Gabriele - Business Cycles and Currency Returns (RePEc:cpr:ceprdp:14015)
by Sarno, Lucio & Colacito, Ric & Riddiough, Steven - Exchange Rates and Sovereign Risk (RePEc:cpr:ceprdp:16058)
by Sarno, Lucio & Della Corte, Pasquale & Schmeling, Maik & Wagner, Christian - Foreign Exchange Volume (RePEc:cpr:ceprdp:16128)
by Sarno, Lucio & Cespa, Giovanni & Gargano, Antonio & Riddiough, Steven - The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period (RePEc:cpr:ceprdp:1730)
by Sarno, Lucio & Taylor, Mark P - Foreign exchange intervention: A new database (RePEc:cpr:ceprdp:17558)
by Sarno, Lucio & Fratzscher, Marcel & Heidland, Tobias & Menkhoff, Lukas & Schmeling, Maik - Currency Risk Premia Redux (RePEc:cpr:ceprdp:18012)
by Sarno, Lucio & Nucera, Federico & Zinna, Gabriele - The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence (RePEc:cpr:ceprdp:2150)
by Sarno, Lucio & Taylor, Mark P - Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation (RePEc:cpr:ceprdp:2537)
by Sarno, Lucio - Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles (RePEc:cpr:ceprdp:2658)
by Taylor, Mark & Peel, David & Sarno, Lucio - Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work? (RePEc:cpr:ceprdp:2690)
by Taylor, Mark & Sarno, Lucio - Purchasing Power Parity and the Real Exchange Rate (RePEc:cpr:ceprdp:2913)
by Taylor, Mark & Sarno, Lucio - The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation (RePEc:cpr:ceprdp:3225)
by Sarno, Lucio & Thornton, Daniel L - Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 (RePEc:cpr:ceprdp:3249)
by Taylor, Mark & Peel, David & Sarno, Lucio - The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond (RePEc:cpr:ceprdp:3281)
by Taylor, Mark & Clarida, Richard & Sarno, Lucio & Valente, Giorgio - Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study (RePEc:cpr:ceprdp:3377)
by Taylor, Mark & Sarno, Lucio & Chowdhury, Ibrahim - Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes (RePEc:cpr:ceprdp:3983)
by Sarno, Lucio & Valente, Giorgio & Wohar, Mark E - Monetary Policy Rules, Asset Prices and Exchange Rates (RePEc:cpr:ceprdp:4114)
by Chadha, Jagjit S & Sarno, Lucio & Valente, Giorgio - Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability (RePEc:cpr:ceprdp:4365)
by Abhyankar, Abhay & Sarno, Lucio & Valente, Giorgio - Asset Prices and International Spillovers: An Empirical Investigation (RePEc:cpr:ceprdp:4380)
by Sarno, Lucio & Valente, Giorgio - Federal Funds Rate Prediction (RePEc:cpr:ceprdp:4587)
by Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio - Caution or Activism? Monetary Policy Strategies in an Open Economy (RePEc:cpr:ceprdp:4766)
by Sarno, Lucio & Ellison, Martin & Vilmunen, Jouko - The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates (RePEc:cpr:ceprdp:4835)
by Taylor, Mark & Clarida, Richard & Sarno, Lucio & Valente, Giorgio - A Cross-Country Financial Accelerator: Evidence from North America and Europe (RePEc:cpr:ceprdp:5037)
by Taylor, Mark & Sarno, Lucio & Mody, Ashoka - The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields (RePEc:cpr:ceprdp:5259)
by Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio - Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (RePEc:cpr:ceprdp:5527)
by Sarno, Lucio & Valente, Giorgio & Leon, Hyginus - The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value (RePEc:cpr:ceprdp:6445)
by Sarno, Lucio & Thornton, Daniel L & Della Corte, Pasquale - An Economic Evaluation of Empirical Exchange Rate Models (RePEc:cpr:ceprdp:6598)
by Sarno, Lucio & Della Corte, Pasquale & Tsiakas, Ilias - Exchange Rates and Fundamentals: Footloose or Evolving Relationship? (RePEc:cpr:ceprdp:6638)
by Sarno, Lucio & Valente, Giorgio - Arbitrage in the Foreign Exchange Market: Turning on the Microscope (RePEc:cpr:ceprdp:6878)
by Sarno, Lucio & Rime, Dagfinn & Akram, Farooq - Exchange Rate Forecasting, Order Flow and Macroeconomic Information (RePEc:cpr:ceprdp:7225)
by Sarno, Lucio & Rime, Dagfinn & Sojli, Elvira - Asset Prices, Exchange Rates and the Current Account (RePEc:cpr:ceprdp:7614)
by Sarno, Lucio & Fratzscher, Marcel & Juvenal, Luciana - Spot and Forward Volatility in Foreign Exchange (RePEc:cpr:ceprdp:7893)
by Sarno, Lucio & Della Corte, Pasquale & Tsiakas, Ilias - The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? (RePEc:cpr:ceprdp:8045)
by Sarno, Lucio & Della Corte, Pasquale & Sestieri, Giulia - Carry Trades and Global Foreign Exchange Volatility (RePEc:cpr:ceprdp:8291)
by Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik - Properties of Foreign Exchange Risk Premiums (RePEc:cpr:ceprdp:8503)
by Sarno, Lucio & Schneider, Paul & Wagner, Christian - Currency Momentum Strategies (RePEc:cpr:ceprdp:8747)
by Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik - The Scapegoat Theory of Exchange Rates: The First Tests (RePEc:cpr:ceprdp:8812)
by Sarno, Lucio & Fratzscher, Marcel & Zinna, Gabriele - Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective (RePEc:cpr:ceprdp:9472)
by Sarno, Lucio & Schmeling, Maik - Volatility Risk Premia and Exchange Rate Predictability (RePEc:cpr:ceprdp:9549)
by Sarno, Lucio & Della Corte, Pasquale - The Economics of Exchange Rates (RePEc:cup:cbooks:9780521485845)
by Sarno,Lucio & Taylor,Mark P. - Developments in Macro-Finance Yield Curve Modelling (RePEc:cup:cbooks:9781107044555)
by None - Developments in Macro-Finance Yield Curve Modelling (RePEc:cup:cbooks:9781316623169)
by None - The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields (RePEc:cup:jfinqa:v:42:y:2007:i:01:p:81-100_00)
by Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio - Caution Or Activism? Monetary Policy Strategies In An Open Economy (RePEc:cup:macdyn:v:11:y:2007:i:04:p:519-541_06)
by Ellison, Martin & Sarno, Lucio & Vilmunen, Jouko - The Scapegoat Theory of Exchange Rates: The First Tests (RePEc:diw:diwwpp:dp1290)
by Marcel Fratzscher & Lucio Sarno & Gabriele Zinna - When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries (RePEc:diw:diwwpp:dp1518)
by Marcel Fratzscher & Oliver Goede & Lukas Menkhoff & Lucio Sarno & Tobias Stöhr - Foreign Exchange Intervention: A New Database (RePEc:diw:diwwpp:dp1915)
by Marcel Fratzscher & Tobias Heidland & Lukas Menkhoff & Lucio Sarno & Maik Schmeling - Asset prices, exchange rates and the current account (RePEc:ecb:ecbwps:2007790)
by Fratzscher, Marcel & Juvenal, Luciana & Sarno, Lucio - Assessing the benefits of international portfolio diversification in bonds and stocks (RePEc:ecb:ecbwps:2008883)
by De Santis, Roberto A. & Sarno, Lucio - The scapegoat theory of exchange rates: the first tests (RePEc:ecb:ecbwps:20121418)
by Fratzscher, Marcel & Sarno, Lucio & Zinna, Gabriele - Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers (RePEc:ecj:ac2002:160)
by Sarno, Lucio & Giorgio Valente - Federal Funds Rate Prediction (RePEc:ecj:ac2003:183)
by Sarno, Lucio & Daniel l Thornton & Giorgio Valente - The Term Structure Of Euromarket Interest Rates: Some New Evidence (RePEc:ecj:ac2004:19)
by Giorgio Valente & Richard Clarida & Mark Taylor & Lucio Sarno - Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation (RePEc:eee:deveco:v:59:y:1999:i:2:p:337-364)
by Sarno, Lucio & Taylor, Mark P. - Risks and risk premia in the US Treasury market (RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x)
by Li, Junye & Sarno, Lucio & Zinna, Gabriele - Real exchange rates under the recent float: unequivocal evidence of mean reversion (RePEc:eee:ecolet:v:60:y:1998:i:2:p:131-137)
by Sarno, Lucio & Taylor, Mark P. - Real exchange rate behavior in the Middle East: a re-examination (RePEc:eee:ecolet:v:66:y:2000:i:2:p:127-136)
by Sarno, Lucio - The behavior of US public debt: a nonlinear perspective (RePEc:eee:ecolet:v:74:y:2001:i:1:p:119-125)
by Sarno, Lucio - Asset prices, exchange rates and the current account (RePEc:eee:eecrev:v:54:y:2010:i:5:p:643-658)
by Fratzscher, Marcel & Juvenal, Luciana & Sarno, Lucio - A century of equity premium predictability and the consumption-wealth ratio: An international perspective (RePEc:eee:empfin:v:17:y:2010:i:3:p:313-331)
by Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio - The economic value of predicting bond risk premia (RePEc:eee:empfin:v:37:y:2016:i:c:p:247-267)
by Sarno, Lucio & Schneider, Paul & Wagner, Christian - The market for lemmings: The herding behavior of pension funds (RePEc:eee:finmar:v:36:y:2017:i:c:p:17-39)
by Blake, David & Sarno, Lucio & Zinna, Gabriele - The behavior of real exchange rates during the post-Bretton Woods period (RePEc:eee:inecon:v:46:y:1998:i:2:p:281-312)
by Taylor, Mark P. & Sarno, Lucio - The out-of-sample success of term structure models as exchange rate predictors: a step beyond (RePEc:eee:inecon:v:60:y:2003:i:1:p:61-83)
by Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio - Exchange rates and fundamentals: evidence on the economic value of predictability (RePEc:eee:inecon:v:66:y:2005:i:2:p:325-348)
by Abhyankar, Abhay & Sarno, Lucio & Valente, Giorgio - Arbitrage in the foreign exchange market: Turning on the microscope (RePEc:eee:inecon:v:76:y:2008:i:2:p:237-253)
by Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio - Exchange rate forecasting, order flow and macroeconomic information (RePEc:eee:inecon:v:80:y:2010:i:1:p:72-88)
by Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira - The cost of foreign-currency lending (RePEc:eee:jbfina:v:136:y:2022:i:c:s0378426621003496)
by Delis, Manthos D. & Politsidis, Panagiotis N. & Sarno, Lucio - The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation (RePEc:eee:jbfina:v:27:y:2003:i:6:p:1079-1110)
by Sarno, Lucio & Thornton, Daniel L. - Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? (RePEc:eee:jbfina:v:30:y:2006:i:11:p:3147-3169)
by Sarno, Lucio & Valente, Giorgio - Does the law of one price hold in international financial markets? Evidence from tick data (RePEc:eee:jbfina:v:33:y:2009:i:10:p:1741-1754)
by Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio - Timing exchange rates using order flow: The case of the Loonie (RePEc:eee:jbfina:v:34:y:2010:i:12:p:2917-2928)
by King, Michael & Sarno, Lucio & Sojli, Elvira - Foreign exchange risk and the predictability of carry trade returns (RePEc:eee:jbfina:v:42:y:2014:i:c:p:302-313)
by Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias - Spot and forward volatility in foreign exchange (RePEc:eee:jfinec:v:100:y:2011:i:3:p:496-513)
by Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias - Properties of foreign exchange risk premiums (RePEc:eee:jfinec:v:105:y:2012:i:2:p:279-310)
by Sarno, Lucio & Schneider, Paul & Wagner, Christian - Currency momentum strategies (RePEc:eee:jfinec:v:106:y:2012:i:3:p:660-684)
by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas - Volatility risk premia and exchange rate predictability (RePEc:eee:jfinec:v:120:y:2016:i:1:p:21-40)
by Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio - Risky bank guarantees (RePEc:eee:jfinec:v:136:y:2020:i:2:p:490-522)
by Mäkinen, Taneli & Sarno, Lucio & Zinna, Gabriele - Business cycles and currency returns (RePEc:eee:jfinec:v:137:y:2020:i:3:p:659-678)
by Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio - The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value (RePEc:eee:jfinec:v:89:y:2008:i:1:p:158-174)
by Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L. - Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests (RePEc:eee:jimfin:v:18:y:1999:i:4:p:637-657)
by Sarno, Lucio & Taylor, Mark P. - Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study (RePEc:eee:jimfin:v:23:y:2004:i:1:p:1-25)
by Sarno, Lucio & Taylor, Mark P. & Chowdhury, Ibrahim - Empirical exchange rate models and currency risk: some evidence from density forecasts (RePEc:eee:jimfin:v:24:y:2005:i:2:p:363-385)
by Sarno, Lucio & Valente, Giorgio - A cross-country financial accelerator: Evidence from North America and Europe (RePEc:eee:jimfin:v:26:y:2007:i:1:p:149-165)
by Mody, Ashoka & Sarno, Lucio & Taylor, Mark P. - Global liquidity risk in the foreign exchange market (RePEc:eee:jimfin:v:31:y:2012:i:2:p:267-291)
by Banti, Chiara & Phylaktis, Kate & Sarno, Lucio - How the Subprime Crisis went global: Evidence from bank credit default swap spreads (RePEc:eee:jimfin:v:31:y:2012:i:5:p:1299-1318)
by Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio - What drives international portfolio flows? (RePEc:eee:jimfin:v:60:y:2016:i:c:p:53-72)
by Sarno, Lucio & Tsiakas, Ilias & Ulloa, Barbara - Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K (RePEc:eee:jmacro:v:20:y:1998:i:2:p:221-242)
by Sarno, Lucio & Taylor, Mark P. - Stochastic growth: Empirical evidence from the G7 countries (RePEc:eee:jmacro:v:21:y:1999:i:4:p:691-712)
by Sarno, Lucio - The scapegoat theory of exchange rates: the first tests (RePEc:eee:moneco:v:70:y:2015:i:c:p:1-21)
by Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele - New Developments in Exchange Rate Economics (RePEc:elg:eebook:2115)
by None - Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003 (RePEc:eme:ceazzz:s0573-8555(05)76013-2)
by Q.Farooq Akram & Øyvind Eitrheim & Lucio Sarno - Toward a new paradigm in open economy modeling: where do we stand? (RePEc:fip:fedlrv:y:2001:i:may:p:21-36:n:v.83no.3)
by Lucio Sarno - How well do monetary fundamentals forecast exchange rates? (RePEc:fip:fedlrv:y:2002:i:sep:p:51-74:n:v.84no.5)
by Christopher J. Neely & Lucio Sarno - The efficient market hypothesis and identification in structural VARs (RePEc:fip:fedlrv:y:2004:i:jan:p:49-60:n:v.86no.1)
by Lucio Sarno & Daniel L. Thornton - The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation (RePEc:fip:fedlwp:2000-032)
by Lucio Sarno & Daniel L. Thornton - Federal funds rate prediction (RePEc:fip:fedlwp:2002-005)
by Lucio Sarno & Daniel L. Thornton & Giorgio Valente - How well do monetary fundamentals forecast exchange rates? (RePEc:fip:fedlwp:2002-007)
by Christopher J. Neely & Lucio Sarno - What's unique about the federal funds rate? evidence from a spectral perspective (RePEc:fip:fedlwp:2002-029)
by Lucio Sarno & Daniel L. Thornton & Yi Wen - The empirical failure of the expectations hypothesis of the term structure of bond yields (RePEc:fip:fedlwp:2003-021)
by Lucio Sarno & Daniel L. Thornton & Giorgio Valente - The efficient market hypothesis and identification in structural VARs (RePEc:fip:fedlwp:2003-032)
by Lucio Sarno & Daniel L. Thornton - The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value (RePEc:fip:fedlwp:2006-061)
by Pasquale Della Corte & Lucio Sarno & Daniel L. Thornton - Asset prices, exchange rates and the current account (RePEc:fip:fedlwp:2008-031)
by Marcel Fratzscher & Luciana Juvenal & Lucio Sarno - Non-Standard Errors (RePEc:grz:wpsses:2021-08)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-DÃaz & Menachem Abudy & To - The cost of foreign-currency lending (RePEc:hal:journl:hal-03534083)
by Manthos Delis & Panagiotis N. Politsidis & Lucio Sarno - Non-Standard Errors (RePEc:hhs:lunewp:2021_017)
by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena - Arbitrage in the Foreign Exchange Market: Turning on the Microscope (RePEc:hhs:sifrwp:0042)
by Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio - Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles (RePEc:ier:iecrev:v:42:y:2001:i:4:p:1015-42)
by Taylor, Mark P & Peel, David A & Sarno, Lucio - Special issue on advances in international money, macro and finance (RePEc:ijf:ijfiec:v:11:y:2006:i:3:p:175-175)
by Georgios P. Kouretas & Nelson C. Mark & Athanasios P. Papadopoulos & Lucio Sarno - Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991 (RePEc:ijf:ijfiec:v:4:y:1999:i:2:p:155-77)
by Sarno, Lucio - International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum (RePEc:ijf:ijfiec:v:9:y:2004:i:1:p:15-23)
by Mark P. Taylor & Lucio Sarno - Nonlinear Exchange Rate Models: A Selective Overview (RePEc:imf:imfwpa:2003/111)
by Lucio Sarno - Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (RePEc:imf:imfwpa:2006/136)
by Giorgio Valente & Mr. Gene L. Leon & Lucio Sarno - Exchange Rates and Sovereign Risk (RePEc:inm:ormnsc:v:68:y:2022:i:8:p:5591-5617)
by Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner - Non-Standard Errors (RePEc:inn:wpaper:2021-31)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi - Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers (RePEc:jae:japmet:v:20:y:2005:i:3:p:345-376)
by Giorgio Valente & Lucio Sarno - Comparing the accuracy of density forecasts from competing models (RePEc:jof:jforec:v:23:y:2004:i:8:p:541-557)
by Giorgio Valente & Lucio Sarno - Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997 (RePEc:mcb:jmoncb:v:35:y:2003:i:5:p:787-99)
by Sarno, Lucio & Taylor, Mark P & Peel, David A - Federal Funds Rate Prediction (RePEc:mcb:jmoncb:v:37:y:2005:i:3:p:449-71)
by Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio - The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? (RePEc:mcb:jmoncb:v:41:y:2009:i:2-3:p:437-442)
by Lucio Sarno & Elvira Sojli - New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market (RePEc:mmf:mmfc05:77)
by Kleopatra Nikolaou & Lucio Sarno - Caution or Activism? Monetary Policy Strategies in an Open Economy (RePEc:mmf:mmfc06:18)
by Martin Ellison & Lucio Sarno & Jouko Vilmunen - How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads (RePEc:nbr:nberwo:14904)
by Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno - Business Cycles and Currency Returns (RePEc:nbr:nberwo:26299)
by Riccardo Colacito & Steven J. Riddiough & Lucio Sarno - The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond (RePEc:nbr:nberwo:8601)
by Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente - Unknown item RePEc:nsb:wpaper:21 (paper)
- Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes (RePEc:oup:ecinqu:v:42:y:2004:i:2:p:179-193)
by Lucio Sarno & Giorgio Valente & Mark E. Wohar - Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle (RePEc:oup:revfin:v:10:y:2006:i:3:p:443-482)
by Lucio Sarno & Giorgio Valente & Hyginus Leon - What Do Stock Markets Tell Us about Exchange Rates? (RePEc:oup:revfin:v:20:y:2016:i:3:p:1045-1080.)
by Gino Cenedese & Richard Payne & Lucio Sarno & Giorgio Valente - An Economic Evaluation of Empirical Exchange Rate Models (RePEc:oup:rfinst:v:22:y:2009:i:9:p:3491-3530)
by Pasquale Della Corte & Lucio Sarno & Ilias Tsiakas - Currency Premia and Global Imbalances (RePEc:oup:rfinst:v:29:y:2016:i:8:p:2161-2193.)
by Pasquale Della Corte & Steven J. Riddiough & Lucio Sarno - Currency Value (RePEc:oup:rfinst:v:30:y:2017:i:2:p:416-441.)
by Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf - Foreign Exchange Volume (RePEc:oup:rfinst:v:35:y:2022:i:5:p:2386-2427.)
by Giovanni Cespa & Antonio Gargano & Steven J Riddiough & Lucio Sarno - Capital Flows to Developing Countries: Long- and Short-Term Determinants (RePEc:oup:wbecrv:v:11:y:1997:i:3:p:451-70)
by Taylor, Mark P & Sarno, Lucio - Foreign Exchange Intervention: A New Database (RePEc:pal:imfecr:v:71:y:2023:i:4:d:10.1057_s41308-022-00190-8)
by Marcel Fratzscher & Tobias Heidland & Lukas Menkhoff & Lucio Sarno & Maik Schmeling - Purchasing Power Parity and the Real Exchange Rate (RePEc:pal:imfstp:v:49:y:2002:i:1:p:5)
by Lucio Sarno & Mark P. Taylor - Monetary Policy Rules, Asset Prices, and Exchange Rates (RePEc:pal:imfstp:v:51:y:2004:i:3:p:529-552)
by Jagjit S. Chadha & Lucio Sarno & Giorgio Valente - Carry Trades and Global FX Volatility (RePEc:pra:mprapa:14728)
by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas - Properties of Foreign Exchange Risk Premia (RePEc:pra:mprapa:21302)
by Sarno, Lucio & Schneider, Paul & Wagner, Christian - Foreign currency lending (RePEc:pra:mprapa:88197)
by Delis, Manthos & Politsidis, Panagiotis & Sarno, Lucio - Composantes permanente et transitoire de l'épargne et de l'investissement : une étude empirique des flux internationaux de capitaux au Japon (RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5979)
by Éric Girardin & Lucio Sarno & Mark P. Taylor - Currency Premia and Global Imbalances (RePEc:red:sed015:1215)
by Steven Riddiough & Lucio Sarno & Pasquale Della Corte - Foreign Exchange Risk and the Predictability of Carry Trade Returns (RePEc:rim:rimwps:02_14)
by Gino Cenedese & Lucio Sarno & Ilias Tsiakas - Currency Momentum Strategies (RePEc:rim:rimwps:09_12)
by Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf - Properties of Foreign Exchange Risk Premiums (RePEc:rim:rimwps:10_12)
by Lucio Sarno & Paul Schneider & Christian Wagner - What Drives International Portfolio Flows? (RePEc:rim:rimwps:15-16)
by Lucio Sarno & Ilias Tsiakas & Barbara Ulloa - Nonlinear Exchange Rate Models: A Selective Overview (RePEc:rpo:ripoec:v:93:y:2003:i:4:p:3-46)
by Lucio Sarno - Comparing the Accuracy of Density Forecasts from Competing Models (RePEc:sce:scecf2:223)
by Sarno, Lucio & Valente, Giorgio - Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes (RePEc:sce:scecf3:310)
by Sarno, Lucio & Wohar, Mark - Caution or Activism? Monetary Policy Strategies in an Open Economy (RePEc:sce:scecfa:214)
by Martin Ellison & Lucio Sarno & Jouko Vilmunen - Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis (RePEc:spr:empeco:v:25:y:2000:i:2:p:351-368)
by Eric Girardin & Lucio Sarno & Mark P. Taylor - Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation (RePEc:spr:weltar:v:134:y:1998:i:1:p:69-98)
by Lucio Sarno & Mark Taylor - Systematic sampling and real exchange rates (RePEc:spr:weltar:v:136:y:2000:i:1:p:24-57)
by Lucio Sarno - Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 (RePEc:taf:apeclt:v:7:y:2000:i:5:p:285-291)
by Lucio Sarno - Unknown item RePEc:taf:apfiec:v:13:y:2003:i:9:p:635-643 (article)
- Unknown item RePEc:taf:apfiec:v:7:y:1997:i:3:p:255-263 (article)
- Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity (RePEc:taf:applec:v:29:y:1997:i:5:p:591-605)
by Lucio Sarno - Exchange Rates and Fundamentals: Footloose or Evolving Relationship? (RePEc:tpr:jeurec:v:7:y:2009:i:4:p:786-830)
by Lucio Sarno & Giorgio Valente - The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? (RePEc:tpr:restat:v:94:y:2012:i:1:p:100-115)
by Pasquale Della Corte & Lucio Sarno & Giulia Sestieri - The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates (RePEc:ucp:jnlbus:v:79:y:2006:i:3:p:1193-1224)
by Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente - Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? (RePEc:wly:canjec:v:38:y:2005:i:3:p:673-708)
by Lucio Sarno - Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers (RePEc:wly:japmet:v:20:y:2005:i:3:p:345-376)
by Lucio Sarno & Giorgio Valente - The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence (RePEc:wly:jfutmk:v:19:y:1999:i:3:p:245-270)
by Kyriacos Kyriacou & Lucio Sarno - The cost of carry model and regime shifts in stock index futures markets: An empirical investigation (RePEc:wly:jfutmk:v:20:y:2000:i:7:p:603-624)
by Lucio Sarno & Giorgio Valente - Mean reversion in stock index futures markets: A nonlinear analysis (RePEc:wly:jfutmk:v:22:y:2002:i:4:p:285-314)
by Michael Monoyios & Lucio Sarno - New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market (RePEc:wly:jfutmk:v:26:y:2006:i:7:p:627-656)
by Kleopatra Nikolaou & Lucio Sarno - The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? (RePEc:wly:jmoncb:v:41:y:2009:i:2-3:p:437-442)
by Lucio Sarno & Elvira Sojli - Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective (RePEc:wly:jmoncb:v:46:y:2014:i:2-3:p:267-292)
by Lucio Sarno & Maik Schmeling - Speculative Bubbles in U.K. House Prices: Some New Evidence (RePEc:wly:soecon:v:70:y:2004:i:4:p:777-795)
by Gaia Garino & Lucio Sarno - Monetary policy and learning in an open economy (RePEc:wpa:wuwpma:0404022)
by Martin Ellison & Lucio Sarno & Jouko Vilmunen - Monetary policy and learning in an open economy (RePEc:zbw:bofrdp:rdp2004_003)
by Ellison, Martin & Sarno, Lucio & Vilmunen, Jouko - When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries (RePEc:zbw:espost:261931)
by Fratzscher, Marcel & Gloede, Oliver & Menkhoff, Lukas & Sarno, Lucio & Stöhr, Tobias - Foreign exchange intervention: A new database (RePEc:zbw:ifwkwp:2171)
by Fratzscher, Marcel & Heidland, Tobias & Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik