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Details about Lucio Sarno

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Homepage:https://sites.google.com/view/luciosarno
Postal address:FACULTY OF FINANCE, CASS BUSINESS SCHOOL, 106 BUNHILL ROW, LONDON EC1Y 8TZ, UNITED KINGDOM
Workplace:Cass Business School, City University, (more information at EDIRC)
Centre for Economic Policy Research (CEPR), (more information at EDIRC)

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Last updated 2017-07-06. Update your information in the RePEc Author Service.

Short-id: psa95


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Working Papers

2016

  1. Currency Premia and Global Imbalances
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in 2015 Meeting Papers, Society for Economic Dynamics (2015) Downloads View citations (2)

    See also Journal Article in Review of Financial Studies (2016)
  2. Currency Value
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2015

  1. What Do Stock Markets Tell Us About Exchange Rates?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in Bank of England working papers, Bank of England (2015) Downloads View citations (7)

    See also Journal Article in Review of Finance (2016)
  2. What Drives International Portfolio Flows?
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (3)
    See also Journal Article in Journal of International Money and Finance (2016)
  3. When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (5)

2014

  1. Foreign Exchange Risk and the Predictability of Carry Trade Returns
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (9)
    See also Journal Article in Journal of Banking & Finance (2014)
  2. The scapegoat theory of exchange rates: the first tests
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (23)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) Downloads
    Working Paper Series, European Central Bank (2012) Downloads View citations (8)

    See also Journal Article in Journal of Monetary Economics (2015)

2013

  1. Information flows in foreign exchange markets: dissecting customer currency trades
    BIS Working Papers, Bank for International Settlements Downloads View citations (8)
    See also Journal Article in Journal of Finance (2016)
  2. Volatility Risk Premia and Exchange Rate Predictability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article in Journal of Financial Economics (2016)
  3. Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Journal of Money, Credit and Banking (2014)

2012

  1. Currency Momentum Strategies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (38)
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2012) Downloads View citations (39)
    BIS Working Papers, Bank for International Settlements (2011) Downloads View citations (13)

    See also Journal Article in Journal of Financial Economics (2012)
  2. How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads
    Working papers, National Bank of Serbia Downloads View citations (56)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (60)

    See also Journal Article in Journal of International Money and Finance (2012)
  3. Properties of Foreign Exchange Risk Premiums
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (33)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (23)

    See also Journal Article in Journal of Financial Economics (2012)

2011

  1. Carry Trades and Global Foreign Exchange Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (24)
    See also Journal Article in Journal of Finance (2012)
  2. The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?
    Working papers, Banque de France Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads View citations (6)

    See also Journal Article in The Review of Economics and Statistics (2012)

2010

  1. Properties of Foreign Exchange Risk Premia
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Spot and Forward Volatility in Foreign Exchange
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Journal of Financial Economics (2011)

2009

  1. Asset Prices, Exchange Rates and the Current Account
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Working Paper Series, European Central Bank (2007) Downloads View citations (23)
    Working Papers, Federal Reserve Bank of St. Louis (2008) Downloads View citations (1)

    See also Journal Article in European Economic Review (2010)
  2. Carry Trades and Global FX Volatility
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  3. Exchange Rate Forecasting, Order Flow and Macroeconomic Information
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (17)
    Also in Working Paper, Norges Bank (2007) Downloads View citations (9)

    See also Journal Article in Journal of International Economics (2010)

2008

  1. Arbitrage in the Foreign Exchange Market: Turning on the Microscope
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (105)
    Also in Working Paper, Norges Bank (2005) Downloads View citations (7)
    SIFR Research Report Series, Institute for Financial Research (2006) Downloads View citations (7)

    See also Journal Article in Journal of International Economics (2008)
  2. Assessing the benefits of international portfolio diversification in bonds and stocks
    Working Paper Series, European Central Bank Downloads View citations (5)
  3. Does the law of one price hold in international financial markets? Evidence from tick data
    Working Paper, Norges Bank Downloads View citations (7)
    See also Journal Article in Journal of Banking & Finance (2009)
  4. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    See also Journal Article in Journal of the European Economic Association (2009)

2007

  1. An Economic Evaluation of Empirical Exchange Rate Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (49)
    See also Journal Article in Review of Financial Studies (2009)
  2. Caution or Activism? Monetary Policy Strategies in an Open Economy
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group Downloads View citations (2)
    Also in Working Papers, Warwick Business School, Finance Group (2006) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (4)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) Downloads

    See also Journal Article in Macroeconomic Dynamics (2007)
  3. The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) Downloads View citations (2)

    See also Journal Article in Journal of Financial Economics (2008)

2006

  1. Caution and Activism? Monetary Policy Strategies in an Open Economy
    Working Papers, Warwick Business School, Finance Group Downloads
  2. Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle
    IMF Working Papers, International Monetary Fund Downloads View citations (53)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (62)

    See also Journal Article in Review of Finance (2006)

2005

  1. A Cross-Country Financial Accelerator: Evidence from North America and Europe
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, Warwick Business School, Finance Group (2005) Downloads

    See also Journal Article in Journal of International Money and Finance (2007)
  2. New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group Downloads
    See also Journal Article in Journal of Futures Markets (2006)
  3. Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003
    Working Paper, Norges Bank Downloads
  4. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    Also in Working Papers, Warwick Business School, Finance Group (2005) Downloads
    Working Papers, Federal Reserve Bank of St. Louis (2005) Downloads View citations (12)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2007)
  5. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Working Papers, Warwick Business School, Finance Group (2004) Downloads View citations (2)

    See also Journal Article in The Journal of Business (2006)
  6. Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?
    Working Papers, Warwick Business School, Finance Group Downloads View citations (26)

2004

  1. Asset Prices and International Spillovers: An Empirical Investigation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts
    Working Papers, Warwick Business School, Finance Group Downloads View citations (3)
    See also Journal Article in Journal of International Money and Finance (2005)
  3. Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (2)

    See also Journal Article in Journal of International Economics (2005)
  4. Federal Funds Rate Prediction
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2004) Downloads View citations (6)
    Royal Economic Society Annual Conference 2003, Royal Economic Society (2003) Downloads
    Working Papers, Warwick Business School, Finance Group (2004) Downloads View citations (1)

    See also Journal Article in Journal of Money, Credit and Banking (2005)
  5. Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers
    Working Papers, Warwick Business School, Finance Group Downloads View citations (1)
    Also in Royal Economic Society Annual Conference 2002, Royal Economic Society (2002) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2005)
  6. Monetary Policy Rules, Asset Prices and Exchange Rates
    CDMA Working Paper Series, Centre for Dynamic Macroeconomic Analysis Downloads View citations (43)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (40)

    See also Journal Article in IMF Staff Papers (2004)
  7. Monetary policy and learning in an open economy
    Research Discussion Papers, Bank of Finland Downloads
    Also in Macroeconomics, EconWPA (2004) Downloads View citations (3)
  8. The Term Structure Of Euromarket Interest Rates: Some New Evidence
    Royal Economic Society Annual Conference 2004, Royal Economic Society Downloads

2003

  1. Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (8)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (13)

    See also Journal Article in Economic Inquiry (2004)
  2. Nonlinear Exchange Rate Models; A Selective Overview
    IMF Working Papers, International Monetary Fund Downloads View citations (11)
    See also Journal Article in Rivista di Politica Economica (2003)
  3. The efficient market hypothesis and identification in structural VARs
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    See also Journal Article in Review (2004)

2002

  1. Comparing the Accuracy of Density Forecasts from Competing Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (5)
    See also Journal Article in Journal of Forecasting (2004)
  2. How well do monetary fundamentals forecast exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (47)
    See also Journal Article in Review (2002)
  3. Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    See also Journal Article in Journal of International Money and Finance (2004)
  4. Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
  5. The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2002) Downloads View citations (5)

    See also Journal Article in Journal of Banking & Finance (2003)
  6. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (39)

    See also Journal Article in Journal of International Economics (2003)
  7. What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in Working Papers, Federal Reserve Bank of St. Louis (2002) Downloads View citations (2)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2007)

2001

  1. Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (422)
    See also Journal Article in International Economic Review (2001)
  2. Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (300)
    See also Journal Article in Journal of Economic Literature (2001)
  3. Purchasing Power Parity and the Real Exchange Rate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
    See also Journal Article in IMF Staff Papers (2002)

2000

  1. Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Economica (2001)

1999

  1. The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)

1997

  1. The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (28)
    See also Journal Article in Journal of International Economics (1998)

Undated

  1. European Capital Flows and Regional Risk
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in Manchester School (1999)
  2. Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
  3. Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in Economics Letters (1998)
  4. Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in Journal of Macroeconomics (1998)
  5. Saving-Investment Correlations: Transitory versus Permanent
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    See also Journal Article in The Manchester School of Economic & Social Studies (1998)

Journal Articles

2016

  1. Currency Premia and Global Imbalances
    Review of Financial Studies, 2016, 29, (8), 2161-2193 Downloads
    See also Working Paper (2016)
  2. Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades
    Journal of Finance, 2016, 71, (2), 601-634 Downloads View citations (1)
    See also Working Paper (2013)
  3. The economic value of predicting bond risk premia
    Journal of Empirical Finance, 2016, 37, (C), 247-267 Downloads View citations (7)
  4. Volatility risk premia and exchange rate predictability
    Journal of Financial Economics, 2016, 120, (1), 21-40 Downloads View citations (4)
    See also Working Paper (2013)
  5. What Do Stock Markets Tell Us about Exchange Rates?
    Review of Finance, 2016, 20, (3), 1045-1080 Downloads View citations (1)
    See also Working Paper (2015)
  6. What drives international portfolio flows?
    Journal of International Money and Finance, 2016, 60, (C), 53-72 Downloads View citations (3)
    See also Working Paper (2015)

2015

  1. The scapegoat theory of exchange rates: the first tests
    Journal of Monetary Economics, 2015, 70, (C), 1-21 Downloads View citations (11)
    See also Working Paper (2014)

2014

  1. Foreign exchange risk and the predictability of carry trade returns
    Journal of Banking & Finance, 2014, 42, (C), 302-313 Downloads View citations (11)
    See also Working Paper (2014)
  2. Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective
    Journal of Money, Credit and Banking, 2014, 46, (2-3), 267-292 Downloads View citations (4)
    See also Working Paper (2013)

2012

  1. Carry Trades and Global Foreign Exchange Volatility
    Journal of Finance, 2012, 67, (2), 681-718 Downloads View citations (143)
    See also Working Paper (2011)
  2. Currency momentum strategies
    Journal of Financial Economics, 2012, 106, (3), 660-684 Downloads View citations (41)
    See also Working Paper (2012)
  3. Global liquidity risk in the foreign exchange market
    Journal of International Money and Finance, 2012, 31, (2), 267-291 Downloads View citations (20)
  4. How the Subprime Crisis went global: Evidence from bank credit default swap spreads
    Journal of International Money and Finance, 2012, 31, (5), 1299-1318 Downloads View citations (57)
    See also Working Paper (2012)
  5. Properties of foreign exchange risk premiums
    Journal of Financial Economics, 2012, 105, (2), 279-310 Downloads View citations (27)
    See also Working Paper (2012)
  6. The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?
    The Review of Economics and Statistics, 2012, 94, (1), 100-115 Downloads View citations (19)
    See also Working Paper (2011)

2011

  1. Spot and forward volatility in foreign exchange
    Journal of Financial Economics, 2011, 100, (3), 496-513 Downloads View citations (25)
    See also Working Paper (2010)

2010

  1. A century of equity premium predictability and the consumption-wealth ratio: An international perspective
    Journal of Empirical Finance, 2010, 17, (3), 313-331 Downloads View citations (13)
  2. Asset prices, exchange rates and the current account
    European Economic Review, 2010, 54, (5), 643-658 Downloads View citations (43)
    See also Working Paper (2009)
  3. Exchange rate forecasting, order flow and macroeconomic information
    Journal of International Economics, 2010, 80, (1), 72-88 Downloads View citations (62)
    See also Working Paper (2009)
  4. Timing exchange rates using order flow: The case of the Loonie
    Journal of Banking & Finance, 2010, 34, (12), 2917-2928 Downloads View citations (28)

2009

  1. An Economic Evaluation of Empirical Exchange Rate Models
    Review of Financial Studies, 2009, 22, (9), 3491-3530 Downloads View citations (58)
    See also Working Paper (2007)
  2. Does the law of one price hold in international financial markets? Evidence from tick data
    Journal of Banking & Finance, 2009, 33, (10), 1741-1754 Downloads View citations (18)
    See also Working Paper (2008)
  3. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
    Journal of the European Economic Association, 2009, 7, (4), 786-830 Downloads View citations (66)
    See also Working Paper (2008)
  4. The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?
    Journal of Money, Credit and Banking, 2009, 41, (2-3), 437-442 Downloads View citations (25)

2008

  1. Arbitrage in the foreign exchange market: Turning on the microscope
    Journal of International Economics, 2008, 76, (2), 237-253 Downloads View citations (105)
    See also Working Paper (2008)
  2. The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value
    Journal of Financial Economics, 2008, 89, (1), 158-174 Downloads View citations (23)
    See also Working Paper (2007)

2007

  1. A cross-country financial accelerator: Evidence from North America and Europe
    Journal of International Money and Finance, 2007, 26, (1), 149-165 Downloads View citations (10)
    See also Working Paper (2005)
  2. CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY
    Macroeconomic Dynamics, 2007, 11, (04), 519-541 Downloads View citations (2)
    See also Working Paper (2007)
  3. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
    Journal of Financial and Quantitative Analysis, 2007, 42, (01), 81-100 Downloads View citations (39)
    See also Working Paper (2005)
  4. What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective
    Oxford Bulletin of Economics and Statistics, 2007, 69, (2), 293-319 Downloads View citations (1)
    See also Working Paper (2002)

2006

  1. Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?
    Journal of Banking & Finance, 2006, 30, (11), 3147-3169 Downloads View citations (49)
  2. New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market
    Journal of Futures Markets, 2006, 26, (7), 627-656 Downloads View citations (1)
    See also Working Paper (2005)
  3. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    Review of Finance, 2006, 10, (3), 443-482 Downloads View citations (58)
    See also Working Paper (2006)
  4. Special issue on advances in international money, macro and finance
    International Journal of Finance & Economics, 2006, 11, (3), 175-175 Downloads
  5. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
    The Journal of Business, 2006, 79, (3), 1193-1224 Downloads View citations (47)
    See also Working Paper (2005)

2005

  1. Empirical exchange rate models and currency risk: some evidence from density forecasts
    Journal of International Money and Finance, 2005, 24, (2), 363-385 Downloads View citations (13)
    See also Working Paper (2004)
  2. Exchange rates and fundamentals: evidence on the economic value of predictability
    Journal of International Economics, 2005, 66, (2), 325-348 Downloads View citations (57)
    See also Working Paper (2004)
  3. Federal Funds Rate Prediction
    Journal of Money, Credit and Banking, 2005, 37, (3), 449-71 View citations (13)
    See also Working Paper (2004)
  4. Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers
    Journal of Applied Econometrics, 2005, 20, (3), 345-376 Downloads View citations (19)
    See also Working Paper (2004)
  5. Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?
    Canadian Journal of Economics, 2005, 38, (3), 673-708 Downloads View citations (97)

2004

  1. Comparing the accuracy of density forecasts from competing models
    Journal of Forecasting, 2004, 23, (8), 541-557 Downloads View citations (18)
    See also Working Paper (2002)
  2. International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum
    International Journal of Finance & Economics, 2004, 9, (1), 15-23 Downloads View citations (20)
  3. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    Economic Inquiry, 2004, 42, (2), 179-193 Downloads View citations (49)
    See also Working Paper (2003)
  4. Monetary Policy Rules, Asset Prices, and Exchange Rates
    IMF Staff Papers, 2004, 51, (3), 529-552 Downloads View citations (50)
    See also Working Paper (2004)
  5. Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study
    Journal of International Money and Finance, 2004, 23, (1), 1-25 Downloads View citations (133)
    See also Working Paper (2002)
  6. Speculative Bubbles in U.K. House Prices: Some New Evidence
    Southern Economic Journal, 2004, 70, (4), 777-795 View citations (17)
  7. The efficient market hypothesis and identification in structural VARs
    Review, 2004, (Jan), 49-60 Downloads View citations (8)
    See also Working Paper (2003)
  8. Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers
    Journal of Business Finance & Accounting, 2004, 31, (5-6), 759-793 Downloads View citations (3)

2003

  1. An empirical investigation of asset price bubbles in Latin American emerging financial markets
    Applied Financial Economics, 2003, 13, (9), 635-643 Downloads View citations (14)
  2. Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997
    Journal of Money, Credit and Banking, 2003, 35, (5), 787-99 View citations (11)
  3. Nonlinear Exchange Rate Models: A Selective Overview
    Rivista di Politica Economica, 2003, 93, (4), 3-46 Downloads View citations (11)
    See also Working Paper (2003)
  4. The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index
    Economic Notes, 2003, 32, (3), 295-333 Downloads View citations (12)
  5. The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation
    Journal of Banking & Finance, 2003, 27, (6), 1079-1110 Downloads View citations (54)
    See also Working Paper (2002)
  6. The out-of-sample success of term structure models as exchange rate predictors: a step beyond
    Journal of International Economics, 2003, 60, (1), 61-83 Downloads View citations (109)
    See also Working Paper (2002)

2002

  1. How well do monetary fundamentals forecast exchange rates?
    Review, 2002, (Sep), 51-74 Downloads View citations (26)
    See also Working Paper (2002)
  2. Mean reversion in stock index futures markets: A nonlinear analysis
    Journal of Futures Markets, 2002, 22, (4), 285-314 Downloads View citations (8)
  3. Purchasing Power Parity and the Real Exchange Rate
    IMF Staff Papers, 2002, 49, (1), 5 Downloads View citations (145)
    See also Working Paper (2001)
  4. Short- and Long-Run Price Level Uncertainty under Different Monetary Policy Regimes: An International Comparison
    Oxford Bulletin of Economics and Statistics, 2002, 64, (3), 187-216 Downloads View citations (4)

2001

  1. Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation
    Economica, 2001, 68, (271), 401-26 Downloads View citations (3)
    See also Working Paper (2000)
  2. Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles
    International Economic Review, 2001, 42, (4), 1015-42 View citations (357)
    See also Working Paper (2001)
  3. Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?
    Journal of Economic Literature, 2001, 39, (3), 839-868 Downloads View citations (373)
    See also Working Paper (2001)
  4. Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 1-26 Downloads View citations (22)
  5. The behavior of US public debt: a nonlinear perspective
    Economics Letters, 2001, 74, (1), 119-125 Downloads View citations (27)
  6. Toward a new paradigm in open economy modeling: where do we stand?
    Review, 2001, (May), 21-36 Downloads View citations (7)

2000

  1. Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis
    Empirical Economics, 2000, 25, (2), 351-368 Downloads View citations (8)
  2. Real exchange rate behavior in the Middle East: a re-examination
    Economics Letters, 2000, 66, (2), 127-136 Downloads View citations (45)
  3. Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997
    Applied Economics Letters, 2000, 7, (5), 285-291 Downloads View citations (12)
  4. Systematic sampling and real exchange rates
    Review of World Economics (Weltwirtschaftliches Archiv), 2000, 136, (1), 24-57 Downloads View citations (10)
  5. The cost of carry model and regime shifts in stock index futures markets: An empirical investigation
    Journal of Futures Markets, 2000, 20, (7), 603-624 Downloads View citations (7)

1999

  1. Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991
    International Journal of Finance & Economics, 1999, 4, (2), 155-77 Downloads View citations (20)
  2. Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon
    Économie et Prévision, 1999, 140, (4), 117-131 Downloads
  3. European Capital Flows and Regional Risk
    Manchester School, 1999, 67, (1), 21-38 Downloads View citations (5)
    See also Working Paper
  4. Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation
    Journal of Development Economics, 1999, 59, (2), 337-364 Downloads View citations (99)
  5. Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests
    Journal of International Money and Finance, 1999, 18, (4), 637-657 Downloads View citations (62)
  6. Stochastic growth: Empirical evidence from the G7 countries
    Journal of Macroeconomics, 1999, 21, (4), 691-712 Downloads
  7. The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence
    Journal of Futures Markets, 1999, 19, (3), 245-270 Downloads View citations (3)

1998

  1. Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation
    Review of World Economics (Weltwirtschaftliches Archiv), 1998, 134, (1), 69-98 Downloads View citations (14)
  2. Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K
    Journal of Macroeconomics, 1998, 20, (2), 221-242 Downloads View citations (20)
    See also Working Paper
  3. Real exchange rates under the recent float: unequivocal evidence of mean reversion
    Economics Letters, 1998, 60, (2), 131-137 Downloads View citations (69)
    See also Working Paper
  4. Savings-Investment Correlations: Transitory versus Permanent
    The Manchester School of Economic & Social Studies, 1998, 66, 17-38 View citations (8)
    See also Working Paper
  5. The behavior of real exchange rates during the post-Bretton Woods period
    Journal of International Economics, 1998, 46, (2), 281-312 Downloads View citations (272)
    See also Working Paper (1997)

1997

  1. Capital Flows to Developing Countries: Long- and Short-Term Determinants
    World Bank Economic Review, 1997, 11, (3), 451-70 View citations (86)
  2. Estimating the Mean-Reverting Component in Stock Prices: A Cross-Country Comparison
    Scottish Journal of Political Economy, 1997, 44, (5), 566-82 Downloads View citations (2)
  3. Exchange rate and interest rate volatility in the European Monetary System: some further results
    Applied Financial Economics, 1997, 7, (3), 255-263 Downloads View citations (2)
  4. Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity
    Applied Economics, 1997, 29, (5), 591-605 Downloads View citations (8)

Books

2003

  1. The Economics of Exchange Rates
    Cambridge Books, Cambridge University Press View citations (61)

Edited books

2016

  1. Developments in Macro-Finance Yield Curve Modelling
    Cambridge Books, Cambridge University Press

2014

  1. Developments in Macro-Finance Yield Curve Modelling
    Cambridge Books, Cambridge University Press

2002

  1. New Developments in Exchange Rate Economics, vol Two volume set
    Books, Edward Elgar Publishing Downloads
 
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