Details about Lucio Sarno

Access statistics for papers by Lucio Sarno.

Last updated 2009-08-17. Update your information in the RePEc Author Service.

Short-id: psa95

Working Papers

2009

1. Carry Trades and Global FX Volatility
   MPRA Paper, University Library of Munich, Germany
2. Exchange Rate Forecasting, Order Flow and Macroeconomic Information
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in Working Paper, Norges Bank (2007) View citations
3. How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2008

4. Arbitrage in the Foreign Exchange Market: Turning on the Microscope
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in SIFR Research Report Series, Institute for Financial Research (2006) View citations
   Working Paper, Norges Bank (2005) View citations
   See also Journal Article in Journal of International Economics (2008)
5. Assessing the benefits of international portfolio diversification in bonds and stocks
   Working Paper Series, European Central Bank
6. Asset prices, exchange rates and the current account
   Working Papers, Federal Reserve Bank of St. Louis
   Also in Working Paper Series, European Central Bank (2007) View citations
7. Does the law of one price hold in international financial markets? Evidence from tick data
   Working Paper, Norges Bank
8. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   See also Journal Article in Journal of the European Economic Association (2009)

2007

9. An Economic Evaluation of Empirical Exchange Rate Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
10. 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
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations
    Computing in Economics and Finance 2006, Society for Computational Economics (2006)
    See also Journal Article in Macroeconomic Dynamics (2007)
11. 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 View citations
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007)
    See also Journal Article in Journal of Financial Economics (2008)

2006

12. Caution and Activism? Monetary Policy Strategies in an Open Economy
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
13. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in IMF Working Papers, International Monetary Fund (2006) View citations
    See also Journal Article in Review of Finance (2006)

2005

14. A Cross-Country Financial Accelerator: Evidence from North America and Europe
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (2005)
    See also Journal Article in Journal of International Money and Finance (2007)
15. 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
16. Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003
    Working Paper, Norges Bank
17. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations
    Working Papers, Federal Reserve Bank of St. Louis (2005) View citations
    See also Journal Article in Journal of Financial and Quantitative Analysis (2007)
18. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (2004)
    See also Journal Article in Journal of Business (2006)
19. Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations

2004

20. Asset Prices and International Spillovers: An Empirical Investigation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
21. Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations
    See also Journal Article in Journal of International Money and Finance (2005)
22. Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations
    See also Journal Article in Journal of International Economics (2005)
23. Federal Funds Rate Prediction
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations
    Also in Royal Economic Society Annual Conference 2003, Royal Economic Society (2003)
    Working Papers, Federal Reserve Bank of St. Louis (2004) View citations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations
    See also Journal Article in Journal of Money, Credit and Banking (2005)
24. Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations
    Also in Royal Economic Society Annual Conference 2002, Royal Economic Society (2002) View citations
    See also Journal Article in Journal of Applied Econometrics (2005)
25. Monetary Policy Rules, Asset Prices and Exchange Rates
    CDMA Working Paper Series, Centre for Dynamic Macroeconomic Analysis View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations
26. Monetary policy and learning in an open economy
    Macroeconomics, EconWPA View citations
    Also in Research Discussion Papers, Bank of Finland (2004)
27. The Term Structure Of Euromarket Interest Rates: Some New Evidence
    Royal Economic Society Annual Conference 2004, Royal Economic Society

2003

28. Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes
    Computing in Economics and Finance 2003, Society for Computational Economics View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations
    See also Journal Article in Economic Inquiry (2004)
29. Nonlinear Exchange Rate Models: A Selective Overview
    IMF Working Papers, International Monetary Fund View citations
30. The efficient market hypothesis and identification in structural VARs
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article in Review (2004)

2002

31. Comparing the Accuracy of Density Forecasts from Competing Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations
    See also Journal Article in Journal of Forecasting (2004)
32. How well do monetary fundamentals forecast exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis View citations
    See also Journal Article in Review (2002)
33. 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 View citations
    See also Journal Article in Journal of International Money and Finance (2004)
34. Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
35. 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 View citations
    Also in Working Papers, Federal Reserve Bank of St. Louis (2002) View citations
    See also Journal Article in Journal of Banking & Finance (2003)
36. 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 View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations
    See also Journal Article in Journal of International Economics (2003)
37. What's unique about the federal funds rate? evidence from a spectral perspective
    Working Papers, Federal Reserve Bank of St. Louis View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2007)

2001

38. 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 View citations
    See also Journal Article in International Economic Review (2001)
39. 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 View citations
    See also Journal Article in Journal of Economic Literature (2001)
40. Purchasing Power Parity and the Real Exchange Rate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

2000

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

1999

42. 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 View citations

1997

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

Undated

44. European Capital Flows and Regional Risk
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations
    See also Journal Article in Manchester School (1999)
45. 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 View citations
46. 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 View citations
    See also Journal Article in Economics Letters (1998)
47. 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 View citations
    See also Journal Article in Journal of Macroeconomics (1998)
48. Saving-Investment Correlations: Transitory versus Permanent
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations
    See also Journal Article in The Manchester School of Economic & Social Studies (1998)

Journal Articles

2009

1. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
   Journal of the European Economic Association, 2009, 7, (4), 786-830 View citations
   See also Working Paper (2008)
2. 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 View citations

2008

3. Arbitrage in the foreign exchange market: Turning on the microscope
   Journal of International Economics, 2008, 76, (2), 237-253 View citations
   See also Working Paper (2008)
4. 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 View citations
   See also Working Paper (2007)

2007

5. A cross-country financial accelerator: Evidence from North America and Europe
   Journal of International Money and Finance, 2007, 26, (1), 149-165
   See also Working Paper (2005)
6. CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY
   Macroeconomic Dynamics, 2007, 11, (04), 519-541
   See also Working Paper (2007)
7. 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 View citations
   See also Working Paper (2005)
8. What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective
   Oxford Bulletin of Economics and Statistics, 2007, 69, (2), 293-319
   See also Working Paper (2002)

2006

9. 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 View citations
10. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    Review of Finance, 2006, 10, (3), 443-482 View citations
    See also Working Paper (2006)
11. Special issue on advances in international money, macro and finance
    International Journal of Finance & Economics, 2006, 11, (3), 175-175
12. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
    Journal of Business, 2006, 79, (3), 1193-1224 View citations
    See also Working Paper (2005)

2005

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

2004

18. Comparing the accuracy of density forecasts from competing models
    Journal of Forecasting, 2004, 23, (8), 541-557 View citations
    See also Working Paper (2002)
19. 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 View citations
20. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    Economic Inquiry, 2004, 42, (2), 179-193 View citations
    See also Working Paper (2003)
21. 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 View citations
    See also Working Paper (2002)
22. Speculative Bubbles in U.K. House Prices: Some New Evidence
    Southern Economic Journal, 2004, 70, (4), 777-795 View citations
23. The efficient market hypothesis and identification in structural VARs
    Review, 2004, (Jan), 49-60 View citations
    See also Working Paper (2003)
24. Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers
    Journal of Business Finance & Accounting, 2004-06, 31, (5-6), 759-793

2003

25. An empirical investigation of asset price bubbles in Latin American emerging financial markets
    Applied Financial Economics, 2003, 13, (9), 635-643 View citations
26. Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997
    Journal of Money, Credit and Banking, 2003, 35, (5), 787-99 View citations
27. The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index
    Economic Notes, 2003, 32, (3), 295-333 View citations
28. 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 View citations
    See also Working Paper (2002)
29. 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 View citations
    See also Working Paper (2002)

2002

30. How well do monetary fundamentals forecast exchange rates?
    Review, 2002, (Sep), 51-74 View citations
    See also Working Paper (2002)
31. 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 View citations

2001

32. Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation
    Economica, 2001, 68, (271), 401-26 View citations
    See also Working Paper (2000)
33. 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
    See also Working Paper (2001)
34. 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 View citations
    See also Working Paper (2001)
35. Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 1077-1077 View citations
36. The behavior of US public debt: a nonlinear perspective
    Economics Letters, 2001, 74, (1), 119-125 View citations
37. Toward a new paradigm in open economy modeling: where do we stand?
    The Regional Economist, 2001, (May), 21-36 View citations

2000

38. Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis
    Empirical Economics, 2000, 25, (2), 351-368 View citations
39. Real Exchange Rate Behaviour in High Inflation Countries: Empirical Evidence from Turkey, 1980-1997
    Applied Economics Letters, 2000, 7, (5), 285-91 View citations
40. Real exchange rate behavior in the Middle East: a re-examination
    Economics Letters, 2000, 66, (2), 127-136 View citations
41. Systematic sampling and real exchange rates
    Review of World Economics (Weltwirtschaftliches Archiv), 2000, 136, (1), 24-57 View citations

1999

42. Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991
    International Journal of Finance & Economics, 1999, 4, (2), 155-77 View citations
43. European Capital Flows and Regional Risk
    Manchester School, 1999, 67, (1), 21-38 View citations
    See also Working Paper
44. 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 View citations
45. 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 View citations
46. Stochastic growth: Empirical evidence from the G7 countries
    Journal of Macroeconomics, 1999, 21, (4), 691-712

1998

47. 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 View citations
48. Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K
    Journal of Macroeconomics, 1998, 20, (2), 221-242 View citations
    See also Working Paper
49. Real exchange rates under the recent float: unequivocal evidence of mean reversion
    Economics Letters, 1998, 60, (2), 131-137 View citations
    See also Working Paper
50. Savings-Investment Correlations: Transitory versus Permanent
    The Manchester School of Economic & Social Studies, 1998, 66, 17-38
    See also Working Paper
51. The behavior of real exchange rates during the post-Bretton Woods period
    Journal of International Economics, 1998, 46, (2), 281-312 View citations
    See also Working Paper (1997)

1997

52. Capital Flows to Developing Countries: Long- and Short-Term Determinants
    World Bank Economic Review, 1997, 11, (3), 451-70 View citations
53. Estimating the Mean-Reverting Component in Stock Prices: A Cross-Country Comparison
    Scottish Journal of Political Economy, 1997, 44, (5), 566-82 View citations
54. Exchange Rate and Interest Rate Volatility in the European Monetary System: Some Further Results
    Applied Financial Economics, 1997, 7, (3), 255-63 View citations
55. 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 View citations