Details about Giorgio Valente

Access statistics for papers by Giorgio Valente.

Last updated 2009-09-20. Update your information in the RePEc Author Service.

Short-id: pva58

Working Papers

2009

1. Revisiting the predictability of bond risk premia
   Working Papers, Federal Reserve Bank of St. Louis

2008

2. 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)
3. FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value
   Working Papers, Hong Kong Institute for Monetary Research

2006

4. 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

5. 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)
6. 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)
7. US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore
   Working Papers, Hong Kong Institute for Monetary Research

2004

8. Asset Prices and International Spillovers: An Empirical Investigation
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
9. 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)
10. 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)
11. 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)
12. 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)
13. 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
14. The Term Structure of Interest Rates and the Public Debt Issuance Policy: A Note
    CEIS Research Paper, Tor Vergata University, CEIS View citations

2003

15. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Economic Inquiry (2004)

2002

16. 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)
17. 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)

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. International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore
   Journal of International Money and Finance, 2009, 28, (6), 920-940

2008

3. Special issue on international financial markets and the macroeconomy
   International Journal of Finance & Economics, 2008, 13, (1), 1-1

2007

4. 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)

2006

5. 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
6. 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)
7. 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

8. 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)
9. 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)
10. Federal Funds Rate Prediction
    Journal of Money, Credit and Banking, 2005, 37, (3), 449-71 View citations
    See also Working Paper (2004)
11. 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)

2004

12. Comparing the accuracy of density forecasts from competing models
    Journal of Forecasting, 2004, 23, (8), 541-557 View citations
    See also Working Paper (2002)
13. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    Economic Inquiry, 2004, 42, (2), 179-193 View citations
    See also Working Paper (2003)

2003

14. Monetary policy rules and regime shifts
    Applied Financial Economics, 2003, 13, (7), 525-535 View citations
15. 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

16. The Market Value of Italian Government Debt, 1970-1996
    Giornale degli Economisti, 2002, 61, (1), 1-28