Details about Lucio Sarno

E-mail:
Homepage:	https://sites.google.com/view/luciosarno
Postal address:	Professor Lucio Sarno, Cambridge Judge Business School, University of Cambridge, Trumpington Street, Cambridge CB2 1AG, United Kingdom
Workplace:	Judge Business School, University of Cambridge, (more information at EDIRC) Centre for Economic Policy Research (CEPR), (more information at EDIRC)

Access statistics for papers by Lucio Sarno.

Last updated 2022-12-31. Update your information in the RePEc Author Service.

Short-id: psa95

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Jump to Journal Articles Books Edited books

Working Papers

2022

1. The cost of foreign-currency lending
   Post-Print, HAL
   See also Journal Article in Journal of Banking & Finance (2022)

2021

2. Exchange Rates and Sovereign Risk
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
3. Foreign Exchange Volume
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article in Review of Financial Studies (2022)
4. Non-Standard Errors
   Working Papers, Faculty of Economics and Statistics, University of Innsbruck View citations (1)
   Also in Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) View citations (1)

2020

5. Foreign Exchange Intervention: A New Database
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
   Also in Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel) (2020)

2019

6. Business Cycles and Currency Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (5)
   See also Journal Article in Journal of Financial Economics (2020)
7. Risky Bank Guarantees
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2019)
   See also Journal Article in Journal of Financial Economics (2020)

2018

8. Foreign currency lending
   MPRA Paper, University Library of Munich, Germany View citations (2)

2017

9. When is foreign exchange intervention effective? Evidence from 33 countries
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (18)
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (18)
   See also Journal Article in American Economic Journal: Macroeconomics (2019)

2016

10. Currency Premia and Global Imbalances
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (70)
    Also in 2015 Meeting Papers, Society for Economic Dynamics (2015) View citations (4)
    See also Journal Article in Review of Financial Studies (2016)
11. Currency Value
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article in Review of Financial Studies (2017)

2015

12. What Do Stock Markets Tell Us About Exchange Rates?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)
    Also in Bank of England working papers, Bank of England (2015) View citations (18)
    See also Journal Article in Review of Finance (2016)
13. What Drives International Portfolio Flows?
    Working Paper series, Rimini Centre for Economic Analysis View citations (7)
    See also Journal Article in Journal of International Money and Finance (2016)

2014

14. Foreign Exchange Risk and the Predictability of Carry Trade Returns
    Working Paper series, Rimini Centre for Economic Analysis View citations (44)
    See also Journal Article in Journal of Banking & Finance (2014)
15. The scapegoat theory of exchange rates: the first tests
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013)
    Working Paper Series, European Central Bank (2012) View citations (15)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (25)
    See also Journal Article in Journal of Monetary Economics (2015)

2013

16. Information flows in foreign exchange markets: dissecting customer currency trades
    BIS Working Papers, Bank for International Settlements View citations (9)
    See also Journal Article in Journal of Finance (2016)
17. Volatility Risk Premia and Exchange Rate Predictability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article in Journal of Financial Economics (2016)
18. Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article in Journal of Money, Credit and Banking (2014)

2012

19. Currency Momentum Strategies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (177)
    Also in BIS Working Papers, Bank for International Settlements (2011) View citations (15)
    Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (177)
    See also Journal Article in Journal of Financial Economics (2012)
20. Properties of Foreign Exchange Risk Premiums
    Working Paper series, Rimini Centre for Economic Analysis View citations (67)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (37)
    See also Journal Article in Journal of Financial Economics (2012)

2011

21. Carry Trades and Global Foreign Exchange Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (27)
    See also Journal Article in Journal of Finance (2012)
22. The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?
    Working papers, Banque de France
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (9)
    See also Journal Article in The Review of Economics and Statistics (2012)

2010

23. Properties of Foreign Exchange Risk Premia
    MPRA Paper, University Library of Munich, Germany View citations (5)
24. Spot and Forward Volatility in Foreign Exchange
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    See also Journal Article in Journal of Financial Economics (2011)

2009

25. Asset Prices, Exchange Rates and the Current Account
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Working Paper Series, European Central Bank (2007) View citations (33)
    Working Papers, Federal Reserve Bank of St. Louis (2008) View citations (1)
    See also Journal Article in European Economic Review (2010)
26. Carry Trades and Global FX Volatility
    MPRA Paper, University Library of Munich, Germany View citations (4)
27. Exchange Rate Forecasting, Order Flow and Macroeconomic Information
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (24)
    Also in Working Paper, Norges Bank (2007) View citations (15)
    See also Journal Article in Journal of International Economics (2010)
28. How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (74)
    See also Journal Article in Journal of International Money and Finance (2012)

2008

29. Arbitrage in the Foreign Exchange Market: Turning on the Microscope
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (200)
    Also in Working Paper, Norges Bank (2005) View citations (10)
    SIFR Research Report Series, Institute for Financial Research (2006) View citations (13)
    See also Journal Article in Journal of International Economics (2008)
30. Assessing the benefits of international portfolio diversification in bonds and stocks
    Working Paper Series, European Central Bank View citations (6)
31. Does the law of one price hold in international financial markets? Evidence from tick data
    Working Paper, Norges Bank View citations (11)
    See also Journal Article in Journal of Banking & Finance (2009)
32. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
    See also Journal Article in Journal of the European Economic Association (2009)

2007

33. An Economic Evaluation of Empirical Exchange Rate Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (66)
    See also Journal Article in Review of Financial Studies (2009)
34. 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 View citations (3)
    Also in Computing in Economics and Finance 2006, Society for Computational Economics (2006)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (4)
    See also Journal Article in Macroeconomic Dynamics (2007)
35. 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 (12)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (4)
    See also Journal Article in Journal of Financial Economics (2008)

2006

36. Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    IMF Working Papers, International Monetary Fund View citations (108)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (116)
    See also Journal Article in Review of Finance (2006)

2005

37. A Cross-Country Financial Accelerator: Evidence from North America and Europe
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article in Journal of International Money and Finance (2007)
38. 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
    See also Journal Article in Journal of Futures Markets (2006)
39. Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003
    Working Paper, Norges Bank View citations (2)
40. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2005) View citations (14)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2007)
41. 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 (6)
    See also Journal Article in The Journal of Business (2006)

2004

42. Asset Prices and International Spillovers: An Empirical Investigation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
43. Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    See also Journal Article in Journal of International Economics (2005)
44. Federal Funds Rate Prediction
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2004) View citations (5)
    Royal Economic Society Annual Conference 2003, Royal Economic Society (2003)
    See also Journal Article in Journal of Money, Credit and Banking (2005)
45. Monetary policy and learning in an open economy
    Bank of Finland Research Discussion Papers, Bank of Finland
    Also in Macroeconomics, University Library of Munich, Germany (2004) View citations (10)
46. The Term Structure Of Euromarket Interest Rates: Some New Evidence
    Royal Economic Society Annual Conference 2004, Royal Economic Society

2003

47. 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) View citations (13)
    See also Journal Article in Economic Inquiry (2004)
48. Monetary Policy Rules, Asset Prices and Exchange Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (45)
    See also Journal Article in IMF Staff Papers (2004)
49. Nonlinear Exchange Rate Models: A Selective Overview
    IMF Working Papers, International Monetary Fund View citations (18)
    See also Journal Article in Rivista di Politica Economica (2003)
50. 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

51. 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)
52. How well do monetary fundamentals forecast exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis View citations (59)
    See also Journal Article in Review (2002)
53. Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2005)
54. 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 (7)
    See also Journal Article in Journal of International Money and Finance (2004)
55. Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997, Journal of Money, Credit and Banking, Blackwell Publishing View citations (14)
56. 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 (7)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2002) View citations (6)
    See also Journal Article in Journal of Banking & Finance (2003)
57. 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 (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (43)
    See also Journal Article in Journal of International Economics (2003)
58. What's unique about the federal funds rate? evidence from a spectral perspective
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2007)

2001

59. 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 (633)
    See also Journal Article in International Economic Review (2001)
60. 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 (580)
    See also Journal Article in Journal of Economic Literature (2001)
61. Purchasing Power Parity and the Real Exchange Rate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (37)
    See also Journal Article in IMF Staff Papers (2002)

2000

62. 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

63. 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 (9)

1997

64. The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (29)
    See also Journal Article in Journal of International Economics (1998)

Undated

65. 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)
66. 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
67. 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)
68. 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)
69. 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

2022

1. Foreign Exchange Volume
   (Beauty contests and iterated expectations in asset markets)
   Review of Financial Studies, 2022, 35, (5), 2386-2427 View citations (2)
   See also Working Paper (2021)
2. The cost of foreign-currency lending
   Journal of Banking & Finance, 2022, 136, (C)
   See also Working Paper (2022)

2020

3. Business cycles and currency returns
   Journal of Financial Economics, 2020, 137, (3), 659-678 View citations (12)
   See also Working Paper (2019)
4. Risky bank guarantees
   Journal of Financial Economics, 2020, 136, (2), 490-522 View citations (5)
   See also Working Paper (2019)

2019

5. When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries
   American Economic Journal: Macroeconomics, 2019, 11, (1), 132-56 View citations (68)
   See also Working Paper (2017)

2017

6. Currency Value
   Review of Financial Studies, 2017, 30, (2), 416-441 View citations (6)
   See also Working Paper (2016)
7. The market for lemmings: The herding behavior of pension funds
   Journal of Financial Markets, 2017, 36, (C), 17-39 View citations (22)

2016

8. Currency Premia and Global Imbalances
   Review of Financial Studies, 2016, 29, (8), 2161-2193 View citations (70)
   See also Working Paper (2016)
9. Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades
   Journal of Finance, 2016, 71, (2), 601-634 View citations (52)
   See also Working Paper (2013)
10. The economic value of predicting bond risk premia
    Journal of Empirical Finance, 2016, 37, (C), 247-267 View citations (26)
11. Volatility risk premia and exchange rate predictability
    Journal of Financial Economics, 2016, 120, (1), 21-40 View citations (67)
    See also Working Paper (2013)
12. What Do Stock Markets Tell Us about Exchange Rates?
    Review of Finance, 2016, 20, (3), 1045-1080 View citations (29)
    See also Working Paper (2015)
13. What drives international portfolio flows?
    Journal of International Money and Finance, 2016, 60, (C), 53-72 View citations (44)
    See also Working Paper (2015)

2015

14. The scapegoat theory of exchange rates: the first tests
    Journal of Monetary Economics, 2015, 70, (C), 1-21 View citations (41)
    See also Working Paper (2014)

2014

15. Foreign exchange risk and the predictability of carry trade returns
    Journal of Banking & Finance, 2014, 42, (C), 302-313 View citations (46)
    See also Working Paper (2014)
16. Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective
    Journal of Money, Credit and Banking, 2014, 46, (2-3), 267-292 View citations (38)
    See also Working Paper (2013)

2012

17. Carry Trades and Global Foreign Exchange Volatility
    Journal of Finance, 2012, 67, (2), 681-718 View citations (352)
    See also Working Paper (2011)
18. Currency momentum strategies
    Journal of Financial Economics, 2012, 106, (3), 660-684 View citations (179)
    See also Working Paper (2012)
19. Global liquidity risk in the foreign exchange market
    Journal of International Money and Finance, 2012, 31, (2), 267-291 View citations (42)
20. How the Subprime Crisis went global: Evidence from bank credit default swap spreads
    Journal of International Money and Finance, 2012, 31, (5), 1299-1318 View citations (126)
    See also Working Paper (2009)
21. Properties of foreign exchange risk premiums
    Journal of Financial Economics, 2012, 105, (2), 279-310 View citations (63)
    See also Working Paper (2012)
22. 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 View citations (51)
    See also Working Paper (2011)

2011

23. Spot and forward volatility in foreign exchange
    Journal of Financial Economics, 2011, 100, (3), 496-513 View citations (40)
    See also Working Paper (2010)

2010

24. A century of equity premium predictability and the consumption-wealth ratio: An international perspective
    Journal of Empirical Finance, 2010, 17, (3), 313-331 View citations (22)
25. Asset prices, exchange rates and the current account
    European Economic Review, 2010, 54, (5), 643-658 View citations (82)
    See also Working Paper (2009)
26. Exchange rate forecasting, order flow and macroeconomic information
    Journal of International Economics, 2010, 80, (1), 72-88 View citations (123)
    See also Working Paper (2009)
27. Timing exchange rates using order flow: The case of the Loonie
    Journal of Banking & Finance, 2010, 34, (12), 2917-2928 View citations (39)

2009

28. An Economic Evaluation of Empirical Exchange Rate Models
    Review of Financial Studies, 2009, 22, (9), 3491-3530 View citations (117)
    See also Working Paper (2007)
29. Does the law of one price hold in international financial markets? Evidence from tick data
    Journal of Banking & Finance, 2009, 33, (10), 1741-1754 View citations (29)
    See also Working Paper (2008)
30. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
    Journal of the European Economic Association, 2009, 7, (4), 786-830 View citations (120)
    See also Working Paper (2008)
31. 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 (5)
    Also in Journal of Money, Credit and Banking, 2009, 41, (2-3), 437-442 (2009) View citations (45)

2008

32. Arbitrage in the foreign exchange market: Turning on the microscope
    Journal of International Economics, 2008, 76, (2), 237-253 View citations (200)
    See also Working Paper (2008)
33. 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 (49)
    See also Working Paper (2007)

2007

34. A cross-country financial accelerator: Evidence from North America and Europe
    Journal of International Money and Finance, 2007, 26, (1), 149-165 View citations (13)
    See also Working Paper (2005)
35. CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY
    Macroeconomic Dynamics, 2007, 11, (4), 519-541 View citations (3)
    See also Working Paper (2007)
36. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
    Journal of Financial and Quantitative Analysis, 2007, 42, (1), 81-100 View citations (69)
    See also Working Paper (2005)
37. What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective*
    Oxford Bulletin of Economics and Statistics, 2007, 69, (2), 293-319 View citations (1)
    See also Working Paper (2002)

2006

38. 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 (78)
39. New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market
    Journal of Futures Markets, 2006, 26, (7), 627-656 View citations (2)
    See also Working Paper (2005)
40. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    Review of Finance, 2006, 10, (3), 443-482 View citations (114)
    See also Working Paper (2006)
41. Special issue on advances in international money, macro and finance
    International Journal of Finance & Economics, 2006, 11, (3), 175-175
42. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
    The Journal of Business, 2006, 79, (3), 1193-1224 View citations (66)
    See also Working Paper (2005)

2005

43. 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 (28)
44. Exchange rates and fundamentals: evidence on the economic value of predictability
    Journal of International Economics, 2005, 66, (2), 325-348 View citations (96)
    See also Working Paper (2004)
45. Federal Funds Rate Prediction
    Journal of Money, Credit and Banking, 2005, 37, (3), 449-71 View citations (22)
    See also Working Paper (2004)
46. 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 (41)
    Also in Journal of Applied Econometrics, 2005, 20, (3), 345-376 (2005) View citations (6)
    See also Working Paper (2002)
47. 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 (161)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2005, 38, (3), 673-708 (2005) View citations (153)

2004

48. Comparing the accuracy of density forecasts from competing models
    Journal of Forecasting, 2004, 23, (8), 541-557 View citations (20)
    See also Working Paper (2002)
49. 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 (25)
50. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    Economic Inquiry, 2004, 42, (2), 179-193 View citations (60)
    See also Working Paper (2003)
51. Monetary Policy Rules, Asset Prices, and Exchange Rates
    IMF Staff Papers, 2004, 51, (3), 529-552 View citations (86)
    See also Working Paper (2003)
52. 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 (195)
    See also Working Paper (2002)
53. Speculative Bubbles in U.K. House Prices: Some New Evidence
    Southern Economic Journal, 2004, 70, (4), 777-795 View citations (2)
54. The efficient market hypothesis and identification in structural VARs
    Review, 2004, 86, (Jan), 49-60 View citations (8)
    See also Working Paper (2003)
55. 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 View citations (2)

2003

56. An empirical investigation of asset price bubbles in Latin American emerging financial markets
    Applied Financial Economics, 2003, 13, (9), 635-643 View citations (36)
57. Nonlinear Exchange Rate Models: A Selective Overview
    Rivista di Politica Economica, 2003, 93, (4), 3-46 View citations (18)
    See also Working Paper (2003)
58. 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 (80)
    See also Working Paper (2002)
59. 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 (157)
    See also Working Paper (2002)

2002

60. How well do monetary fundamentals forecast exchange rates?
    Review, 2002, 84, (Sep), 51-74 View citations (38)
    See also Working Paper (2002)
61. Mean reversion in stock index futures markets: A nonlinear analysis
    Journal of Futures Markets, 2002, 22, (4), 285-314 View citations (14)
62. Purchasing Power Parity and the Real Exchange Rate
    IMF Staff Papers, 2002, 49, (1), 5 View citations (262)
    See also Working Paper (2001)
63. Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison
    Oxford Bulletin of Economics and Statistics, 2002, 64, (3), 183-212 View citations (7)

2001

64. Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation
    Economica, 2001, 68, (271), 401-426 View citations (6)
    See also Working Paper (2000)
65. 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 (652)
    See also Working Paper (2001)
66. 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 (614)
    See also Working Paper (2001)
67. Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 1-26 View citations (36)
68. The behavior of US public debt: a nonlinear perspective
    Economics Letters, 2001, 74, (1), 119-125 View citations (41)
69. Toward a new paradigm in open economy modeling: where do we stand?
    Review, 2001, 83, (May), 21-36 View citations (8)

2000

70. Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis
    Empirical Economics, 2000, 25, (2), 351-368 View citations (11)
71. Real exchange rate behavior in the Middle East: a re-examination
    Economics Letters, 2000, 66, (2), 127-136 View citations (59)
72. Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997
    Applied Economics Letters, 2000, 7, (5), 285-291 View citations (22)
73. Systematic sampling and real exchange rates
    Review of World Economics (Weltwirtschaftliches Archiv), 2000, 136, (1), 24-57 View citations (12)
74. 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 View citations (17)

1999

75. 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 (29)
76. 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
77. European Capital Flows and Regional Risk
    Manchester School, 1999, 67, (1), 21-38 View citations (9)
    See also Working Paper
78. 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 (133)
79. 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 (83)
80. Stochastic growth: Empirical evidence from the G7 countries
    Journal of Macroeconomics, 1999, 21, (4), 691-712 View citations (1)
81. 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 View citations (5)

1998

82. 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 (26)
83. 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 (35)
    See also Working Paper
84. Real exchange rates under the recent float: unequivocal evidence of mean reversion
    Economics Letters, 1998, 60, (2), 131-137 View citations (117)
    See also Working Paper
85. Savings-Investment Correlations: Transitory versus Permanent
    The Manchester School of Economic & Social Studies, 1998, 66, 17-38 View citations (27)
    See also Working Paper
86. The behavior of real exchange rates during the post-Bretton Woods period
    Journal of International Economics, 1998, 46, (2), 281-312 View citations (446)
    See also Working Paper (1997)

1997

87. Capital Flows to Developing Countries: Long- and Short-Term Determinants
    The World Bank Economic Review, 1997, 11, (3), 451-70 View citations (154)
88. Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison
    Scottish Journal of Political Economy, 1997, 44, (5), 566-582 View citations (1)
89. Exchange rate and interest rate volatility in the European Monetary System: some further results
    Applied Financial Economics, 1997, 7, (3), 255-263 View citations (2)
90. 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 (12)

Books

2003

1. The Economics of Exchange Rates
   Cambridge Books, Cambridge University Press View citations (520)

Edited books

2016

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

2014

2. Developments in Macro-Finance Yield Curve Modelling
   Cambridge Books, Cambridge University Press View citations (4)

2002

3. New Developments in Exchange Rate Economics, vol Two volume set
   Books, Edward Elgar Publishing View citations (3)