Details about Lucio Sarno

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:	Centre for Economic Policy Research (CEPR), (more information at EDIRC) Judge Business School, University of Cambridge, (more information at EDIRC)

Access statistics for papers by Lucio Sarno.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: psa95

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Working Papers

2024

1. Nonstandard Errors
   Post-Print, HAL View citations (2)
   Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Working Papers, Lund University, Department of Economics (2021)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024) View citations (2)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) View citations (2) (2024)

2023

2. Currency Risk Premia Redux
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
3. Currency risk premiums redux?
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area
   See also Journal Article Currency Risk Premiums Redux, The Review of Financial Studies, Society for Financial Studies (2024) View citations (2) (2024)
4. Risks and Risk Premia in the US Treasury Market
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Risks and risk premia in the US Treasury market, Journal of Economic Dynamics and Control, Elsevier (2024) View citations (1) (2024)

2022

5. Foreign exchange intervention: A new database
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel) (2020) View citations (1)
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2020) View citations (1)
   See also Journal Article Foreign Exchange Intervention: A New Database, IMF Economic Review, Palgrave Macmillan (2023) (2023)
6. The cost of foreign-currency lending
   Post-Print, HAL
   See also Journal Article The cost of foreign-currency lending, Journal of Banking & Finance, Elsevier (2022) (2022)

2021

7. Exchange Rates and Sovereign Risk
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Exchange Rates and Sovereign Risk, Management Science, INFORMS (2022) View citations (15) (2022)
8. Foreign Exchange Volume
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Foreign Exchange Volume, The Review of Financial Studies, Society for Financial Studies (2022) View citations (7) (2022)

2019

9. 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 Business cycles and currency returns, Journal of Financial Economics, Elsevier (2020) View citations (25) (2020)
10. Risky Bank Guarantees
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2019) View citations (1)
    See also Journal Article Risky bank guarantees, Journal of Financial Economics, Elsevier (2020) View citations (7) (2020)

2018

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

2017

12. When is foreign exchange intervention effective? Evidence from 33 countries
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (18)
    See also Journal Article When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries, American Economic Journal: Macroeconomics, American Economic Association (2019) View citations (113) (2019)

2016

13. Currency Value
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Currency Value, The Review of Financial Studies, Society for Financial Studies (2017) View citations (6) (2017)

2015

14. Currency Premia and Global Imbalances
    2015 Meeting Papers, Society for Economic Dynamics View citations (4)
    See also Journal Article Currency Premia and Global Imbalances, The Review of Financial Studies, Society for Financial Studies (2016) View citations (92) (2016)
15. 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 What Do Stock Markets Tell Us about Exchange Rates?, Review of Finance, European Finance Association (2016) View citations (36) (2016)
16. What Drives International Portfolio Flows?
    Working Paper series, Rimini Centre for Economic Analysis View citations (7)
    See also Journal Article What drives international portfolio flows?, Journal of International Money and Finance, Elsevier (2016) View citations (67) (2016)

2014

17. Foreign Exchange Risk and the Predictability of Carry Trade Returns
    Working Paper series, Rimini Centre for Economic Analysis View citations (50)
    See also Journal Article Foreign exchange risk and the predictability of carry trade returns, Journal of Banking & Finance, Elsevier (2014) View citations (51) (2014)
18. 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 Working Paper Series, European Central Bank (2012) View citations (16)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (26)
    See also Journal Article The scapegoat theory of exchange rates: the first tests, Journal of Monetary Economics, Elsevier (2015) View citations (57) (2015)

2013

19. Information flows in foreign exchange markets: dissecting customer currency trades
    BIS Working Papers, Bank for International Settlements View citations (9)
    See also Journal Article Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades, Journal of Finance, American Finance Association (2016) View citations (66) (2016)
20. Volatility Risk Premia and Exchange Rate Predictability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article Volatility risk premia and exchange rate predictability, Journal of Financial Economics, Elsevier (2016) View citations (88) (2016)
21. 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 Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective, Journal of Money, Credit and Banking, Blackwell Publishing (2014) View citations (42) (2014)

2012

22. Currency Momentum Strategies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (218)
    Also in BIS Working Papers, Bank for International Settlements (2011) View citations (15)
    Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (218)
    See also Journal Article Currency momentum strategies, Journal of Financial Economics, Elsevier (2012) View citations (198) (2012)
23. How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads
    Working papers, National Bank of Serbia View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (76)
    See also Journal Article How the Subprime Crisis went global: Evidence from bank credit default swap spreads, Journal of International Money and Finance, Elsevier (2012) View citations (136) (2012)
24. Properties of Foreign Exchange Risk Premiums
    Working Paper series, Rimini Centre for Economic Analysis View citations (76)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (37)
    See also Journal Article Properties of foreign exchange risk premiums, Journal of Financial Economics, Elsevier (2012) View citations (71) (2012)

2011

25. Carry Trades and Global Foreign Exchange Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (27)
    See also Journal Article Carry Trades and Global Foreign Exchange Volatility, Journal of Finance, American Finance Association (2012) View citations (410) (2012)
26. 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 The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?, The Review of Economics and Statistics, MIT Press (2012) View citations (59) (2012)

2010

27. Properties of Foreign Exchange Risk Premia
    MPRA Paper, University Library of Munich, Germany View citations (5)
28. Spot and Forward Volatility in Foreign Exchange
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    See also Journal Article Spot and forward volatility in foreign exchange, Journal of Financial Economics, Elsevier (2011) View citations (44) (2011)

2009

29. 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 (4)
    See also Journal Article Asset prices, exchange rates and the current account, European Economic Review, Elsevier (2010) View citations (84) (2010)
30. Carry Trades and Global FX Volatility
    MPRA Paper, University Library of Munich, Germany View citations (4)
31. 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 Exchange rate forecasting, order flow and macroeconomic information, Journal of International Economics, Elsevier (2010) View citations (137) (2010)

2008

32. Arbitrage in the Foreign Exchange Market: Turning on the Microscope
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (227)
    Also in SIFR Research Report Series, Institute for Financial Research (2006) View citations (14)
    Working Paper, Norges Bank (2005) View citations (11)
    See also Journal Article Arbitrage in the foreign exchange market: Turning on the microscope, Journal of International Economics, Elsevier (2008) View citations (218) (2008)
33. Assessing the benefits of international portfolio diversification in bonds and stocks
    Working Paper Series, European Central Bank View citations (7)
34. 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 Does the law of one price hold in international financial markets? Evidence from tick data, Journal of Banking & Finance, Elsevier (2009) View citations (29) (2009)
35. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
    See also Journal Article Exchange Rates and Fundamentals: Footloose or Evolving Relationship?, Journal of the European Economic Association, MIT Press (2009) View citations (134) (2009)

2007

36. An Economic Evaluation of Empirical Exchange Rate Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (66)
    See also Journal Article An Economic Evaluation of Empirical Exchange Rate Models, The Review of Financial Studies, Society for Financial Studies (2009) View citations (143) (2009)
37. 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 (5)
    See also Journal Article CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY, Macroeconomic Dynamics, Cambridge University Press (2007) View citations (3) (2007)
38. 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 (13)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (6)
    See also Journal Article The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value, Journal of Financial Economics, Elsevier (2008) View citations (67) (2008)

2006

39. Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    IMF Working Papers, International Monetary Fund View citations (122)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (121)
    See also Journal Article Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle, Review of Finance, European Finance Association (2006) View citations (119) (2006)

2005

40. 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 A cross-country financial accelerator: Evidence from North America and Europe, Journal of International Money and Finance, Elsevier (2007) View citations (16) (2007)
41. 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 New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market, Journal of Futures Markets, John Wiley & Sons, Ltd. (2006) View citations (2) (2006)
42. Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003
    Working Paper, Norges Bank View citations (2)
    See also Chapter Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003, Contributions to Economic Analysis, Emerald Group Publishing Limited (2006) (2006)
43. 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 (12)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2005) View citations (14)
    See also Journal Article The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields, Journal of Financial and Quantitative Analysis, Cambridge University Press (2007) View citations (76) (2007)
44. 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 The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates, The Journal of Business, University of Chicago Press (2006) View citations (68) (2006)

2004

45. Asset Prices and International Spillovers: An Empirical Investigation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
46. 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 Exchange rates and fundamentals: evidence on the economic value of predictability, Journal of International Economics, Elsevier (2005) View citations (104) (2005)
47. 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 Federal Funds Rate Prediction, Journal of Money, Credit and Banking, Blackwell Publishing (2005) View citations (23) (2005)
48. 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)
49. The Term Structure Of Euromarket Interest Rates: Some New Evidence
    Royal Economic Society Annual Conference 2004, Royal Economic Society

2003

50. 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 Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes, Economic Inquiry, Western Economic Association International (2004) View citations (64) (2004)
51. Monetary Policy Rules, Asset Prices and Exchange Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (45)
    See also Journal Article Monetary Policy Rules, Asset Prices, and Exchange Rates, IMF Staff Papers, Palgrave Macmillan (2004) View citations (95) (2004)
52. Nonlinear Exchange Rate Models: A Selective Overview
    IMF Working Papers, International Monetary Fund View citations (18)
    See also Journal Article Nonlinear Exchange Rate Models: A Selective Overview, Rivista di Politica Economica, SIPI Spa (2003) View citations (18) (2003)
53. The efficient market hypothesis and identification in structural VARs
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article The efficient market hypothesis and identification in structural VARs, Review, Federal Reserve Bank of St. Louis (2004) View citations (8) (2004)

2002

54. 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 Comparing the accuracy of density forecasts from competing models, Journal of Forecasting, John Wiley & Sons, Ltd. (2004) View citations (20) (2004)
55. How well do monetary fundamentals forecast exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis View citations (74)
    See also Journal Article How well do monetary fundamentals forecast exchange rates?, Review, Federal Reserve Bank of St. Louis (2002) View citations (39) (2002)
56. 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 Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (7) (2005)
57. 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 Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study, Journal of International Money and Finance, Elsevier (2004) View citations (199) (2004)
58. 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 Journal Article Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997, Journal of Money, Credit and Banking, Blackwell Publishing (2003) View citations (16) (2003)
59. 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 (8)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2002) View citations (8)
    See also Journal Article The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation, Journal of Banking & Finance, Elsevier (2003) View citations (86) (2003)
60. 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 (44)
    See also Journal Article The out-of-sample success of term structure models as exchange rate predictors: a step beyond, Journal of International Economics, Elsevier (2003) View citations (164) (2003)
61. 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 What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2007) View citations (1) (2007)

2001

62. 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 (743)
    See also Journal Article Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2001) View citations (706) (2001)
63. 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 (620)
    See also Journal Article Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?, Journal of Economic Literature, American Economic Association (2001) View citations (649) (2001)
64. Purchasing Power Parity and the Real Exchange Rate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (38)
    See also Journal Article Purchasing Power Parity and the Real Exchange Rate, IMF Staff Papers, Palgrave Macmillan (2002) View citations (273) (2002)

2000

65. 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 Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation, Economica, London School of Economics and Political Science (2001) View citations (6) (2001)

1999

66. 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 (8)

1997

67. 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 The behavior of real exchange rates during the post-Bretton Woods period, Journal of International Economics, Elsevier (1998) View citations (468) (1998)

Undated

68. 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 European Capital Flows and Regional Risk, Manchester School, University of Manchester (1999) View citations (9) (1999)
69. 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
70. 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 Real exchange rates under the recent float: unequivocal evidence of mean reversion, Economics Letters, Elsevier (1998) View citations (119) (1998)
71. 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 Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K, Journal of Macroeconomics, Elsevier (1998) View citations (36) (1998)
72. 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 Savings-Investment Correlations: Transitory versus Permanent, The Manchester School of Economic & Social Studies, University of Manchester (1998) View citations (27) (1998)

Journal Articles

2024

1. Currency Risk Premiums Redux
   The Review of Financial Studies, 2024, 37, (2), 356-408 View citations (2)
   See also Working Paper Currency risk premiums redux?, Temi di discussione (Economic working papers) (2023) (2023)
2. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390 View citations (2)
   See also Working Paper Nonstandard Errors, Post-Print (2024) View citations (2) (2024)
3. Risks and risk premia in the US Treasury market
   Journal of Economic Dynamics and Control, 2024, 158, (C) View citations (1)
   See also Working Paper Risks and Risk Premia in the US Treasury Market, CEPR Discussion Papers (2023) (2023)

2023

4. Foreign Exchange Intervention: A New Database
   IMF Economic Review, 2023, 71, (4), 852-884
   See also Working Paper Foreign exchange intervention: A new database, CEPR Discussion Papers (2022) (2022)

2022

5. Exchange Rates and Sovereign Risk
   Management Science, 2022, 68, (8), 5591-5617 View citations (15)
   See also Working Paper Exchange Rates and Sovereign Risk, CEPR Discussion Papers (2021) (2021)
6. Foreign Exchange Volume
   The Review of Financial Studies, 2022, 35, (5), 2386-2427 View citations (7)
   See also Working Paper Foreign Exchange Volume, CEPR Discussion Papers (2021) (2021)
7. The cost of foreign-currency lending
   Journal of Banking & Finance, 2022, 136, (C)
   See also Working Paper The cost of foreign-currency lending, Post-Print (2022) (2022)

2020

8. Business cycles and currency returns
   Journal of Financial Economics, 2020, 137, (3), 659-678 View citations (25)
   See also Working Paper Business Cycles and Currency Returns, NBER Working Papers (2019) View citations (5) (2019)
9. Risky bank guarantees
   Journal of Financial Economics, 2020, 136, (2), 490-522 View citations (7)
   See also Working Paper Risky Bank Guarantees, CEPR Discussion Papers (2019) View citations (1) (2019)

2019

10. When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries
    American Economic Journal: Macroeconomics, 2019, 11, (1), 132-56 View citations (113)
    Also in EconStor Open Access Articles and Book Chapters, 2019, Volume11, (1), 132-156 (2019) View citations (43)
    See also Working Paper When is foreign exchange intervention effective? Evidence from 33 countries, CEPR Discussion Papers (2017) View citations (20) (2017)

2017

11. Currency Value
    The Review of Financial Studies, 2017, 30, (2), 416-441 View citations (6)
    See also Working Paper Currency Value, CEPR Discussion Papers (2016) (2016)
12. The market for lemmings: The herding behavior of pension funds
    Journal of Financial Markets, 2017, 36, (C), 17-39 View citations (33)

2016

13. Currency Premia and Global Imbalances
    The Review of Financial Studies, 2016, 29, (8), 2161-2193 View citations (92)
    See also Working Paper Currency Premia and Global Imbalances, 2015 Meeting Papers (2015) View citations (4) (2015)
14. Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades
    Journal of Finance, 2016, 71, (2), 601-634 View citations (66)
    See also Working Paper Information flows in foreign exchange markets: dissecting customer currency trades, BIS Working Papers (2013) View citations (9) (2013)
15. The economic value of predicting bond risk premia
    Journal of Empirical Finance, 2016, 37, (C), 247-267 View citations (34)
16. Volatility risk premia and exchange rate predictability
    Journal of Financial Economics, 2016, 120, (1), 21-40 View citations (88)
    See also Working Paper Volatility Risk Premia and Exchange Rate Predictability, CEPR Discussion Papers (2013) View citations (3) (2013)
17. What Do Stock Markets Tell Us about Exchange Rates?
    Review of Finance, 2016, 20, (3), 1045-1080 View citations (36)
    See also Working Paper What Do Stock Markets Tell Us About Exchange Rates?, CEPR Discussion Papers (2015) View citations (20) (2015)
18. What drives international portfolio flows?
    Journal of International Money and Finance, 2016, 60, (C), 53-72 View citations (67)
    See also Working Paper What Drives International Portfolio Flows?, Working Paper series (2015) View citations (7) (2015)

2015

19. The scapegoat theory of exchange rates: the first tests
    Journal of Monetary Economics, 2015, 70, (C), 1-21 View citations (57)
    See also Working Paper The scapegoat theory of exchange rates: the first tests, Temi di discussione (Economic working papers) (2014) View citations (1) (2014)

2014

20. Foreign exchange risk and the predictability of carry trade returns
    Journal of Banking & Finance, 2014, 42, (C), 302-313 View citations (51)
    See also Working Paper Foreign Exchange Risk and the Predictability of Carry Trade Returns, Working Paper series (2014) View citations (50) (2014)
21. Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective
    Journal of Money, Credit and Banking, 2014, 46, (2-3), 267-292 View citations (42)
    See also Working Paper Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective, CEPR Discussion Papers (2013) View citations (1) (2013)

2012

22. Carry Trades and Global Foreign Exchange Volatility
    Journal of Finance, 2012, 67, (2), 681-718 View citations (410)
    See also Working Paper Carry Trades and Global Foreign Exchange Volatility, CEPR Discussion Papers (2011) View citations (27) (2011)
23. Currency momentum strategies
    Journal of Financial Economics, 2012, 106, (3), 660-684 View citations (198)
    See also Working Paper Currency Momentum Strategies, CEPR Discussion Papers (2012) View citations (218) (2012)
24. Global liquidity risk in the foreign exchange market
    Journal of International Money and Finance, 2012, 31, (2), 267-291 View citations (50)
25. 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 (136)
    See also Working Paper How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads, Working papers (2012) View citations (1) (2012)
26. Properties of foreign exchange risk premiums
    Journal of Financial Economics, 2012, 105, (2), 279-310 View citations (71)
    See also Working Paper Properties of Foreign Exchange Risk Premiums, Working Paper series (2012) View citations (76) (2012)
27. 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 (59)
    See also Working Paper The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?, Working papers (2011) (2011)

2011

28. Spot and forward volatility in foreign exchange
    Journal of Financial Economics, 2011, 100, (3), 496-513 View citations (44)
    See also Working Paper Spot and Forward Volatility in Foreign Exchange, CEPR Discussion Papers (2010) View citations (2) (2010)

2010

29. 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 (29)
30. Asset prices, exchange rates and the current account
    European Economic Review, 2010, 54, (5), 643-658 View citations (84)
    See also Working Paper Asset Prices, Exchange Rates and the Current Account, CEPR Discussion Papers (2009) View citations (7) (2009)
31. Exchange rate forecasting, order flow and macroeconomic information
    Journal of International Economics, 2010, 80, (1), 72-88 View citations (137)
    See also Working Paper Exchange Rate Forecasting, Order Flow and Macroeconomic Information, CEPR Discussion Papers (2009) View citations (24) (2009)
32. Timing exchange rates using order flow: The case of the Loonie
    Journal of Banking & Finance, 2010, 34, (12), 2917-2928 View citations (40)

2009

33. An Economic Evaluation of Empirical Exchange Rate Models
    The Review of Financial Studies, 2009, 22, (9), 3491-3530 View citations (143)
    See also Working Paper An Economic Evaluation of Empirical Exchange Rate Models, CEPR Discussion Papers (2007) View citations (66) (2007)
34. 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 Does the law of one price hold in international financial markets? Evidence from tick data, Working Paper (2008) View citations (11) (2008)
35. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
    Journal of the European Economic Association, 2009, 7, (4), 786-830 View citations (134)
    See also Working Paper Exchange Rates and Fundamentals: Footloose or Evolving Relationship?, CEPR Discussion Papers (2008) View citations (14) (2008)
36. 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 (45)
    Also in Journal of Money, Credit and Banking, 2009, 41, (2‐3), 437-442 (2009) View citations (5)

2008

37. Arbitrage in the foreign exchange market: Turning on the microscope
    Journal of International Economics, 2008, 76, (2), 237-253 View citations (218)
    See also Working Paper Arbitrage in the Foreign Exchange Market: Turning on the Microscope, CEPR Discussion Papers (2008) View citations (227) (2008)
38. 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 (67)
    See also Working Paper The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value, CEPR Discussion Papers (2007) View citations (13) (2007)

2007

39. A cross-country financial accelerator: Evidence from North America and Europe
    Journal of International Money and Finance, 2007, 26, (1), 149-165 View citations (16)
    See also Working Paper A Cross-Country Financial Accelerator: Evidence from North America and Europe, CEPR Discussion Papers (2005) View citations (1) (2005)
40. CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY
    Macroeconomic Dynamics, 2007, 11, (4), 519-541 View citations (3)
    See also Working Paper Caution or Activism? Monetary Policy Strategies in an Open Economy, Money Macro and Finance (MMF) Research Group Conference 2006 (2007) View citations (3) (2007)
41. 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 (76)
    See also Working Paper The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields, CEPR Discussion Papers (2005) View citations (12) (2005)
42. 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 What's unique about the federal funds rate? evidence from a spectral perspective, Working Papers (2002) View citations (2) (2002)

2006

43. 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 (80)
44. 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 New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market, Money Macro and Finance (MMF) Research Group Conference 2005 (2005) (2005)
45. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    Review of Finance, 2006, 10, (3), 443-482 View citations (119)
    See also Working Paper Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle, IMF Working Papers (2006) View citations (122) (2006)
46. Special issue on advances in international money, macro and finance
    International Journal of Finance & Economics, 2006, 11, (3), 175-175
47. 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 (68)
    See also Working Paper The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates, CEPR Discussion Papers (2005) View citations (6) (2005)

2005

48. 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 (33)
49. Exchange rates and fundamentals: evidence on the economic value of predictability
    Journal of International Economics, 2005, 66, (2), 325-348 View citations (104)
    See also Working Paper Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability, CEPR Discussion Papers (2004) View citations (2) (2004)
50. Federal Funds Rate Prediction
    Journal of Money, Credit and Banking, 2005, 37, (3), 449-71 View citations (23)
    See also Working Paper Federal Funds Rate Prediction, CEPR Discussion Papers (2004) View citations (6) (2004)
51. 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 (7)
    Also in Journal of Applied Econometrics, 2005, 20, (3), 345-376 (2005) View citations (42)
    See also Working Paper Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers, Royal Economic Society Annual Conference 2002 (2002) View citations (1) (2002)
52. 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 (170)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2005, 38, (3), 673-708 (2005) View citations (162)

2004

53. Comparing the accuracy of density forecasts from competing models
    Journal of Forecasting, 2004, 23, (8), 541-557 View citations (20)
    See also Working Paper Comparing the Accuracy of Density Forecasts from Competing Models, Computing in Economics and Finance 2002 (2002) View citations (5) (2002)
54. 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 (26)
55. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    Economic Inquiry, 2004, 42, (2), 179-193 View citations (64)
    See also Working Paper Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes, Computing in Economics and Finance 2003 (2003) View citations (8) (2003)
56. Monetary Policy Rules, Asset Prices, and Exchange Rates
    IMF Staff Papers, 2004, 51, (3), 529-552 View citations (95)
    See also Working Paper Monetary Policy Rules, Asset Prices and Exchange Rates, CEPR Discussion Papers (2003) View citations (45) (2003)
57. 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 (199)
    See also Working Paper Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study, CEPR Discussion Papers (2002) View citations (7) (2002)
58. Speculative Bubbles in U.K. House Prices: Some New Evidence
    Southern Economic Journal, 2004, 70, (4), 777-795 View citations (2)
59. The efficient market hypothesis and identification in structural VARs
    Review, 2004, 86, (Jan), 49-60 View citations (8)
    See also Working Paper The efficient market hypothesis and identification in structural VARs, Working Papers (2003) (2003)
60. 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 (6)

2003

61. An empirical investigation of asset price bubbles in Latin American emerging financial markets
    Applied Financial Economics, 2003, 13, (9), 635-643 View citations (35)
62. Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997
    Journal of Money, Credit and Banking, 2003, 35, (5), 787-99 View citations (16)
    See also Working Paper Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997, CEPR Discussion Papers (2002) View citations (1) (2002)
63. Nonlinear Exchange Rate Models: A Selective Overview
    Rivista di Politica Economica, 2003, 93, (4), 3-46 View citations (18)
    See also Working Paper Nonlinear Exchange Rate Models: A Selective Overview, IMF Working Papers (2003) View citations (18) (2003)
64. 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 (86)
    See also Working Paper The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation, CEPR Discussion Papers (2002) View citations (8) (2002)
65. 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 (164)
    See also Working Paper The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond, CEPR Discussion Papers (2002) View citations (5) (2002)

2002

66. How well do monetary fundamentals forecast exchange rates?
    Review, 2002, 84, (Sep), 51-74 View citations (39)
    See also Working Paper How well do monetary fundamentals forecast exchange rates?, Working Papers (2002) View citations (74) (2002)
67. Mean reversion in stock index futures markets: A nonlinear analysis
    Journal of Futures Markets, 2002, 22, (4), 285-314 View citations (14)
68. Purchasing Power Parity and the Real Exchange Rate
    IMF Staff Papers, 2002, 49, (1), 5 View citations (273)
    See also Working Paper Purchasing Power Parity and the Real Exchange Rate, CEPR Discussion Papers (2001) View citations (38) (2001)
69. 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 (8)

2001

70. 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 Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation, CEPR Discussion Papers (2000) (2000)
71. 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 (706)
    See also Working Paper Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles, CEPR Discussion Papers (2001) View citations (743) (2001)
72. 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 (649)
    See also Working Paper Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?, CEPR Discussion Papers (2001) View citations (620) (2001)
73. Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 26 View citations (39)
74. The behavior of US public debt: a nonlinear perspective
    Economics Letters, 2001, 74, (1), 119-125 View citations (42)
75. Toward a new paradigm in open economy modeling: where do we stand?
    Review, 2001, 83, (May), 21-36 View citations (8)

2000

76. Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis
    Empirical Economics, 2000, 25, (2), 351-368 View citations (11)
77. Real exchange rate behavior in the Middle East: a re-examination
    Economics Letters, 2000, 66, (2), 127-136 View citations (62)
78. Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997
    Applied Economics Letters, 2000, 7, (5), 285-291 View citations (26)
79. Systematic sampling and real exchange rates
    Review of World Economics (Weltwirtschaftliches Archiv), 2000, 136, (1), 24-57 View citations (12)
80. 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 (19)

1999

81. 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 (30)
82. 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
83. European Capital Flows and Regional Risk
    Manchester School, 1999, 67, (1), 21-38 View citations (9)
    See also Working Paper European Capital Flows and Regional Risk, Economics and Finance Discussion Papers
84. 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 (136)
85. 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 (87)
86. Stochastic growth: Empirical evidence from the G7 countries
    Journal of Macroeconomics, 1999, 21, (4), 691-712 View citations (1)
87. 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

88. 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 (27)
89. 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 (36)
    See also Working Paper Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK, Economics and Finance Discussion Papers
90. Real exchange rates under the recent float: unequivocal evidence of mean reversion
    Economics Letters, 1998, 60, (2), 131-137 View citations (119)
    See also Working Paper Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion, Economics and Finance Discussion Papers
91. Savings-Investment Correlations: Transitory versus Permanent
    The Manchester School of Economic & Social Studies, 1998, 66, 17-38 View citations (27)
    See also Working Paper Saving-Investment Correlations: Transitory versus Permanent, Economics and Finance Discussion Papers
92. The behavior of real exchange rates during the post-Bretton Woods period
    Journal of International Economics, 1998, 46, (2), 281-312 View citations (468)
    See also Working Paper The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period, CEPR Discussion Papers (1997) View citations (29) (1997)

1997

93. Capital Flows to Developing Countries: Long- and Short-Term Determinants
    The World Bank Economic Review, 1997, 11, (3), 451-70 View citations (158)
94. 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)
95. 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)
96. 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 (16)

Books

2003

1. The Economics of Exchange Rates
   Cambridge Books, Cambridge University Press View citations (533)

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)

Chapters

2006

1. Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003
   A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 333-377
   See also Working Paper Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003, Norges Bank (2005) View citations (2) (2005)