Details about Lucio Sarno
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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Working Papers
2022
- The cost of foreign-currency lending
Post-Print, HAL
See also Journal Article in Journal of Banking & Finance (2022)
2021
- Exchange Rates and Sovereign Risk
CEPR Discussion Papers, C.E.P.R. Discussion Papers
- Foreign Exchange Volume
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
See also Journal Article in Review of Financial Studies (2022)
- 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
- 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
- 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)
- 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
- Foreign currency lending
MPRA Paper, University Library of Munich, Germany View citations (2)
2017
- 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
- 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)
- Currency Value
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
See also Journal Article in Review of Financial Studies (2017)
2015
- 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)
- 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
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- 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
- 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)
- 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
- Properties of Foreign Exchange Risk Premia
MPRA Paper, University Library of Munich, Germany View citations (5)
- 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
- 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)
- Carry Trades and Global FX Volatility
MPRA Paper, University Library of Munich, Germany View citations (4)
- 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)
- 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
- 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)
- Assessing the benefits of international portfolio diversification in bonds and stocks
Working Paper Series, European Central Bank View citations (6)
- 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)
- 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
- 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)
- 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)
- 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
- 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
- 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)
- 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)
- Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003
Working Paper, Norges Bank View citations (2)
- 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)
- 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
- Asset Prices and International Spillovers: An Empirical Investigation
CEPR Discussion Papers, C.E.P.R. Discussion Papers
- 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)
- 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)
- 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)
- The Term Structure Of Euromarket Interest Rates: Some New Evidence
Royal Economic Society Annual Conference 2004, Royal Economic Society
2003
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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
- 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
- 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
- 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
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- The cost of foreign-currency lending
Journal of Banking & Finance, 2022, 136, (C) 
See also Working Paper (2022)
2020
- Business cycles and currency returns
Journal of Financial Economics, 2020, 137, (3), 659-678 View citations (12)
See also Working Paper (2019)
- Risky bank guarantees
Journal of Financial Economics, 2020, 136, (2), 490-522 View citations (5)
See also Working Paper (2019)
2019
- 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
- Currency Value
Review of Financial Studies, 2017, 30, (2), 416-441 View citations (6)
See also Working Paper (2016)
- The market for lemmings: The herding behavior of pension funds
Journal of Financial Markets, 2017, 36, (C), 17-39 View citations (22)
2016
- Currency Premia and Global Imbalances
Review of Financial Studies, 2016, 29, (8), 2161-2193 View citations (70)
See also Working Paper (2016)
- 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)
- The economic value of predicting bond risk premia
Journal of Empirical Finance, 2016, 37, (C), 247-267 View citations (26)
- Volatility risk premia and exchange rate predictability
Journal of Financial Economics, 2016, 120, (1), 21-40 View citations (67)
See also Working Paper (2013)
- 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)
- 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
- 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
- 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)
- 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
- Carry Trades and Global Foreign Exchange Volatility
Journal of Finance, 2012, 67, (2), 681-718 View citations (352)
See also Working Paper (2011)
- Currency momentum strategies
Journal of Financial Economics, 2012, 106, (3), 660-684 View citations (179)
See also Working Paper (2012)
- Global liquidity risk in the foreign exchange market
Journal of International Money and Finance, 2012, 31, (2), 267-291 View citations (42)
- 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)
- Properties of foreign exchange risk premiums
Journal of Financial Economics, 2012, 105, (2), 279-310 View citations (63)
See also Working Paper (2012)
- 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
- 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
- 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)
- Asset prices, exchange rates and the current account
European Economic Review, 2010, 54, (5), 643-658 View citations (82)
See also Working Paper (2009)
- 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)
- Timing exchange rates using order flow: The case of the Loonie
Journal of Banking & Finance, 2010, 34, (12), 2917-2928 View citations (39)
2009
- 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)
- 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)
- 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)
- 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
- 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)
- 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
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- Special issue on advances in international money, macro and finance
International Journal of Finance & Economics, 2006, 11, (3), 175-175
- 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
- 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)
- 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)
- Federal Funds Rate Prediction
Journal of Money, Credit and Banking, 2005, 37, (3), 449-71 View citations (22)
See also Working Paper (2004)
- 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)
- 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
- 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)
- 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)
- 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)
- Monetary Policy Rules, Asset Prices, and Exchange Rates
IMF Staff Papers, 2004, 51, (3), 529-552 View citations (86)
See also Working Paper (2003)
- 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)
- Speculative Bubbles in U.K. House Prices: Some New Evidence
Southern Economic Journal, 2004, 70, (4), 777-795 View citations (2)
- The efficient market hypothesis and identification in structural VARs
Review, 2004, 86, (Jan), 49-60 View citations (8)
See also Working Paper (2003)
- 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
- An empirical investigation of asset price bubbles in Latin American emerging financial markets
Applied Financial Economics, 2003, 13, (9), 635-643 View citations (36)
- Nonlinear Exchange Rate Models: A Selective Overview
Rivista di Politica Economica, 2003, 93, (4), 3-46 View citations (18)
See also Working Paper (2003)
- 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)
- 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
- How well do monetary fundamentals forecast exchange rates?
Review, 2002, 84, (Sep), 51-74 View citations (38)
See also Working Paper (2002)
- Mean reversion in stock index futures markets: A nonlinear analysis
Journal of Futures Markets, 2002, 22, (4), 285-314 View citations (14)
- Purchasing Power Parity and the Real Exchange Rate
IMF Staff Papers, 2002, 49, (1), 5 View citations (262)
See also Working Paper (2001)
- 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
- 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)
- 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)
- 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)
- Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis
Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 1-26 View citations (36)
- The behavior of US public debt: a nonlinear perspective
Economics Letters, 2001, 74, (1), 119-125 View citations (41)
- Toward a new paradigm in open economy modeling: where do we stand?
Review, 2001, 83, (May), 21-36 View citations (8)
2000
- Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis
Empirical Economics, 2000, 25, (2), 351-368 View citations (11)
- Real exchange rate behavior in the Middle East: a re-examination
Economics Letters, 2000, 66, (2), 127-136 View citations (59)
- 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)
- Systematic sampling and real exchange rates
Review of World Economics (Weltwirtschaftliches Archiv), 2000, 136, (1), 24-57 View citations (12)
- 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
- 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)
- 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
- European Capital Flows and Regional Risk
Manchester School, 1999, 67, (1), 21-38 View citations (9)
See also Working Paper
- 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)
- 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)
- Stochastic growth: Empirical evidence from the G7 countries
Journal of Macroeconomics, 1999, 21, (4), 691-712 View citations (1)
- 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
- 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)
- 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
- 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
- Savings-Investment Correlations: Transitory versus Permanent
The Manchester School of Economic & Social Studies, 1998, 66, 17-38 View citations (27)
See also Working Paper
- 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
- Capital Flows to Developing Countries: Long- and Short-Term Determinants
The World Bank Economic Review, 1997, 11, (3), 451-70 View citations (154)
- 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)
- 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)
- 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
- The Economics of Exchange Rates
Cambridge Books, Cambridge University Press View citations (520)
Edited books
2016
- Developments in Macro-Finance Yield Curve Modelling
Cambridge Books, Cambridge University Press
2014
- Developments in Macro-Finance Yield Curve Modelling
Cambridge Books, Cambridge University Press View citations (4)
2002
- New Developments in Exchange Rate Economics, vol Two volume set
Books, Edward Elgar Publishing View citations (3)
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