Details about Giorgio Valente

Access statistics for papers by Giorgio Valente.

Last updated 2018-12-05. Update your information in the RePEc Author Service.

Short-id: pva58

Working Papers

2019

1. Global Drivers of Gross and Net Capital Flows
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (3)

2015

2. Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve
   BIS Working Papers, Bank for International Settlements View citations (6)
3. 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)

2014

4. High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
   Staff Working Papers, Bank of Canada View citations (17)

2013

5. Carry Trades and the Performance of Currency Hedge Funds
   Working Papers, Hong Kong Institute for Monetary Research View citations (5)
   See also Journal Article Carry trades and the performance of currency hedge funds, Journal of International Money and Finance, Elsevier (2013) View citations (4) (2013)

2012

6. Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
   Working Papers, Federal Reserve Bank of St. Louis View citations (4)

2010

7. Market Liquidity and Funding Liquidity: An Empirical Investigation
   Working Papers, Hong Kong Institute for Monetary Research
8. Predicting bond excess returns with forward rates: an asset-allocation perspective
   Working Papers, Federal Reserve Bank of St. Louis View citations (1)

2009

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

2008

10. 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 (129) (2009)
11. FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value
    Working Papers, Hong Kong Institute for Monetary Research View citations (2)

2006

12. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (120)
    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 (118) (2006)

2005

13. 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 (75) (2007)
14. 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)
15. US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore
    Working Papers, Hong Kong Institute for Monetary Research View citations (1)

2004

16. Asset Prices and International Spillovers: An Empirical Investigation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
17. 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 (101) (2005)
18. Federal Funds Rate Prediction
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    Also in Royal Economic Society Annual Conference 2003, Royal Economic Society (2003)
    Working Papers, Federal Reserve Bank of St. Louis (2004) View citations (5)
    See also Journal Article Federal Funds Rate Prediction, Journal of Money, Credit and Banking, Blackwell Publishing (2005) View citations (22) (2005)
19. The Term Structure of Interest Rates and the Public Debt Issuance Policy: A Note
    CEIS Research Paper, Tor Vergata University, CEIS View citations (5)

2003

20. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    CEPR Discussion Papers, C.E.P.R. Discussion Papers 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)
21. 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 (93) (2004)

2002

22. 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)
23. 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 (42) (2005)
24. 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 (163) (2003)

Journal Articles

2016

1. Can currency-based risk factors help forecast exchange rates?
   International Journal of Forecasting, 2016, 32, (1), 75-97 View citations (18)
2. 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)

2015

3. Global Shock, Risks, and Asian Financial Reform edited by Iwan J. Azis and Hyun Song Shin (eds) Edward Elgar and Asian Development Bank, Cheltenham, UK; Northampton, MA, USA, 2014 Pp. 752. ISBN 978-1-78347-793-7
   Asian-Pacific Economic Literature, 2015, 29, (2), 116-117
4. Understanding the price of volatility risk in carry trades
   Journal of Banking & Finance, 2015, 57, (C), 118-129 View citations (11)

2013

5. Carry trades and the performance of currency hedge funds
   Journal of International Money and Finance, 2013, 33, (C), 407-425 View citations (4)
   See also Working Paper Carry Trades and the Performance of Currency Hedge Funds, Working Papers (2013) View citations (5) (2013)

2012

6. INTRODUCTION TO THE SPECIAL ISSUE OF PACIFIC ECONOMIC REVIEW ON MACRO AND MICRO INTERNATIONAL FLOWS
   Pacific Economic Review, 2012, 17, (3), 366-367
7. Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective
   The Review of Financial Studies, 2012, 25, (10), 3141-3168 View citations (93)

2010

8. 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 (28)
9. Covered interest arbitrage profits: The role of liquidity and credit risk
   Journal of Banking & Finance, 2010, 34, (5), 1098-1107 View citations (53)

2009

10. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
    Journal of the European Economic Association, 2009, 7, (4), 786-830 View citations (129)
    See also Working Paper Exchange Rates and Fundamentals: Footloose or Evolving Relationship?, CEPR Discussion Papers (2008) View citations (14) (2008)
11. International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore
    Journal of International Money and Finance, 2009, 28, (6), 920-940 View citations (11)

2008

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

2007

13. 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 (75)
    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)

2006

14. 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)
15. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    Review of Finance, 2006, 10, (3), 443-482 View citations (118)
    See also Working Paper Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle, CEPR Discussion Papers (2006) View citations (120) (2006)
16. 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

17. 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)
18. Exchange rates and fundamentals: evidence on the economic value of predictability
    Journal of International Economics, 2005, 66, (2), 325-348 View citations (101)
    See also Working Paper Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability, CEPR Discussion Papers (2004) View citations (2) (2004)
19. Federal Funds Rate Prediction
    Journal of Money, Credit and Banking, 2005, 37, (3), 449-71 View citations (22)
    See also Working Paper Federal Funds Rate Prediction, CEPR Discussion Papers (2004) View citations (6) (2004)
20. 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 (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)

2004

21. 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)
22. 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, CEPR Discussion Papers (2003) View citations (13) (2003)
23. Monetary Policy Rules, Asset Prices, and Exchange Rates
    IMF Staff Papers, 2004, 51, (3), 529-552 View citations (93)
    See also Working Paper Monetary Policy Rules, Asset Prices and Exchange Rates, CEPR Discussion Papers (2003) View citations (45) (2003)

2003

24. Monetary policy rules and regime shifts
    Applied Financial Economics, 2003, 13, (7), 525-535 View citations (47)
25. 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 (163)
    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

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

2000

27. 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 (18)