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Details about Giorgio Valente

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Homepage:https://sites.google.com/site/gvperwebsite/
Workplace:Hong Kong Monetary Authority, (more information at EDIRC)

Access statistics for papers by Giorgio Valente.

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

Short-id: pva58


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Working Papers

2019

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

2015

  1. Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve
    BIS Working Papers, Bank for International Settlements Downloads View citations (5)
  2. What Do Stock Markets Tell Us About Exchange Rates?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (18)
    Also in Bank of England working papers, Bank of England (2015) Downloads View citations (16)

    See also Journal Article in Review of Finance (2016)

2014

  1. High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
    Staff Working Papers, Bank of Canada Downloads View citations (8)

2013

  1. Carry Trades and the Performance of Currency Hedge Funds
    Working Papers, Hong Kong Institute for Monetary Research Downloads View citations (4)
    See also Journal Article in Journal of International Money and Finance (2013)

2012

  1. Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)

2010

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

2009

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

2008

  1. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    See also Journal Article in Journal of the European Economic Association (2009)
  2. FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value
    Working Papers, Hong Kong Institute for Monetary Research Downloads View citations (2)

2006

  1. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (87)
    See also Journal Article in Review of Finance (2006)

2005

  1. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2005) Downloads View citations (13)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2007)
  2. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    See also Journal Article in The Journal of Business (2006)
  3. 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 Downloads View citations (1)

2004

  1. Asset Prices and International Spillovers: An Empirical Investigation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article in Journal of International Economics (2005)
  3. Federal Funds Rate Prediction
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Royal Economic Society Annual Conference 2003, Royal Economic Society (2003) Downloads
    Working Papers, Federal Reserve Bank of St. Louis (2004) Downloads View citations (5)

    See also Journal Article in Journal of Money, Credit and Banking (2005)
  4. Monetary Policy Rules, Asset Prices and Exchange Rates
    CDMA Working Paper Series, Centre for Dynamic Macroeconomic Analysis Downloads View citations (62)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (42)

    See also Journal Article in IMF Staff Papers (2004)
  5. The Term Structure of Interest Rates and the Public Debt Issuance Policy: A Note
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (4)

2003

  1. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (13)
    See also Journal Article in Economic Inquiry (2004)

2002

  1. 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)
  2. Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2005)
  3. 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 Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (43)

    See also Journal Article in Journal of International Economics (2003)

Journal Articles

2016

  1. Can currency-based risk factors help forecast exchange rates?
    International Journal of Forecasting, 2016, 32, (1), 75-97 Downloads View citations (9)
  2. What Do Stock Markets Tell Us about Exchange Rates?
    Review of Finance, 2016, 20, (3), 1045-1080 Downloads View citations (18)
    See also Working Paper (2015)

2015

  1. 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 Downloads
  2. Understanding the price of volatility risk in carry trades
    Journal of Banking & Finance, 2015, 57, (C), 118-129 Downloads View citations (6)

2013

  1. Carry trades and the performance of currency hedge funds
    Journal of International Money and Finance, 2013, 33, (C), 407-425 Downloads View citations (3)
    See also Working Paper (2013)

2012

  1. INTRODUCTION TO THE SPECIAL ISSUE OF PACIFIC ECONOMIC REVIEW ON MACRO AND MICRO INTERNATIONAL FLOWS
    Pacific Economic Review, 2012, 17, (3), 366-367 Downloads
  2. Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective
    Review of Financial Studies, 2012, 25, (10), 3141-3168 Downloads View citations (56)

2010

  1. A century of equity premium predictability and the consumption-wealth ratio: An international perspective
    Journal of Empirical Finance, 2010, 17, (3), 313-331 Downloads View citations (20)
  2. Covered interest arbitrage profits: The role of liquidity and credit risk
    Journal of Banking & Finance, 2010, 34, (5), 1098-1107 Downloads View citations (37)

2009

  1. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
    Journal of the European Economic Association, 2009, 7, (4), 786-830 Downloads View citations (103)
    See also Working Paper (2008)
  2. International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore
    Journal of International Money and Finance, 2009, 28, (6), 920-940 Downloads View citations (10)

2008

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

2007

  1. 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 Downloads View citations (59)
    See also Working Paper (2005)

2006

  1. 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 Downloads View citations (68)
  2. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
    Review of Finance, 2006, 10, (3), 443-482 Downloads View citations (82)
    See also Working Paper (2006)
  3. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates
    The Journal of Business, 2006, 79, (3), 1193-1224 Downloads View citations (60)
    See also Working Paper (2005)

2005

  1. Empirical exchange rate models and currency risk: some evidence from density forecasts
    Journal of International Money and Finance, 2005, 24, (2), 363-385 Downloads View citations (23)
  2. Exchange rates and fundamentals: evidence on the economic value of predictability
    Journal of International Economics, 2005, 66, (2), 325-348 Downloads View citations (83)
    See also Working Paper (2004)
  3. Federal Funds Rate Prediction
    Journal of Money, Credit and Banking, 2005, 37, (3), 449-71 View citations (16)
    See also Working Paper (2004)
  4. Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers
    Journal of Applied Econometrics, 2005, 20, (3), 345-376 Downloads View citations (32)
    See also Working Paper (2002)

2004

  1. Comparing the accuracy of density forecasts from competing models
    Journal of Forecasting, 2004, 23, (8), 541-557 Downloads View citations (20)
    See also Working Paper (2002)
  2. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
    Economic Inquiry, 2004, 42, (2), 179-193 Downloads View citations (56)
    See also Working Paper (2003)
  3. Monetary Policy Rules, Asset Prices, and Exchange Rates
    IMF Staff Papers, 2004, 51, (3), 529-552 Downloads View citations (60)
    See also Working Paper (2004)

2003

  1. Monetary policy rules and regime shifts
    Applied Financial Economics, 2003, 13, (7), 525-535 Downloads View citations (42)
  2. 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 Downloads View citations (134)
    See also Working Paper (2002)

2002

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

2000

  1. 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 Downloads View citations (15)
 
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