Lucio Sarno

City University London - Sir John Cass Business School

Professor of Finance

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

Centre for Economic Policy Research (CEPR)

Fellow

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

60

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21,450

CITATIONS
Rank 823

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639

Scholarly Papers (60)

1.
Downloads 3,733 ( 1,954)
Citation 14

Currency Momentum Strategies

Number of pages: 86 Posted: 21 Apr 2011 Last Revised: 07 Nov 2011
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 3,255 (2,456)
Citation 14

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Momentum returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades

Currency Momentum Strategies

BIS Working Paper No. 366
Number of pages: 89 Posted: 13 Dec 2011
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 468 (50,340)
Citation 14

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Momentum Returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades

Currency Momentum Strategies

CEPR Discussion Paper No. DP8747
Number of pages: 90 Posted: 20 Jan 2012
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 10 (532,076)
Citation 14
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns

2.
Downloads 2,710 ( 3,470)
Citation 35

Carry Trades and Global Foreign Exchange Volatility

Journal of Finance, Forthcoming, EFA 2009 Bergen Meetings Paper
Number of pages: 93 Posted: 14 Feb 2009 Last Revised: 02 Mar 2011
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2,693 (3,433)
Citation 35

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F31, G12, G15

Carry Trades and Global Foreign Exchange Volatility

CEPR Discussion Paper No. DP8291
Number of pages: 95 Posted: 28 Mar 2011
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 17 (491,463)
Citation 35
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carry trade, forward premium puzzle, liquidity, volatility

Volatility Risk Premia and Exchange Rate Predictability

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71 Posted: 16 Mar 2013 Last Revised: 01 Jun 2015
Imperial College London, Imperial College London and City University London - Sir John Cass Business School
Downloads 1,562 (8,739)
Citation 1

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Exchange Rates, Volatility Risk Premium, Predictability, Minimum-Variance Currency Portfolio

Volatility Risk Premia and Exchange Rate Predictability

CEPR Discussion Paper No. DP9549
Number of pages: 80 Posted: 09 Jul 2013
Imperial College London, Imperial College London and City University London - Sir John Cass Business School
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Citation 1
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Exchange Rate, Hedgers, Order Flow, Predictability, Speculators, Volatility Risk Premium

4.
Downloads 1,542 ( 9,075)

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 792 (24,941)

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Currency value, macro fundamentals, real exchange rate, predictability

Currency Value

Number of pages: 58 Posted: 22 Jun 2013 Last Revised: 27 Jun 2015
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 750 (26,905)

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Currency value, macro fundamentals, real exchange rate, predictability

How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads

Number of pages: 34 Posted: 20 Aug 2009 Last Revised: 01 Dec 2011
University of California, Berkeley, National Bank of Serbia, International Monetary Fund (IMF) - Research Department and City University London - Sir John Cass Business School
Downloads 838 (23,001)
Citation 26

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How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads

NBER Working Paper No. w14904
Number of pages: 36 Posted: 20 Apr 2009 Last Revised: 23 Sep 2010
University of California, Berkeley, International Monetary Fund (IMF) - Research Department, National Bank of Serbia and City University London - Sir John Cass Business School
Downloads 230 (113,578)
Citation 26

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6.
Downloads 1,059 ( 16,478)

Currency Premia and Global Imbalances

Winner of the Kepos Capital Award for the Best Paper on Investments at the 2013 WFA Meeting, 28th Australasian Finance and Banking Conference
Number of pages: 72 Posted: 20 Jun 2013 Last Revised: 18 Oct 2017
Imperial College London, University of Melbourne and City University London - Sir John Cass Business School
Downloads 1,058 (16,196)

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Currency Risk Premium; Global Imbalances; Foreign Exchange Excess Returns; Carry Trade

Currency Premia and Global Imbalances

CEPR Discussion Paper No. DP11129
Number of pages: 73 Posted: 18 Apr 2016
Imperial College London, University of Melbourne and City University London - Sir John Cass Business School
Downloads 1 (591,172)
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carry trade, currency risk premium, foreign exchange excess returns, global imbalances

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Norges Bank Working Paper No. 2005/12, EFA 2006 Zurich Meetings
Number of pages: 40 Posted: 06 Mar 2006
Norges Bank, BI Norwegian Business School and City University London - Sir John Cass Business School
Downloads 815 (23,916)
Citation 30

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exchange rates, arbitrage, covered interest rate parity, foreign exchange microstructure

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

CEPR Discussion Paper No. DP6878
Number of pages: 36 Posted: 20 Aug 2008
Norges Bank, BI Norwegian Business School and City University London - Sir John Cass Business School
Downloads 6 (553,826)
Citation 30
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arbitrage, covered interest rate parity, exchange rates, foreign exchange microstructure

8.
Downloads 750 ( 27,340)
Citation 9

Properties of Foreign Exchange Risk Premiums

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 24 Aug 2009 Last Revised: 27 Apr 2016
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and Copenhagen Business School
Downloads 746 (27,113)
Citation 9

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term structure, exchange rates, forward bias, predictability

Properties of Foreign Exchange Risk Premiums

CEPR Discussion Paper No. DP8503
Number of pages: 89 Posted: 12 Aug 2011
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and Copenhagen Business School
Downloads 4 (564,398)
Citation 9
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exchange rates, forward bias, predictability, term structure

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

Number of pages: 48 Posted: 19 May 2011 Last Revised: 05 Apr 2013
Lucio Sarno and Maik Schmeling
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 606 (35,991)

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Exchange rates, economic fundamentals, forecasting, present value model

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

CEPR Discussion Paper No. DP9472
Number of pages: 47 Posted: 17 May 2013
Lucio Sarno and Maik Schmeling
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 8 (543,157)
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economic fundamentals, Exchange rates, forecasting, present value model

What Do Stock Markets Tell Us About Exchange Rates?

Number of pages: 75 Posted: 19 Jul 2014 Last Revised: 04 Jul 2015
Bank of England, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 531 (42,812)

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Empirical Asset Pricing, Exchange Rates, Uncovered Equity Parity, International Asset Allocation

What Do Stock Markets Tell Us About Exchange Rates?

Bank of England Working Paper No. 537
Number of pages: 55 Posted: 25 Jul 2015
Bank of England, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 67 (296,695)

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Empirical asset pricing, exchange rates, international asset allocation.

What Do Stock Markets Tell Us About Exchange Rates?

CEPR Discussion Paper No. DP10685
Number of pages: 76 Posted: 08 Jul 2015
Bank of England, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 1 (591,172)
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Empirical Asset Pricing, Exchange Rates, International Asset Allocation

11.

Exchange Rates and Sovereign Risk

Number of pages: 82 Posted: 15 Nov 2013 Last Revised: 16 Oct 2016
Imperial College London, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Copenhagen Business School
Downloads 537 (17,809)

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Exchange rates, currency risk premium, sovereign risk, CDS spreads

12.

Foreign Exchange Risk and the Predictability of Carry Trade Returns

Number of pages: 34 Posted: 03 May 2012 Last Revised: 05 Feb 2014
Gino Cenedese, Lucio Sarno and Ilias Tsiakas
Bank of England, City University London - Sir John Cass Business School and University of Guelph
Downloads 392 (42,694)

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Exchange Rates, Carry Trade, Market Variance, Average Variance, Average Correlation, Quantile Regression

13.

The Economic Value of Predicting Bond Risk Premia

Number of pages: 77 Posted: 15 Feb 2012 Last Revised: 27 Apr 2016
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and Copenhagen Business School
Downloads 351 (46,946)
Citation 2

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term structure of interest rates, expectations hypothesis, affine models, risk premia, statistical predictability, economic value

14.

Assessing the Benefits of International Portfolio Diversification in Bonds and Stocks

ECB Working Paper No. 883
Number of pages: 45 Posted: 01 Apr 2008
Roberto A. De Santis and Lucio Sarno
European Central Bank (ECB) - Directorate General Economics and City University London - Sir John Cass Business School
Downloads 345 (63,423)

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Asset pricing, exchange rates, international parity conditions, market integration, stochastic discount factor

The Scapegoat Theory of Exchange Rates: The First Tests

Number of pages: 59 Posted: 15 Jan 2012 Last Revised: 07 May 2014
DIW Berlin, BI Norwegian Business School, City University London - Sir John Cass Business School and Bank of Italy
Downloads 122 (199,897)
Citation 2

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scapegoat, exchange rates, economic fundamentals, survey data, order flow

The Scapegoat Theory of Exchange Rates: The First Tests

ECB Working Paper No. 1418
Number of pages: 50 Posted: 06 Feb 2012
DIW Berlin, City University London - Sir John Cass Business School and Bank of Italy
Downloads 78 (271,596)
Citation 2

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scapegoat, exchange rates, economic fundamentals, survey data, order flow

The Scapegoat Theory of Exchange Rates: The First Tests

Bank of Italy Temi di Discussione (Working Paper) No. 991
Number of pages: 68 Posted: 28 Feb 2015
DIW Berlin, BI Norwegian Business School, City University London - Sir John Cass Business School and Bank of Italy
Downloads 74 (280,312)
Citation 2

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scapegoat, exchange rates, economic fundamentals, survey data

The Scapegoat Theory of Exchange Rates: The First Tests

DIW Berlin Discussion Paper No. 1290
Number of pages: 58 Posted: 14 May 2013
DIW Berlin, City University London - Sir John Cass Business School and Bank of Italy
Downloads 36 (393,529)
Citation 2

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scapegoat, exchange rates, economic fundamentals, survey data

The Scapegoat Theory of Exchange Rates: The First Tests

CEPR Discussion Paper No. DP8812
Number of pages: 49 Posted: 01 Mar 2012
DIW Berlin, City University London - Sir John Cass Business School and Bank of Italy
Downloads 3 (570,538)
Citation 2
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economic fundamentals, exchange rates, order flow, scapegoat, survey data

16.

The Forward Bias Puzzle and Nonlinearity in Deviations from Uncovered Interest Parity: A New Perspective

EFA 2005 Moscow Meetings Paper
Number of pages: 39 Posted: 26 Feb 2005
Giorgio Valente, Lucio Sarno and Hyginus Leon
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), City University London - Sir John Cass Business School and International Monetary Fund (IMF)
Downloads 312 (78,936)
Citation 7

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Foreign exchange, uncovered interest parity, forward bias, nonlinearity

17.

The Market for Lemmings: The Herding Behavior of Pension Funds

Number of pages: 63 Posted: 21 Feb 2015 Last Revised: 06 Dec 2016
David P. Blake, Lucio Sarno and Gabriele Zinna
City University London - Cass Business School - The Pensions Institute, City University London - Sir John Cass Business School and Bank of Italy
Downloads 291 (51,573)

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Institutional investors; pension funds; herding; portfolio rebalancing.

18.
Downloads 234 (112,071)
Citation 21

Asset Prices, Exchange Rates and the Current Account

ECB Working Paper No. 790
Number of pages: 48 Posted: 10 Aug 2007
DIW Berlin, City University London - Sir John Cass Business School and University of Warwick - Department of Economics
Downloads 183 (141,717)
Citation 21

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current account, global imbalances, exchange rates, Bayesian VAR, sign restrictions

Asset Prices, Exchange Rates and the Current Account

FRB of St. Louis Working Paper No. 2008-031B
Number of pages: 36 Posted: 27 Aug 2008 Last Revised: 20 May 2009
DIW Berlin, University of Warwick - Department of Economics and City University London - Sir John Cass Business School
Downloads 48 (350,475)
Citation 21

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current account, global imbalances, exchange rates, Bayesian VAR, sign restrictions

Asset Prices, Exchange Rates and the Current Account

CEPR Discussion Paper No. DP7614
Number of pages: 36 Posted: 11 Jan 2010
DIW Berlin, Federal Reserve Bank of Saint Louis and City University London - Sir John Cass Business School
Downloads 3 (570,538)
Citation 21
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Bayesian VAR, current account, exchange rates, global imbalances

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

BIS Working Paper No. 405
Number of pages: 89 Posted: 12 Apr 2013
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 185 (140,288)
Citation 2

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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 20 May 2012 Last Revised: 17 Mar 2016
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 36 (393,529)
Citation 2

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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

FRB of St. Louis Working Paper No. 2006-061B
Number of pages: 42 Posted: 06 Dec 2006
Imperial College London, City University London - Sir John Cass Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 206 (126,683)

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Expectation Hypothesis, Term Structure of Interest Rates, Vector Autoregression, Economic Value

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

CEPR Discussion Paper No. DP6445
Number of pages: 39 Posted: 30 May 2008
Imperial College London, City University London - Sir John Cass Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 3 (570,538)
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economic value, expectation hypothesis, term structure of interest rates, vector autoregression

21.

Limits to Speculation and Nonlinearity in Deviations from Uncovered Interest Parity: Empirical Evidence and Implications for the Forward Bias Puzzle

EFMA 2004 Basel Meetings Paper
Number of pages: 41 Posted: 06 May 2004
Lucio Sarno, Giorgio Valente and Hyginus Leon
City University London - Sir John Cass Business School, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and International Monetary Fund (IMF)
Downloads 206 (120,235)

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foreign exchange, uncovered interest parity, forward bias, nonlinearity

When is Foreign Exchange Intervention Effective? Evidence from 33 Countries

Number of pages: 62 Posted: 05 Nov 2015 Last Revised: 12 Jul 2016
DIW Berlin, Leibniz Universität Hannover, German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School and Kiel Institute for the World Economy
Downloads 105 (223,502)

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foreign exchange intervention, exchange rate regimes, effectiveness measures, communication, capital controls

When is Foreign Exchange Intervention Effective? Evidence from 33 Countries

DIW Berlin Discussion Paper No. 1518
Number of pages: 71 Posted: 19 Nov 2015 Last Revised: 25 Apr 2017
DIW Berlin, Leibniz Universität Hannover, German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School and Kiel Institute for the World Economy
Downloads 88 (251,999)

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Foreign exchange intervention, exchange rate regimes, effectiveness measures, communication, capital controls

Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle

IMF Working Paper No. 06/136
Number of pages: 44 Posted: 21 Jun 2006
Lucio Sarno, Giorgio Valente and Hyginus Leon
City University London - Sir John Cass Business School, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and International Monetary Fund (IMF)
Downloads 169 (152,264)
Citation 25

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Forward bias puzzle, uncovered interest parity, nonlinearity

Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle

CEPR Discussion Paper No. 5527
Number of pages: 49 Posted: 15 Jun 2006
Lucio Sarno, Hyginus Leon and Giorgio Valente
City University London - Sir John Cass Business School, International Monetary Fund (IMF) and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 19 (479,825)
Citation 25
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Foreign exchange, uncovered interest parity, forward bias, nonlinearity

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much is it Worth?

Review of Economics and Statistics, Forthcoming
Number of pages: 54 Posted: 07 Oct 2010 Last Revised: 19 Jan 2016
Imperial College London, City University London - Sir John Cass Business School and Banque de France
Downloads 126 (194,884)

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foreign exchange, predictability, global imbalances, fundamentals

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much is it Worth?

Review of Economics and Statistics, Forthcoming, Banque de France Working Paper No. 313
Number of pages: 41 Posted: 12 Jan 2011
Imperial College London, City University London - Sir John Cass Business School and Banque de France
Downloads 48 (350,475)

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foreign exchange, predictability, global imbalances, fundamentals

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much is it Worth?

CEPR Discussion Paper No. DP8045
Number of pages: 56 Posted: 22 Nov 2010
Imperial College London, City University London - Sir John Cass Business School and affiliation not provided to SSRN
Downloads 4 (564,398)
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foreign exchange, fundamentals, global imbalances, predictability

25.

Nonlinear Exchange Rate Models: A Selective Overview

IMF Working Paper No. 03/111
Number of pages: 39 Posted: 29 Jan 2006
Lucio Sarno
City University London - Sir John Cass Business School
Downloads 167 (146,839)
Citation 3

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exchange rate, purchasing power parity, forecasting nonlinearity

26.

Timing Exchange Rates Using Order Flow: The Case of the Loonie

Journal of Banking and Finance, Forthcoming
Number of pages: 36 Posted: 10 Mar 2010
Michael R. King, Lucio Sarno and Elvira Sojli
Ivey Business School, City University London - Sir John Cass Business School and UNSW Business School, School of Banking and Finance
Downloads 112 (188,386)
Citation 2

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Order flow, Canadian dollar, Future commodity

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

NBER Working Paper No. w8601
Number of pages: 39 Posted: 17 Nov 2001
Columbia University - Graduate School of Arts and Sciences - Department of Eco, City University London - Sir John Cass Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 73 (282,600)
Citation 57

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The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

CEPR Discussion Paper No. 3281
Number of pages: 40 Posted: 23 Apr 2002
Columbia University - Graduate School of Arts and Sciences - Department of Eco, City University London - Sir John Cass Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 37 (389,458)
Citation 57
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Foreign exchange, term structure, forecasting, non-linearity, Markov switching

28.

Global Liquidity Risk in the Foreign Exchange Market

Number of pages: 50 Posted: 04 Nov 2011
Chiara Banti, Kate Phylaktis and Lucio Sarno
University of Essex, Cass Business School, City University, London and City University London - Sir John Cass Business School
Downloads 99 (206,787)
Citation 4

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foreign exchange, liquidity, order flow, microstructure

29.

Monetary Policy and Learning in an Open Economy

Bank of Finland Discussion Paper No. 3/2004
Number of pages: 27 Posted: 19 Feb 2004
Martin Ellison, Lucio Sarno and Jouko Vilmunen
University of Oxford, City University London - Sir John Cass Business School and Bank of Finland, Research Unit
Downloads 80 (253,637)
Citation 1

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activism, learning, monetary policy, open economy

30.

Purchasing Power Parity and the Real Exchange Rate

CEPR Discussion Paper No. 2913
Number of pages: 40 Posted: 22 Aug 2001
Mark P. Taylor and Lucio Sarno
Washington University in St. Louis - John M. Olin Business School and City University London - Sir John Cass Business School
Downloads 80 (265,167)
Citation 48
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Foreign exchange, purchasing power parity, real exchange rate

31.

Official Intervention in the Foreign Exchange Market: Is it Effective, and, If so, How Does it Work?

CEPR Discussion Paper No. 2690
Number of pages: 43 Posted: 28 Feb 2001
Mark P. Taylor and Lucio Sarno
Washington University in St. Louis - John M. Olin Business School and City University London - Sir John Cass Business School
Downloads 55 (323,842)
Citation 122
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Non-Linear Dynamics, Purchasing Power Parity, Real Exchange Rate, Test Power, Unit Root Test

32.

The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates

CEPR Discussion Paper No. 4835
Number of pages: 45 Posted: 26 Apr 2005
Columbia University - Graduate School of Arts and Sciences - Department of Eco, City University London - Sir John Cass Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 42 (363,679)
Citation 18
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Term structure of interest rates, markov switching, forecasting

33.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Banque de France, BI Norwegian Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 35 (98,840)

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Exchange rates, risk premium, order flow

34.

The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields

CEPR Discussion Paper No. 5259
Number of pages: 34 Posted: 02 Nov 2005
City University London - Sir John Cass Business School, Federal Reserve Bank of St. Louis - Research Division and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 29 (413,363)
Citation 19
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Expectations hypothesis, term structure of interest rates, vector autoregression

35.

What Drives International Portfolio Flows?

Number of pages: 32 Posted: 01 Apr 2015
Lucio Sarno, Ilias Tsiakas and Barbara Ulloa
City University London - Sir John Cass Business School, University of Guelph and Central Bank of Chile
Downloads 27 (356,943)

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International Portfolio Flows, Dynamic Factor Model, Push and Pull Factors.

36.
Downloads 27 (422,494)
Citation 12

Monetary Policy Rules, Asset Prices and Exchange Rates

CEPR Discussion Paper No. 4114
Number of pages: 36 Posted: 06 Jan 2004
University of St. Andrews - School of Management, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 27 (434,236)
Citation 12
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Interest rate rules, asset prices, exchange rates, monetary policy

Monetary Policy Rules, Asset Prices and Exchange Rates

Centre for Dynamic Macroeconomic Analysis Working Paper Series No. 0403
Posted: 09 May 2005
University of St. Andrews - School of Management, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)

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Asset Prices, exchange rates, interest rate rules, monetary policy.

37.

The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index

Economic Notes, Vol. 32, pp. 295-333, November 2003
Number of pages: 39 Posted: 13 Nov 2003
Ibrahim Chowdhury and Lucio Sarno
University of Oxford and City University London - Sir John Cass Business School
Downloads 27 (422,494)
Citation 4
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38.

Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study

CEPR Discussion Paper No. 3377
Number of pages: 41 Posted: 21 Jun 2002
City University London - Sir John Cass Business School, Washington University in St. Louis - John M. Olin Business School and University of Oxford
Downloads 27 (422,494)
Citation 17
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Law of one price, purchasing power parity, real exchange rate, threshold non-linearity, mean reversion

39.

Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers

Journal of Business Finance & Accounting, Vol. 31, No. 5-6, pp. 759-793, June 2004
Number of pages: 35 Posted: 12 Jul 2004
Ibrahim Chowdhury and Lucio Sarno
University of Oxford and City University London - Sir John Cass Business School
Downloads 26 (427,346)
Citation 4
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40.

Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability

CEPR Discussion Paper No. 4365
Number of pages: 48 Posted: 26 May 2004
Abhay Abhyankar, Lucio Sarno and Giorgio Valente
University of Exeter Business School, University of Exeter, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 26 (427,346)
Citation 21
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Foreign exchange, monetary fundamentals, forecasting, parameter uncertainty, optimal portfolio

41.

A Cross-Country Financial Accelerator: Evidence from North America and Europe

CEPR Discussion Paper No. 5037
Number of pages: 29 Posted: 13 Sep 2005
Ashoka Mody, Lucio Sarno and Mark P. Taylor
International Monetary Fund (IMF) - Research Department, City University London - Sir John Cass Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 25 (432,240)
Citation 3
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Financial accelerator, credit cycle, international business cycles, Kalman filter

42.

Viewpoint: Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?

Canadian Journal of Economics, Vol. 38, No. 3, pp. 673-708, August 2005
Number of pages: 36 Posted: 07 Aug 2005
Lucio Sarno
City University London - Sir John Cass Business School
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Citation 44
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43.

Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes

CEPR Discussion Paper No. 3983
Number of pages: 39 Posted: 10 Sep 2003
Lucio Sarno, Giorgio Valente and Mark E. Wohar
City University London - Sir John Cass Business School, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and University of Nebraska at Omaha
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Citation 6
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Foreign exchange, monetary fundamentals, non-linearity, regime switching

44.

Non-Linear Equilibrium Correction in Us Real Money Balances, 1869-1997

CEPR Discussion Paper No. 3249
Number of pages: 31 Posted: 09 Apr 2002
David A. Peel, Lucio Sarno and Mark P. Taylor
Lancaster University - Management School, City University London - Sir John Cass Business School and Washington University in St. Louis - John M. Olin Business School
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Citation 2
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Demand for money, adjustment costs, equilibrium correction, non-linear dynamics

45.

The Dynamic Relationship between the Federal Funds Rate and the Treasury Bill Rate: An Empirical Investigation

CEPR Discussion Paper No. 3225
Number of pages: 37 Posted: 14 Mar 2002
Daniel L. Thornton and Lucio Sarno
Federal Reserve Bank of St. Louis - Research Division and City University London - Sir John Cass Business School
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Citation 18
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Interest rates, term structure, equilibrium correction, non-linear dynamics

46.

Federal Funds Rate Prediction

CEPR Discussion Paper No. 4587
Number of pages: 35 Posted: 21 Oct 2004
City University London - Sir John Cass Business School, Federal Reserve Bank of St. Louis - Research Division and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
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Citation 9
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Federal fund rate, forecasting, term structure, nonlinearity

47.

Asset Prices and International Spillovers: An Empirical Investigation

CEPR Discussion Paper No. 4380
Number of pages: 38 Posted: 21 May 2004
Giorgio Valente and Lucio Sarno
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and City University London - Sir John Cass Business School
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Asset prices, international spillovers, forecasting, non-linearity

48.

Caution or Activism? Monetary Policy Strategies in an Open Economy

CEPR Discussion Paper No. 4766
Number of pages: 31 Posted: 15 Feb 2005
Martin Ellison, Lucio Sarno and Jouko Vilmunen
University of Oxford, City University London - Sir John Cass Business School and Bank of Finland, Research Unit
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Citation 2
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Monetary policy, open economy, learning

49.

Short- and Long-Run Price Level Uncertainty Under Different Monetary Policy Regimes: An International Comparison

Oxford Bulletin of Economics and Statistics, Vol. 64, pp. 183-212, 2002
Number of pages: 30 Posted: 25 Feb 2003
Jagjit S. Chadha and Lucio Sarno
University of St. Andrews - School of Management and City University London - Sir John Cass Business School
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Citation 2
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50.

What's Unique about the Federal Funds Rate? Evidence from a Spectral Perspective

Oxford Bulletin of Economics and Statistics, Vol. 69, No. 2, pp. 293-319, April 2007
Number of pages: 27 Posted: 11 Apr 2007
Lucio Sarno, Daniel L. Thornton and Yi Wen
City University London - Sir John Cass Business School, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Bank of St. Louis - Research Department
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Citation 2
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51.

Exchange Rate Forecasting, Order Flow and Macroeconomic Information

CEPR Discussion Paper No. DP7225
Number of pages: 51 Posted: 07 Apr 2009
Dagfinn Rime, Lucio Sarno and Elvira Sojli
BI Norwegian Business School, City University London - Sir John Cass Business School and UNSW Business School, School of Banking and Finance
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Citation 25
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exchange rates, forecasting, macroeconomic news, microstructure, order flow

An Economic Evaluation of Empirical Exchange Rate Models

CEPR Discussion Paper No. DP6598
Number of pages: 43 Posted: 06 Jun 2008
Imperial College London, City University London - Sir John Cass Business School and University of Guelph
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Citation 1
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Bayesian MCMC Estimation, Bayesian Model Averaging, Economic Value, Exchange Rates, Forward Premium, Monetary Fundamentals, Volatility

An Economic Evaluation of Empirical Exchange Rate Models

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3491-3530, 2009
Posted: 08 Sep 2009
Imperial College London, City University London - Sir John Cass Business School and University of Guelph

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F31, F37, G11

53.

Exchange Rates and Fundamentals: Footloose or Evolving Relationship?

CEPR Discussion Paper No. DP6638
Number of pages: 43 Posted: 05 Jun 2008
Lucio Sarno and Giorgio Valente
City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
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Citation 18
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Economic fundamentals, exchange rates, forecasting

Spot and Forward Volatility in Foreign Exchange

CEPR Discussion Paper No. DP7893
Number of pages: 42 Posted: 19 Jul 2010
Imperial College London, City University London - Sir John Cass Business School and University of Guelph
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Citation 1
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Foreign Exchange, Forward Volatility Agreement, Implied Volatility, Unbiasedness, Volatility Speculation

Spot and Forward Volatility in Foreign Exchange

EFA 2009 Bergen Meetings Paper
Posted: 16 Feb 2009 Last Revised: 02 May 2012
Imperial College London, City University London - Sir John Cass Business School and University of Guelph

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Implied Volatility, Foreign Exchange, Forward Volatility Agreement, Unbiasedness, Volatility Speculation

55.

The Value of Volume in Foreign Exchange

Number of pages: 66 Posted: 23 Aug 2017 Last Revised: 30 Sep 2017
University of Melbourne - Department of Finance, University of Melbourne and City University London - Sir John Cass Business School
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foreign exchange volume, currency returns, information asymmetry, transaction costs

56.

Risky Bank Guarantees

Number of pages: 75 Posted: 02 Mar 2017 Last Revised: 15 Nov 2017
Taneli Mäkinen, Lucio Sarno and Gabriele Zinna
Bank of Italy, City University London - Sir John Cass Business School and Bank of Italy
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Banks, sovereign risk, risk premium, government guarantee

57.

Business Cycles and the Cross-Section of Currency Returns

Number of pages: 63 Posted: 31 Jan 2017 Last Revised: 18 Oct 2017
Steven J. Riddiough and Lucio Sarno
University of Melbourne and City University London - Sir John Cass Business School
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exchange rates, currency risk premium, business cycle risk

58.

Currency Value

CEPR Discussion Paper No. DP11324
Number of pages: 56 Posted: 13 Jun 2016
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
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Currency value, macro fundamentals, predictability, real exchange rate

59.

Private Consumption Behaviour, Liquidity Constraints and Financial Deregulation in France: A Nonlinear Analysis

Empirical Economics, Vol. 25, No. 2, 2000
Posted: 11 Sep 2000
Eric Girardin, Lucio Sarno and Mark P. Taylor
University Aix-Marseille 2 - GREQAM, City University London - Sir John Cass Business School and Washington University in St. Louis - John M. Olin Business School

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consumption, credit, liquidity constraints, Euler equation, financial liberalization, nonlinearity

60.

Stochastic Growth: Empirical Evidence from the G7 Countries

Journal of Macroeconomics, Vol. 21, No. 4, Fall 1999
Posted: 20 Jul 1999
Lucio Sarno
City University London - Sir John Cass Business School

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