Lucio Sarno

University of Cambridge - Judge Business School

Trumpington Street

Cambridge, CB2 1AG

United Kingdom

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

SCHOLARLY PAPERS

67

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Scholarly Papers (67)

1.
Downloads 15,658 ( 459)
Citation 6

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 15 May 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, EMLV Business School Paris, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Columbia University, Singapore Management University - Lee Kong Chian School of Business, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - Buffalo, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
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Citation 7

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nonstandard errors, multi-analyst study, liquidity

2.
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Citation 157

Currency Momentum Strategies

Number of pages: 86 Posted: 21 Apr 2011 Last Revised: 07 Nov 2011
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
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Citation 5

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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
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
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Citation 10

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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
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
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Citation 96
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns

3.
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Citation 269

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
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 3,585 (6,027)
Citation 11

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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
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
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Citation 50
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carry trade, forward premium puzzle, liquidity, volatility

4.
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Citation 9

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2,041 (14,737)
Citation 8

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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
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
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Citation 5

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Currency value, macro fundamentals, real exchange rate, predictability

5.
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Citation 62

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 Business School, Imperial College London and University of Cambridge - Judge Business School
Downloads 2,555 (10,293)
Citation 17

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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 Business School, Imperial College London and University of Cambridge - Judge Business School
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Citation 32
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Exchange Rate, Hedgers, Order Flow, Predictability, Speculators, Volatility Risk Premium

6.
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Citation 33

Foreign Exchange Volume

Number of pages: 86 Posted: 23 Aug 2017 Last Revised: 04 Jun 2021
Bayes Business SchoolBayes Business School, University of Houston - C.T. Bauer College of Business, University of Toronto and University of Cambridge - Judge Business School
Downloads 2,274 (12,414)
Citation 3

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foreign exchange volume, currency returns, asymmetric information

Foreign Exchange Volume

CEPR Discussion Paper No. DP16128
Number of pages: 90 Posted: 14 May 2021
Bayes Business SchoolBayes Business School, University of Houston - C.T. Bauer College of Business, University of Toronto and University of Cambridge - Judge Business School
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Citation 23
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7.
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Citation 14

Exchange Rates and Sovereign Risk

Number of pages: 121 Posted: 15 Nov 2013 Last Revised: 20 Apr 2021
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 2,236 (12,752)
Citation 7

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

Exchange Rates and Sovereign Risk

CEPR Discussion Paper No. DP16058
Number of pages: 125 Posted: 14 May 2021
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
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Citation 9
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8.
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Citation 77

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 Business School, University of Toronto and University of Cambridge - Judge Business School
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Citation 10

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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 Business School, University of Toronto and University of Cambridge - Judge Business School
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Citation 29
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carry trade, currency risk premium, foreign exchange excess returns, global imbalances

9.
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Citation 31

Business Cycles and Currency Returns

Number of pages: 74 Posted: 31 Jan 2017 Last Revised: 13 Sep 2019
Ric Colacito, Steven Riddiough and Lucio Sarno
University of North Carolina Kenan-Flagler Business School, University of Toronto and University of Cambridge - Judge Business School
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Citation 10

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exchange rates; currency risk premium; business cycles; long-run risk.

Business Cycles and Currency Returns

NBER Working Paper No. w26299
Number of pages: 75 Posted: 23 Sep 2019 Last Revised: 12 May 2023
Ric Colacito, Steven Riddiough and Lucio Sarno
University of North Carolina Kenan-Flagler Business School, University of Toronto and University of Cambridge - Judge Business School
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Business Cycles and Currency Returns

CEPR Discussion Paper No. DP14015
Number of pages: 77 Posted: 07 Oct 2019
Ric Colacito, Lucio Sarno and Steven Riddiough
University of North Carolina Kenan-Flagler Business School, University of Cambridge - Judge Business School and University of Toronto
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Citation 33
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business cycles, currency risk premium, Exchange Rates, Long-run risk

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, FEFA - Faculty of Economics, Finance and Administration, International Monetary Fund (IMF) - Research Department and University of Cambridge - Judge Business School
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Citation 31

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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 2022
University of California, Berkeley, International Monetary Fund (IMF) - Research Department, FEFA - Faculty of Economics, Finance and Administration and University of Cambridge - Judge Business School
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Citation 14

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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 University of Cambridge - Judge Business School
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Citation 8

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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 University of Cambridge - Judge Business School
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Citation 30
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arbitrage, covered interest rate parity, exchange rates, foreign exchange microstructure

12.

Skewness Risk Premia and the Cross-Section of Currency Returns

Number of pages: 104 Posted: 12 Oct 2023 Last Revised: 22 Dec 2023
Junye Li, Lucio Sarno and Gabriele Zinna
Fudan University - School of Management, University of Cambridge - Judge Business School and Bank of Italy
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Currency risk premia, asset pricing, skewness risk, crash risk, stochastic discount factor.

13.
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Citation 18

What Do Stock Markets Tell Us About Exchange Rates?

Number of pages: 75 Posted: 19 Jul 2014 Last Revised: 04 Jul 2015
Fulcrum Asset Management, City University London - The Business School, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
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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
Fulcrum Asset Management, City University London - The Business School, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
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Citation 8

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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
Fulcrum Asset Management, City University London - The Business School, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
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Citation 3
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Empirical Asset Pricing, Exchange Rates, International Asset Allocation

14.
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Citation 47

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
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 920 (48,176)

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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
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
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Citation 4
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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
University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
Downloads 795 (58,865)
Citation 1

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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
University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
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Citation 12
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economic fundamentals, Exchange rates, forecasting, present value model

16.

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
Fulcrum Asset Management, University of Cambridge - Judge Business School and University of Guelph
Downloads 795 (59,731)
Citation 16

Abstract:

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

17.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Banque de FranceMassachusetts Institute of Technology (MIT) - Sloan School of Management, BI Norwegian Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 720 (68,029)
Citation 1

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Exchange rates, risk premium, order flow

18.

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
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 714 (68,763)
Citation 29

Abstract:

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

19.

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 of London, University of Cambridge - Judge Business School and Bank of Italy
Downloads 655 (76,813)
Citation 14

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Institutional investors; pension funds; herding; portfolio rebalancing.

20.

Factor Models with Downside Risk

Number of pages: 128 Posted: 11 Oct 2021 Last Revised: 28 Dec 2023
King's College London, University of Cambridge - Judge Business School and University of Leicester - School of Business
Downloads 601 (85,496)
Citation 2

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factor models, downside risk, risk premium, conditional asset pricing

21.

Systematic Intervention and Currency Risk Premia

Number of pages: 70 Posted: 13 Feb 2018 Last Revised: 08 Jan 2021
DIW Berlin, Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Kiel Institute for the World Economy
Downloads 564 (92,615)
Citation 4

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Foreign exchange intervention, Currency risk, Carry, Momentum, Value

22.

Currency Risk Premiums Redux

Number of pages: 146 Posted: 12 Mar 2021 Last Revised: 04 May 2023
Federico Nucera, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
Downloads 541 (97,596)
Citation 12

Abstract:

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Currency risk premia, asset pricing, omitted factors, measurement error

23.

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 University of Cambridge - Judge Business School
Downloads 530 (100,133)
Citation 5

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

When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries

DIW Berlin Discussion Paper No. 1518
Number of pages: 67 Posted: 19 Nov 2015 Last Revised: 19 Dec 2017
DIW Berlin, Leibniz Universität Hannover, Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School and Kiel Institute for the World Economy
Downloads 309 (183,624)
Citation 5

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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

Number of pages: 62 Posted: 05 Nov 2015 Last Revised: 12 Jul 2016
DIW Berlin, Leibniz Universität Hannover, Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School and Kiel Institute for the World Economy
Downloads 194 (290,488)
Citation 7

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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

CEPR Discussion Paper No. DP12510
Number of pages: 68 Posted: 19 Dec 2017
DIW Berlin, Leibniz Universität Hannover, Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School and Kiel Institute for the World Economy
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Citation 43
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Foreign exchange intervention; exchange rate regimes; effectiveness measures; communication.

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

BIS Working Paper No. 405
Number of pages: 89 Posted: 12 Apr 2013
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 301 (188,925)
Citation 40

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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
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 192 (293,224)
Citation 3

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

26.
Downloads 490 (110,146)
Citation 177

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, University of Cambridge - Judge Business School and Bank of Italy
Downloads 186 (301,783)
Citation 6

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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, University of Cambridge - Judge Business School and Bank of Italy
Downloads 118 (439,925)
Citation 21

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scapegoat, exchange rates, economic fundamentals, survey data

The Scapegoat Theory of Exchange Rates: The First Tests

ECB Working Paper No. 1418
Number of pages: 50 Posted: 06 Feb 2012
DIW Berlin, University of Cambridge - Judge Business School and Bank of Italy
Downloads 115 (448,609)

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

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, University of Cambridge - Judge Business School and Bank of Italy
Downloads 68 (630,969)

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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, University of Cambridge - Judge Business School and Bank of Italy
Downloads 3 (1,175,292)
Citation 15
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economic fundamentals, exchange rates, order flow, scapegoat, survey data

27.

US Interest Rate Surprises and Currency Returns

Number of pages: 64 Posted: 28 Sep 2023 Last Revised: 18 Jan 2024
London Business School - Department of Economics, Fulcrum Asset Management, Fulcrum Asset Management and University of Cambridge - Judge Business School
Downloads 389 (144,571)

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Foreign exchange, monetary policy shocks, central bank information shocks, interest rate differentials, carry

28.

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

Number of pages: 39 Posted: 26 Feb 2005
Giorgio Valente, Lucio Sarno and Hyginus Leon
Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Cambridge - Judge Business School and International Monetary Fund (IMF)
Downloads 373 (151,028)
Citation 3

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Foreign exchange, uncovered interest parity, forward bias, nonlinearity

Foreign exchange intervention: A new database

Number of pages: 74 Posted: 15 Sep 2022
German Institute for Economic Research (DIW Berlin), Kiel Institute for the World Economy, Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
Downloads 200 (282,518)

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Foreign exchange intervention, capital controls, macroprudential regulation, international capital flows, data

30.
Downloads 309 (184,860)
Citation 27

Asset Prices, Exchange Rates and the Current Account

ECB Working Paper No. 790
Number of pages: 48 Posted: 10 Aug 2007
DIW Berlin, University of Cambridge - Judge Business School and University of Warwick - Department of Economics
Downloads 224 (254,178)
Citation 2

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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 University of Cambridge - Judge Business School
Downloads 82 (565,650)
Citation 2

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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 University of Cambridge - Judge Business School
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Citation 6
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Bayesian VAR, current account, exchange rates, global imbalances

31.
Downloads 297 (193,545)
Citation 85

Risky Bank Guarantees

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 100 Posted: 02 Mar 2017 Last Revised: 01 May 2019
Taneli Mäkinen, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
Downloads 248 (231,106)

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Banks, sovereign risk, risk premium, government guarantee

Risky Bank Guarantees

Bank of Italy Temi di Discussione (Working Paper) No. 1232, July 2019
Number of pages: 111 Posted: 10 Aug 2019
Taneli Mäkinen, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
Downloads 49 (743,019)
Citation 11

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banks, sovereign risk, risk premium, government guarantee

Risky Bank Guarantees

CEPR Discussion Paper No. DP13709
Number of pages: 103 Posted: 07 May 2019
Taneli Mäkinen, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
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banks, government guarantee, Risk premium, sovereign risk

32.

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

Number of pages: 41 Posted: 06 May 2004
Lucio Sarno, Giorgio Valente and Hyginus Leon
University of Cambridge - Judge Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR) and International Monetary Fund (IMF)
Downloads 283 (202,654)

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foreign exchange, uncovered interest parity, forward bias, nonlinearity

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
University of Cambridge - Judge Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR) and International Monetary Fund (IMF)
Downloads 257 (223,014)

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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
University of Cambridge - Judge Business School, International Monetary Fund (IMF) and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 19 (1,005,432)
Citation 3
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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 Business School, University of Cambridge - Judge Business School and Banque de France
Downloads 172 (323,724)

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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 Business School, University of Cambridge - Judge Business School and Banque de France
Downloads 89 (537,058)

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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 Business School, University of Cambridge - Judge Business School and Banque de France
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Citation 2
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foreign exchange, fundamentals, global imbalances, predictability

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 Business School, University of Cambridge - Judge Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 255 (223,945)
Citation 2

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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 Business School, University of Cambridge - Judge Business School and Federal Reserve Bank of St. Louis - Research Division
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Citation 9
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economic value, expectation hypothesis, term structure of interest rates, vector autoregression

36.

Nonlinear Exchange Rate Models: A Selective Overview

IMF Working Paper No. 03/111
Number of pages: 39 Posted: 29 Jan 2006
Lucio Sarno
University of Cambridge - Judge Business School
Downloads 234 (244,744)
Citation 1

Abstract:

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exchange rate, purchasing power parity, forecasting nonlinearity

37.

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
Gustavson School Of Business, University of Cambridge - Judge Business School and University of New South Wales (UNSW)
Downloads 206 (275,881)
Citation 2

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Order flow, Canadian dollar, Future commodity

38.

The Trade Imbalance Network and Currency Returns

Number of pages: 77 Posted: 09 Aug 2023 Last Revised: 19 Apr 2024
Ai Jun Hou, Lucio Sarno and Xiaoxia Ye
Stockholm University, University of Cambridge - Judge Business School and University of Exeter Business School - Department of Finance
Downloads 204 (278,312)

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Trade imbalance network, Currency premia, Carry trade, Network centrality

39.

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, City University London - The Business School and University of Cambridge - Judge Business School
Downloads 195 (289,822)
Citation 18

Abstract:

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foreign exchange, liquidity, order flow, microstructure

40.

Risks and Risk Premia in the US Treasury Market

Number of pages: 110 Posted: 13 Jul 2020 Last Revised: 09 Jan 2023
Junye Li, Lucio Sarno and Gabriele Zinna
Fudan University - School of Management, University of Cambridge - Judge Business School and Bank of Italy
Downloads 180 (311,303)

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treasury market, risk-return trade-off, term structure models, bond risk premium, macro risk

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 Last Revised: 02 Jan 2022
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 141 (382,773)
Citation 8

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

Number of pages: 40 Posted: 23 Apr 2002
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 37 (832,785)
Citation 4
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Foreign exchange, term structure, forecasting, non-linearity, Markov switching

42.

The cost of foreign-currency lending

Journal of Banking and Finance, Forthcoming
Number of pages: 80 Posted: 09 Aug 2018 Last Revised: 24 Jan 2022
Audencia Business School, The University of Sydney and University of Cambridge - Judge Business School
Downloads 174 (320,802)

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Global Syndicated Loans, Foreign Currency Lending, Exchange Rate Risk, Bank Market Power, Relationship Lending

43.

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, University of Cambridge - Judge Business School and Bank of Finland, Research Unit
Downloads 116 (443,589)
Citation 1

Abstract:

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activism, learning, monetary policy, open economy

44.

What Drives International Portfolio Flows?

Number of pages: 32 Posted: 01 Apr 2015
Lucio Sarno, Ilias Tsiakas and Barbara Ulloa
University of Cambridge - Judge Business School, University of Guelph and Central Bank of Chile
Downloads 100 (493,572)
Citation 25

Abstract:

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

45.

Risks and Risk Premia in the Us Treasury Market 1

Number of pages: 110 Posted: 16 Jan 2023
Lucio Sarno, Junye Li and Gabriele Zinna
University of Cambridge - Judge Business School, Fudan University - School of Management and Bank of Italy
Downloads 95 (510,452)

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Treasury market, risk-return trade-off, term structure models, bond risk premium, macro risk. JEL Classification: C58, E43, G12

46.

Purchasing Power Parity and the Real Exchange Rate

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 University of Cambridge - Judge Business School
Downloads 80 (567,538)
Citation 5
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Foreign exchange, purchasing power parity, real exchange rate

47.

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

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 University of Cambridge - Judge Business School
Downloads 55 (689,740)
Citation 22
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Non-Linear Dynamics, Purchasing Power Parity, Real Exchange Rate, Test Power, Unit Root Test

48.

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

Number of pages: 45 Posted: 26 Apr 2005
Columbia University - Graduate School of Arts and Sciences - Department of Eco, University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 42 (773,691)
Citation 4
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Term structure of interest rates, markov switching, forecasting

49.

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
University of Cambridge - Judge Business School, Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 29 (877,101)
Citation 5
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Expectations hypothesis, term structure of interest rates, vector autoregression

Monetary Policy Rules, Asset Prices and Exchange Rates

Number of pages: 36 Posted: 06 Jan 2004
University of St. Andrews - School of Management, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 27 (922,235)
Citation 1
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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, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)

Abstract:

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

51.

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

Number of pages: 41 Posted: 21 Jun 2002
University of Cambridge - Judge Business School, Washington University in St. Louis - John M. Olin Business School and University of Oxford
Downloads 27 (895,227)
Citation 3
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Law of one price, purchasing power parity, real exchange rate, threshold non-linearity, mean reversion

52.

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

Number of pages: 48 Posted: 26 May 2004
Abhay Abhyankar, Lucio Sarno and Giorgio Valente
MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona, University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 26 (904,478)
Citation 8
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Foreign exchange, monetary fundamentals, forecasting, parameter uncertainty, optimal portfolio

53.

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, University of Cambridge - Judge Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 25 (913,694)
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Abstract:

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Financial accelerator, credit cycle, international business cycles, Kalman filter

54.

Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes

Number of pages: 39 Posted: 10 Sep 2003
Lucio Sarno, Giorgio Valente and Mark E. Wohar
University of Cambridge - Judge Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR) and University of Nebraska at Omaha
Downloads 24 (923,207)
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Foreign exchange, monetary fundamentals, non-linearity, regime switching

55.

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

Number of pages: 31 Posted: 09 Apr 2002
David A. Peel, Lucio Sarno and Mark P. Taylor
Lancaster University - Lancaster University Management School, University of Cambridge - Judge Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 19 (973,527)
Citation 4
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Demand for money, adjustment costs, equilibrium correction, non-linear dynamics

56.

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

Number of pages: 37 Posted: 14 Mar 2002
Daniel L. Thornton and Lucio Sarno
Federal Reserve Bank of St. Louis - Research Division and University of Cambridge - Judge Business School
Downloads 18 (983,961)
Citation 3
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Abstract:

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Interest rates, term structure, equilibrium correction, non-linear dynamics

57.

Federal Funds Rate Prediction

Number of pages: 35 Posted: 21 Oct 2004
University of Cambridge - Judge Business School, Federal Reserve Bank of St. Louis - Research Division and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 17 (994,510)
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Federal fund rate, forecasting, term structure, nonlinearity

58.

Asset Prices and International Spillovers: An Empirical Investigation

Number of pages: 38 Posted: 21 May 2004
Giorgio Valente and Lucio Sarno
Hong Kong Institute for Monetary and Financial Research (HKIMR) and University of Cambridge - Judge Business School
Downloads 17 (994,510)
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Asset prices, international spillovers, forecasting, non-linearity

59.

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, University of Cambridge - Judge Business School and Bank of Finland, Research Unit
Downloads 16 (1,004,969)
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Monetary policy, open economy, learning

60.

Currency Risk Premiums Redux?

Bank of Italy Temi di Discussione (Working Paper) No. 1415
Number of pages: 67 Posted: 31 May 2024
Federico Nucera, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
Downloads 11 (1,056,828)

Abstract:

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currency risk premiums, asset pricing, omitted factors, measurement error, weak factors

61.

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, University of Cambridge - Judge Business School and University of New South Wales (UNSW)
Downloads 5 (1,112,999)
Citation 8
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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 Business School, University of Cambridge - Judge Business School and University of Guelph
Downloads 4 (1,165,899)
Citation 31
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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 Business School, University of Cambridge - Judge Business School and University of Guelph

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F31, F37, G11

63.

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
University of Cambridge - Judge Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 4 (1,121,472)
Citation 1
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Economic fundamentals, exchange rates, forecasting

64.
Downloads 3 (1,129,715)
Citation 3

Spot and Forward Volatility in Foreign Exchange

CEPR Discussion Paper No. DP7893
Number of pages: 42 Posted: 19 Jul 2010
Imperial College Business School, University of Cambridge - Judge Business School and University of Guelph
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Citation 3
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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 Business School, University of Cambridge - Judge Business School and University of Guelph

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

65.

Currency Value

CEPR Discussion Paper No. DP11324
Number of pages: 56 Posted: 13 Jun 2016
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
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Currency value, macro fundamentals, predictability, real exchange rate

66.

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

Posted: 11 Sep 2000
Eric Girardin, Lucio Sarno and Mark P. Taylor
University Aix-Marseille 2 - GREQAM, University of Cambridge - Judge 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

67.

Stochastic Growth: Empirical Evidence from the G7 Countries

Posted: 20 Jul 1999
Lucio Sarno
University of Cambridge - Judge Business School

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