Giorgio Valente

Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)

Senior Manager

3 Garden Road, 8th Floor

Hong Kong

China

SCHOLARLY PAPERS

29

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CITATIONS
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204

Scholarly Papers (29)

What Do Stock Markets Tell Us About Exchange Rates?

Number of pages: 75 Posted: 19 Jul 2014 Last Revised: 04 Jul 2015
Gino Cenedese, Richard Payne, Lucio Sarno and Giorgio Valente
Fulcrum Asset Management, 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 617 (40,691)

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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
Gino Cenedese, Richard Payne, Lucio Sarno and Giorgio Valente
Fulcrum Asset Management, 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 79 (303,621)

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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
Gino Cenedese, Richard Payne, Lucio Sarno and Giorgio Valente
Fulcrum Asset Management, 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 (664,626)
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Empirical Asset Pricing, Exchange Rates, International Asset Allocation

2.

Can Hedge Funds Time the Market?

Number of pages: 11 Posted: 19 Jun 2017 Last Revised: 19 Oct 2017
Michael W. Brandt, Federico Nucera and Giorgio Valente
Duke University - Fuqua School of Business, Bank of Italy and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 417 (67,603)

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nowcasting, business cycle, hedge funds, market timing

3.

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 327 (89,720)
Citation 7

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Foreign exchange, uncovered interest parity, forward bias, nonlinearity

4.

The Term Structure of Interest Rates and the Public Debt Issuance Policy: A Note

CEIS Working Paper No. 49
Number of pages: 12 Posted: 16 Mar 2004
Gustavo Piga and Giorgio Valente
University of Rome and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 221 (135,162)
Citation 2

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Term Structure of Interest Rates, Expectations Hypothesis, Public Debt Management

5.

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 219 (136,323)

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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
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 175 (167,734)
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 (533,438)
Citation 25
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Foreign exchange, uncovered interest parity, forward bias, nonlinearity

7.

Carry Trades and the Performance of Currency Hedge Funds

HKIMR Working Paper No.03/2013
Number of pages: 35 Posted: 18 Jan 2013 Last Revised: 19 Feb 2013
Federico Nucera and Giorgio Valente
Bank of Italy and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 177 (165,967)

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Hedge Funds, Foreign Exchange, Asset Allocation, Funds Performance Evaluation

8.

Market Liquidity and Funding Liquidity: An Empirical Investigation

HKIMR Working Paper No.15/2010
Number of pages: 24 Posted: 30 Jun 2010
Giorgio Valente
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 154 (187,077)

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9.

Monetary Policy Rules and Regime Shifts

Number of pages: 26 Posted: 21 Jul 2002
Giorgio Valente
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 151 (190,294)
Citation 1

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vector autoregression, regime switching, Taylor rule

10.

Out-of-sample Predictions of Bond Excess Returns and Forward Rates: An Asset-Allocation Perspective

Number of pages: 38 Posted: 07 Oct 2010 Last Revised: 12 Apr 2011
Daniel L. Thornton and Giorgio Valente
Federal Reserve Bank of St. Louis - Research Division and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 138 (204,615)
Citation 10

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bond yields, bond excess returns, predictability

Funding Constraints and Market Illiquidity in the European Treasury Bond Market

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 48 Posted: 25 May 2016 Last Revised: 09 Aug 2018
Sophie Moinas, Minh Nguyen and Giorgio Valente
Toulouse School of Economics, Newcastle University Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 104 (254,228)

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Illiquidity, Asset Pricing, Identification, Heteroskedasticity

Funding Constraints and Market Illiquidity in the European Treasury Bond Market

HKIMR Working Paper No.21/2018
Number of pages: 61 Posted: 10 Oct 2018
Sophie Moinas, Minh Nguyen and Giorgio Valente
Toulouse School of Economics, Newcastle University Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 16 (558,873)

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Illiquidity, Asset Pricing, Identification, Heteroskedasticity

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: 24 Oct 2010
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 (318,270)
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 (436,386)
Citation 57
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Foreign exchange, term structure, forecasting, non-linearity, Markov switching

Expectations and Risk Premia at 8:30am: Macroeconomic Announcements and the Yield Curve

BIS Working Paper No. 527
Number of pages: 54 Posted: 16 Nov 2015
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 66 (336,618)

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Bond excess returns, term structure of interest rates, affine models, macroeconomic announcements

Expectations and Risk Premia at 8:30am: Macroeconomic Announcements and the Yield Curve

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 70 Posted: 03 Feb 2016
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 40 (423,665)

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bond excess returns, term structure of interest rates, affine models, macroeconomic announcements

14.

Testing the Economic Value of Asset Return Predictability

FRB of St. Louis Working Paper No. 2012-049A
Number of pages: 38 Posted: 24 Oct 2012
Michael W. McCracken and Giorgio Valente
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 85 (287,831)

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Utility-based comparisons, economic value, out-of-sample forecasting, predictability

15.

US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore

HKIMR Working Paper No. 09/2005
Number of pages: 25 Posted: 23 Aug 2007
Giorgio Valente
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 84 (289,948)

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Monetary policy, interest rate futures, term structure of interest rates

16.

Revisiting the Predictability of Bond Risk Premia

Number of pages: 36 Posted: 18 Mar 2009
Daniel L. Thornton and Giorgio Valente
Federal Reserve Bank of St. Louis - Research Division and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 75 (309,964)

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bond prices, bond risk premia, predictability

17.

High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements

HKIMR Working Paper No.19/2018
Number of pages: 48 Posted: 27 Aug 2018
George J. Jiang, Ingrid Lo and Giorgio Valente
Washington State University, Bank of Canada and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 56 (360,830)

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High-frequency Trading; Macroeconomic News Announcements; U.S. Treasury Market; Market Liquidity; Price Efficiency

18.

Computer-Based Trading, Institutional Investors and Treasury Bond Returns

Number of pages: 64 Posted: 27 Aug 2018 Last Revised: 29 Aug 2018
Xiaoquan Liu, Ingrid Lo, Minh Nguyen and Giorgio Valente
Nottingham University Business School, Bank of Canada, Newcastle University Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 47 (389,868)

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Computer-based Trading, Asset Pricing, Institutional Investors, Asset Allocation

19.

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 (407,511)
Citation 17
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Term structure of interest rates, markov switching, forecasting

20.

Expectations and Risk Premia at 8:30am: Deciphering the Responses of Bond Yields to Macroeconomic Announcements

Number of pages: 51 Posted: 27 Dec 2017
Peter Hördahl, Eli M. Remolona and Giorgio Valente
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, Bank for International Settlements (BIS) - Monetary and Economic Department and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 34 (439,066)

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affine models, bond excess returns, economic announcements, term structure of interest rates

21.

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
Lucio Sarno, Daniel L. Thornton and Giorgio Valente
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 (461,471)
Citation 19
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Expectations hypothesis, term structure of interest rates, vector autoregression

Monetary Policy Rules, Asset Prices and Exchange Rates

CEPR Discussion Paper No. 4114
Number of pages: 36 Posted: 06 Jan 2004
Jagjit S. Chadha, Lucio Sarno and Giorgio Valente
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 (484,728)
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
Jagjit S. Chadha, Lucio Sarno and Giorgio Valente
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.

23.

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 (476,603)
Citation 21
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Foreign exchange, monetary fundamentals, forecasting, parameter uncertainty, optimal portfolio

24.

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
Downloads 24 (487,464)
Citation 6
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Foreign exchange, monetary fundamentals, non-linearity, regime switching

25.

Federal Funds Rate Prediction

CEPR Discussion Paper No. 4587
Number of pages: 35 Posted: 21 Oct 2004
Lucio Sarno, Daniel L. Thornton and Giorgio Valente
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 17 (526,829)
Citation 9
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Federal fund rate, forecasting, term structure, nonlinearity

26.

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
Downloads 17 (526,829)
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Asset prices, international spillovers, forecasting, non-linearity

27.

Global Capital Flows Cycle: Impact on Gross and Net Flows

NBER Working Paper No. w25721
Number of pages: 50 Posted: 08 Apr 2019
Scott Davis, Giorgio Valente and Eric van Wincoop
Federal Reserve Banks - Federal Reserve Bank of Dallas, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and University of Virginia - Department of Economics
Downloads 8 (579,465)
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Global Drivers of Gross and Net Capital Flows

Globalization and Monetary Policy Institute Working Paper No. 357
Number of pages: 50 Posted: 22 Apr 2019
Scott Davis, Giorgio Valente and Eric van Wincoop
Federal Reserve Banks - Federal Reserve Bank of Dallas, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and University of Virginia - Department of Economics
Downloads 3 (640,187)

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capital inflows and outflows, gross and net capital flows, financial globalization, global financial cycle, global capital flows cycle

Global Drivers of Gross and Net Capital Flows

HKIMR Working Paper No.07/2019
Number of pages: 51 Posted: 17 May 2019
Scott Davis, Giorgio Valente and Eric van Wincoop
Federal Reserve Banks - Federal Reserve Bank of Dallas, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and University of Virginia - Department of Economics
Downloads 1 (664,626)

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capital inflows and outflows, gross and net capital flows, financial globalization, global financial cycle, global capital flows cycle

29.

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)
Downloads 4 (604,232)
Citation 18
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Economic fundamentals, exchange rates, forecasting