Lucio Sarno : Citation Profile


Are you Lucio Sarno?

University of Cambridge (99% share)
Centre for Economic Policy Research (CEPR) (1% share)

40

H index

71

i10 index

6508

Citations

RESEARCH PRODUCTION:

92

Articles

93

Papers

1

Books

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 271
   Journals where Lucio Sarno has often published
   Relations with other researchers
   Recent citing documents: 470.    Total self citations: 98 (1.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa95
   Updated: 2022-05-21    RAS profile: 2022-03-05    
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Relations with other researchers


Works with:

Menkhoff, Lukas (7)

Schmeling, Maik (5)

Fratzscher, Marcel (4)

Heidland, Tobias (3)

Zinna, Gabriele (3)

Schrimpf, Andreas (3)

Gerritsen, Dirk (2)

Bouri, Elie (2)

Pastor, Lubos (2)

FERROUHI, EL MEHDI (2)

Adrian, Tobias (2)

Nielsson, Ulf (2)

Lopez-Lira, Alejandro (2)

Xia, Shuo (2)

Gehrig, Thomas (2)

Theissen, Erik (2)

Walther, Thomas (2)

Alexeev, Vitali (2)

Holzmeister, Felix (2)

Pelizzon, Loriana (2)

Patton, Andrew (2)

Smales, Lee (2)

CAPELLE-BLANCARD, Gunther (2)

Dumitrescu, Ariadna (2)

Zhou, Chen (2)

Deev, Oleg (2)

Wilhelmsson, Anders (2)

Bos, Charles (2)

Rakowski, David (2)

Jurkatis, Simon (2)

Wolff, Christian (2)

Vilkov, Grigory (2)

PASCUAL, ROBERTO (2)

Regis, Luca (2)

Davies, Ryan (2)

Caporin, Massimiliano (2)

Moinas, Sophie (2)

Pasquariello, Paolo (2)

Rinne, Kalle (2)

Harris, Jeffrey (2)

Schenk-Hoppé, Klaus (2)

Foucault, Thierry (2)

Gloede, Oliver (2)

Gorbenko, Arseny (2)

Ait-Sahalia, Yacine (2)

Lof, Matthijs (2)

Xiu, Dacheng (2)

Wong, Wing-Keung (2)

Palan, Stefan (2)

Ferrara, Gerardo (2)

Lajaunie, Quentin (2)

Hurlin, Christophe (2)

Abudy, Menachem (2)

Schwarz, Marco (2)

van Kervel, Vincent (2)

Park, Andreas (2)

Liew, Chee (2)

Mäkinen, Taneli (2)

Patel, Vinay (2)

Colliard, Jean-Edouard (2)

Dreber, Anna (2)

Stefanova, Denitsa (2)

Menkveld, Albert (2)

Talavera, Oleksandr (2)

Scaillet, Olivier (2)

Jalkh, Naji (2)

Dimpfl, Thomas (2)

Bohorquez Correa, Santiago (2)

Kassner, Bernhard (2)

Reitz, Stefan (2)

Putnins, Talis (2)

Verousis, Thanos (2)

Hautsch, Nikolaus (2)

Johannesson, Magnus (2)

Horenstein, Alex (2)

Frijns, Bart (2)

Ranaldo, Angelo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Lucio Sarno.

Is cited by:

Beckmann, Joscha (132)

Taylor, Mark (106)

Claessens, Stijn (95)

Chang, Tsangyao (94)

Kose, Ayhan (93)

Menkhoff, Lukas (89)

Czudaj, Robert (70)

MacDonald, Ronald (54)

Reitz, Stefan (51)

Bahmani-Oskooee, Mohsen (47)

Liew, Venus (46)

Cites to:

Taylor, Mark (123)

Rogoff, Kenneth (81)

Obstfeld, Maurice (67)

Engel, Charles (59)

Campbell, John (56)

Clarida, Richard (51)

Bekaert, Geert (49)

Valente, Giorgio (40)

West, Kenneth (39)

Shiller, Robert (38)

Hodrick, Robert (37)

Main data


Where Lucio Sarno has published?


Journals with more than one article published# docs
Journal of International Money and Finance7
Journal of Financial Economics7
Journal of International Economics5
Journal of Banking & Finance5
Journal of Futures Markets4
Review3
Journal of Money, Credit and Banking3
Economics Letters3
Review of Financial Studies3
International Journal of Finance & Economics3
Review of World Economics (Weltwirtschaftliches Archiv)2
Journal of Finance2
IMF Staff Papers2
Applied Financial Economics2
Oxford Bulletin of Economics and Statistics2
Review of Finance2
Journal of Macroeconomics2
Journal of Empirical Finance2
Journal of Money, Credit and Banking2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis8
Working Paper series / Rimini Centre for Economic Analysis4
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research3
MPRA Paper / University Library of Munich, Germany3
Working Paper Series / European Central Bank3
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area2
IMF Working Papers / International Monetary Fund2
BIS Working Papers / Bank for International Settlements2

Recent works citing Lucio Sarno (2022 and 2021)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19.

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2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2021What explains the real exchange rate movement for the BRICS nations? With a separate analysis for Indian economy. (2021). Arora, Hariom. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:207-232.

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2020(Why) do central banks care about their profits?. (2020). Ioannidou, Vasso ; Goncharov, Igor ; Schmalz, Martin C. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:018.

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2020Trends, Reversion, and Critical Phenomena in Financial Markets. (2020). Schmidhuber, Christof. In: Papers. RePEc:arx:papers:2006.07847.

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2021Dynamic Ordering Learning in Multivariate Forecasting. (2021). Lopes, Hedibert F ; Bruno, . In: Papers. RePEc:arx:papers:2101.04164.

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2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2021Foreign exchange markets: price response and spread impact. (2021). Henao, Juan Camilo ; Guhr, Thomas. In: Papers. RePEc:arx:papers:2104.09309.

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2022Enhancing Cross-Sectional Currency Strategies by Ranking Refinement with Transformer-based Architectures. (2021). Zohren, Stefan ; Lim, Bryan ; Poh, Daniel ; Roberts, Stephen. In: Papers. RePEc:arx:papers:2105.10019.

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2022Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

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2020Nexus between Economic Volatility, Trade Openness and FDI: An Application of ARDL, NARDL and Asymmetric Causality. (2020). Karim, Salma ; Qamruzzaman, MD. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:790-807.

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2020Developmental Patterns of Voluntary Pensions in CEE Countries: Analysis through the Bass Diffusion Model Reflecting the Observational Learning Mechanism. (2020). Yakymova, Larysa. In: Economic Studies journal. RePEc:bas:econst:y:2020:i:4:p:166-192.

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2020Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature. (2020). Yang, Jing ; Witmer, Jonathan ; Priftis, Romanos ; Kozicki, Sharon ; Suchanek, Lena ; Johnson, Grahame. In: Discussion Papers. RePEc:bca:bocadp:20-16.

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2021Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil. (2021). Gaglianone, Wagner ; Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:552.

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2021Capital Flows to Emerging Economies and Global Risk Aversion during the COVID-19 Pandemic. (2021). Ibarra, Raul ; Hernandez, Juan ; Alba, Carlos ; Ibarra-Ramrez, Ral ; Hernndez, Juan R ; Cuadra, Gabriel. In: Working Papers. RePEc:bdm:wpaper:2021-17.

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2020The Effectiveness of FX Interventions: A Meta-Analysis. (2020). Villamizar-Villegas, mauricio ; Menkhoff, Lukas ; Arango-Lozano, Lucia ; Rodriguez-Novoa, Daniela. In: Borradores de Economia. RePEc:bdr:borrec:1132.

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2020Uncovering Time-Specific Heterogeneity in Regression Discontinuity Designs. (2020). Villamizar-Villegas, mauricio ; Onder, Yasin. In: Borradores de Economia. RePEc:bdr:borrec:1141.

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2020La Magnitud y Duración del Efecto de la Intervención por Subastas sobre el Mercado Cambiario: El caso Colombiano. (2020). Julio, Juan ; Julio-Roman, Juan Manuel ; Moreno-Jimenez, William Ivan ; Bejarano-Salcedo, Valeria. In: Borradores de Economia. RePEc:bdr:borrec:1142.

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2021Regional How Powerful is Unannounced, Sterilized Foreign Exchange Intervention?. (2021). Weber, Jacob ; Naef, Alain. In: Working papers. RePEc:bfr:banfra:834.

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2021Capital Controls and Foreign Reserves against External Shocks: Combined or Alone?. (2021). CEZAR, Rafael ; Monnet, Eric. In: Working papers. RePEc:bfr:banfra:849.

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2020Bilateral capital flows: gravity, push, and pull. (2020). Mercado, Rogelio. In: IFC Bulletins chapters. RePEc:bis:bisifc:52-22.

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2020FX spot and swap market liquidity spillovers. (2020). Sushko, Vladyslav ; Krohn, Ingomar. In: BIS Working Papers. RePEc:bis:biswps:836.

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2020Foreign exchange intervention and financial stability. (2020). Pereira da Silva, Luiz Awazu ; Jackson, Timothy ; Agenor, Pierre-Richard. In: BIS Working Papers. RePEc:bis:biswps:889.

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2021FX policy when financial markets are imperfect. (2021). Maggiori, Matteo. In: BIS Working Papers. RePEc:bis:biswps:942.

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2021Macroeconomic policy under a managed float: a simple integrated framework. (2021). Pereira, Luiz Awazu ; Agenor, Pierre-Richard. In: BIS Working Papers. RePEc:bis:biswps:964.

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2022Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996.

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2021Industry momentum: an exchange?traded funds approach. (2021). Earea, Dean ; Hahn, Tobias ; Vanstone, Bruce. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4007-4024.

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2022Global equity fund performance adjusted for equity and currency factors. (2022). Warren, Geoffrey J ; Schmidt, Camille H ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1535-1565.

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2021Efficiency of Tanzanias foreign exchange market. (2021). Kazungu, Khatibu ; Epaphra, Manamba. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:368-381.

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2020THE DETERMINANTS OF PRIVATE CAPITAL FLOWS IN EMERGING ECONOMIES: THE ROLE OF THE FEDS UNCONVENTIONAL MONETARY POLICY. (2020). Gamboa-Estrada, Fredy ; Gamboaestrada, Fredy. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:38:y:2020:i:4:p:694-710.

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2020Consumption, asset wealth, equity premium, term spread, and flight to quality. (2020). Sousa, Ricardo ; Costantini, Mauro. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:778-807.

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2021Neglected Risk in Financial Innovation: Evidence from Structured Product Counterparty Exposure. (2021). Wagner, Alexander ; Schuette, Dustin ; Arnold, Marc. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:2:p:287-325.

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2020Conditional currency hedging. (2020). Bucher, Melk C. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:4:p:897-923.

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2021Differential risk premiums and the UIP puzzle. (2021). Schreiber, Ben Z ; Piccotti, Louis R ; Biswas, Rita . In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:139-167.

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2021The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353.

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2021Variants of consumption?wealth ratios and predictability of U.S. government bond risk premia. (2021). GUPTA, RANGAN ; Wohar, Mark E ; Epni, Ouzhan. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:661-674.

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2021Monetary policy through exchange rate pegs: The removal of the Swiss franc?Euro floor and stock price reactions. (2021). Tonzer, Lena ; Buchholz, Manuel ; von Schweinitz, Gregor. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1382-1406.

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2020Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy. (2020). Pflueger, Carolin E ; Du, Wenxin ; Schreger, Jesse. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:3097-3138.

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2021Currency Mispricing and Dealer Balance Sheets. (2021). Cenedese, Gino ; Wang, Tianyu ; Della Corte, Pasquale. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:2763-2803.

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2022Common Risk Factors in Cryptocurrency. (2022). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1133-1177.

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2022Real Exchange Rates and Fundamentals in a new Markov?STAR Model. (2022). Sibbertsen, Philipp ; Ma, Jun ; Flock, Teresa ; Bertram, Philip . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:356-379.

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2020Effect of foreign exchange intervention: The case of Korea. (2020). Kim, Youngmin ; Lee, Seojin. In: Pacific Economic Review. RePEc:bla:pacecr:v:25:y:2020:i:5:p:641-659.

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2021The impact of conflict on the exchange rate of developing economies. (2021). Michail, Nektarios A. In: Review of Development Economics. RePEc:bla:rdevec:v:25:y:2021:i:2:p:916-930.

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2022Central bank securities and foreign exchange market intervention in a developing economy. (2022). Khemraj, Tarron ; Direye, Eli. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:1:p:280-297.

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2022Market competition, exchange rate uncertainty, and foreign direct investment. (2022). Chen, Kunming ; Lin, Chiaching. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:1:p:405-422.

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2020Carry trade and forward premium puzzle from the perspective of a safe?haven currency. (2020). Nitschka, Thomas ; Haab, David R. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:2:p:376-394.

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2021How frequent a BEER? Assessing the impact of data frequency on real exchange rate misalignment estimation. (2021). Giordano, Claire. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:68:y:2021:i:3:p:365-404.

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2020The forward‐looking ability of the real exchange rate and its misalignment to forecast the economic performance and the stock market return. (2020). Tim, Douglas Kai. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:10:p:2723-2741.

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2020From carry trades to curvy trades. (2020). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780.

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2020Coups détat and the foreign exchange market. (2020). BALIMA, HIPPOLYTE. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:7:p:1928-1950.

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2021Do immigrants’ funds affect the exchange rate?. (2021). Teo, Wing Leong ; Cooray, Arusha ; Aziz, Nusrate. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:2:p:560-585.

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2021The triangular purchasing power parity hypothesis: A comment. (2021). King, Alan. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:3:p:837-848.

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2022The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. (2022). Roubaud, David ; Ur, Mobeen ; Bouri, Elie ; Hussain, Syed Jawad. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:1:p:292-316.

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2020Price-setting in the foreign exchange swap market: Evidence from order flow. (2020). Viswanath-Natraj, Ganesh ; Syrstad, Olav. In: Working Paper. RePEc:bno:worpap:2020_16.

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2021Exchange Rate Disconnect Redux. (2021). Valchev, Rosen ; Guerron, Pablo ; De Leo, Pierre ; Cormun, Vito ; Chahrour, Ryan ; Guerron-Quintana, Pablo. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1041.

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2020Informed trading in government bond markets. (2020). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang. In: Bank of England working papers. RePEc:boe:boeewp:0871.

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2020Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002.

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2021The Behavior of Divorce Rates: A Smooth Transition Regression Approach. (2021). Korhonen, Marko ; Marko, Korhonen ; Mikko, Puhakka. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:13:y:2021:i:1:p:1-19:n:2.

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2020The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach. (2020). lucey, brian ; Bekiros, Stelios ; Brian, Lucey ; Stelios, Bekiros ; Christos, Avdoulas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:4:p:23:n:4.

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2020Exchange rates in India: current account monetarism in a nonlinear context. (2020). CHAUBAL, ADITI ; Aditi, Chaubal. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:5:p:27:n:3.

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2021What model for the target rate. (2021). Feunou, Bruno ; Bruno, Feunou ; Jianjian, Jin ; Jean-Sebastien, Fontaine. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:23:n:1.

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2020The Short-Run Impact of SNB Sight Deposits on Exchange Rates: Results from Weekly Data 2015 - 2018. (2020). Kugler, Peter. In: Working papers. RePEc:bsl:wpaper:2020/04.

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2021The Pricing of Unexpected Volatility in the Currency Market. (2021). Xu, Yongdeng ; Lu, Wenna ; Copeland, Laurence. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/16.

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2020THE LAW OF ONE PRICE, PURCHASING POWER PARITY AND EXCHANGE RATES: SETTING THE RECORD STRAIGHT. (2020). Pippenger, John. In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt2n8899rp.

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2020THE LAW OF ONE PRICE, PURCHASING POWER PARITY AND EXCHANGE RATES. (2020). Pippenger, John. In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt8x04p85k.

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2021Short and long-run relations between capital netflows and the differential of american and brazilian interest rates. (2021). Leal, Alan ; D'Amato, Stefan. In: Textos para Discussão Cedeplar-UFMG. RePEc:cdp:texdis:td629.

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2020On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672.

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2021Uncertainty Network Risk and Currency Returns. (2021). Barunik, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp687.

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2020Cross-Border Portfolio Flows and News Media Coverage. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Ali, Faek Menla . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8112.

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2020Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns. (2020). Melvin, Michael ; Pan, Wenqiang ; Wikstrom, Petra. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8143.

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2020Chinese Exchange Rate Policy: Lessons for Global Investors. (2020). Westermann, Frank ; Melvin, Michael . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8493.

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2021Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations. (2021). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8921.

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2021Exchange Rate Parities and Taylor Rule Deviations. (2021). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8961.

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2021Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations. (2021). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9027.

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2021An Equilibrium Theory of Nominal Exchange Rates. (2021). Hagedorn, Marcus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9290.

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2020Auswirkungen möglicher Währungskonflikte auf die deutsche und europäische Wirtschaft. (2020). Wollmershauser, Timo ; Auer, Radek ; Grimme, Christian. In: ifo Forschungsberichte. RePEc:ces:ifofob:109.

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2021Capital Flows and Emerging Markets Fluctuations. (2021). Lorca, Jorge. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:898.

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2020MULTIPRIL, a new database on multilateral price levels and currency misalignments. (2020). Mignon, Valérie ; COUHARDE, Cécile ; Grekou, Carl. In: Working Papers. RePEc:cii:cepidt:2020-12.

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2020TIME-SERIES AND CROSS-SECTIONAL MOMENTUM IN INDIAN STOCK MARKET. (2020). Singh, Simarjeet ; Walia, Nidhi. In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:9:y:2020:i:3:p:161-176.

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2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions. (2020). Hamilton, James ; Baumeister, Christiane. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14271.

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2020Does a Big Bazooka Matter? Quantitative Easing Policies and Exchange Rates. (2020). Mehl, Arnaud ; Grab, Johannes ; Georgiadis, Georgios ; Dedola, Luca. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14324.

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2020The Non-U.S. Bank Demand for U.S. Dollar Assets. (2020). Adrian, Tobias ; Xie, Peichu. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14437.

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2021Foreign Exchange Intervention, Capital Flows, and Liability Dollarization. (2021). Medina, Juan Pablo ; Castillo, Paul. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_27.

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2020Estimation of Impulse response functions with term structure local projections. (2020). McNeil, James. In: Working Papers. RePEc:dal:wpaper:daleconwp2020-05.

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2021TOQ Effects on the Romanian Foreign Exchange Market. (2021). Razvan, Stefanescu ; Ramona, Dumitriu. In: Risk in Contemporary Economy. RePEc:ddj:fserec:y:2021:p:246-253.

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2020The Dynamic Impact of FX Interventions on Financial Markets. (2020). Rieth, Malte ; Menkhoff, Lukas ; Stohr, Tobias. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1854.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2020The Effectiveness of FX Interventions: A Meta-Analysis. (2020). Villamizar-Villegas, mauricio ; Rodriguez-Novoa, Daniela ; Menkhoff, Lukas ; Arango-Lozano, Lucia. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1895.

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2022Greenfield Foreign Direct Investment: Social Learning drives Persistence. (2022). Leung, Charles ; Ping, Byron Kwok ; Hung, Thomas Chao ; Yiu, Joe Cho. In: ISER Discussion Paper. RePEc:dpr:wpaper:1171.

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2020Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16.

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2020Carry trade in developing and developed countries: A Granger causality analysis with the Toda-Yamamoto appr. (2020). Tomio, Bruno. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00720.

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2020The predictive power of equilibrium exchange rate models. (2020). Rubaszek, Michał ; Mijakovic, Andrej ; Ca' Zorzi, Michele ; Michele Ca, ; Cap, Adam. In: Working Paper Series. RePEc:ecb:ecbwps:20202358.

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2020Attention to the tail(s): global financial conditions and exchange rate risks. (2020). Sokol, Andrej ; Eguren-Martin, Fernando. In: Working Paper Series. RePEc:ecb:ecbwps:20202387.

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2020Foreign Capital Inflows and Economic Growth in GCC Countries. (2020). Debbiche, Imene. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-05-23.

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2021Exchange Rate Determination: Mixed Microstructural and Macroeconomic Approach. (2021). Kammoun, Aida ; Karoui, Ali Trabelsi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-03-11.

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2020Stationarity Properties of Renewable Energy Consumption in the Commonwealth of Independent States. (2020). Yasar, Nermin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-23.

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2020Relationship Between Oil Revenues and Education in Gulf Cooperation Council Countries. (2020). Gedikli, Ayfer ; Ar, Durmu ; Erdoan, Seyfettin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-29.

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2021Stock market uncertainty and uncovered equity parity deviation: Evidence from Asia. (2021). Mo, Kuk ; Jung, Jiyong. In: Journal of Asian Economics. RePEc:eee:asieco:v:73:y:2021:i:c:s1049007820301512.

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2020Does mood affect institutional herding?. (2020). Ozturkkal, Belma ; Kallinterakis, Vasileios ; Gavriilidis, Konstantinos. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:26:y:2020:i:c:s2214635019303119.

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2020Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925.

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More than 100 citations found, this list is not complete...

Lucio Sarno has edited the books:


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Works by Lucio Sarno:


YearTitleTypeCited
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries In: American Economic Journal: Macroeconomics.
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article78
2017When is foreign exchange intervention effective? Evidence from 33 countries.(2017) In: CEPR Discussion Papers.
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paper
2015When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2015) In: Discussion Papers of DIW Berlin.
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paper
2001Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? In: Journal of Economic Literature.
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article565
2001Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?.(2001) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 565
paper
2019Risky bank guarantees In: Temi di discussione (Economic working papers).
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paper2
2019Risky Bank Guarantees.(2019) In: CEPR Discussion Papers.
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paper
2020Risky bank guarantees.(2020) In: Journal of Financial Economics.
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article
2014The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers).
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paper58
2012The Scapegoat Theory of Exchange Rates: The First Tests.(2012) In: CEPR Discussion Papers.
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paper
2013The Scapegoat Theory of Exchange Rates: The First Tests.(2013) In: Discussion Papers of DIW Berlin.
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paper
2012The scapegoat theory of exchange rates: the first tests.(2012) In: Working Paper Series.
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paper
2015The scapegoat theory of exchange rates: the first tests.(2015) In: Journal of Monetary Economics.
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article
2011The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? In: Working papers.
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paper49
2010The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2010) In: CEPR Discussion Papers.
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paper
2012The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2012) In: The Review of Economics and Statistics.
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article
2011Currency Momentum Strategies In: BIS Working Papers.
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paper159
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 159
paper
2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
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article
2012Currency Momentum Strategies.(2012) In: Working Paper series.
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paper
2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
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paper47
2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
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This paper has another version. Agregated cites: 47
article
2001Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation In: Economica.
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article2
2000Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation.(2000) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 2
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2004Time?Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers In: Journal of Business Finance & Accounting.
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article1
2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
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article308
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 308
paper
1998Savings-Investment Correlations: Transitory versus Permanent. In: The Manchester School of Economic & Social Studies.
[Citation analysis]
article14
1999European Capital Flows and Regional Risk In: Manchester School.
[Full Text][Citation analysis]
article7
2002Short? and long?run price level uncertainty under different monetary policy regimes: an international comparison In: Oxford Bulletin of Economics and Statistics.
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article0
2007Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* In: Oxford Bulletin of Economics and Statistics.
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article3
2002Whats unique about the federal funds rate? evidence from a spectral perspective.(2002) In: Working Papers.
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paper
1997Estimating the Mean?reverting Component in Stock Prices: A Cross?country comparison In: Scottish Journal of Political Economy.
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article1
2005Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 In: Working Paper.
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paper1
2005Arbitrage in the foreign exchange market: Turning on the microscope In: Working Paper.
[Full Text][Citation analysis]
paper177
2008Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2008) In: CEPR Discussion Papers.
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paper
2008Arbitrage in the foreign exchange market: Turning on the microscope.(2008) In: Journal of International Economics.
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article
2006Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2006) In: SIFR Research Report Series.
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This paper has another version. Agregated cites: 177
paper
2007Exchange rate forecasting, order flow and macroeconomic information In: Working Paper.
[Full Text][Citation analysis]
paper125
2009Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers.
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paper
2010Exchange rate forecasting, order flow and macroeconomic information.(2010) In: Journal of International Economics.
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This paper has another version. Agregated cites: 125
article
2008Does the law of one price hold in international financial markets? Evidence from tick data In: Working Paper.
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paper33
2009Does the law of one price hold in international financial markets? Evidence from tick data.(2009) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 33
article
2015What do stock markets tell us about exchange rates? In: Bank of England working papers.
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paper43
2015What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers.
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paper
2016What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance.
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article
2004Monetary policy and learning in an open economy In: Research Discussion Papers.
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paper10
2004Monetary policy and learning in an open economy.(2004) In: Macroeconomics.
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2001Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis In: Studies in Nonlinear Dynamics & Econometrics.
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article25
2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? In: Canadian Journal of Economics.
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article131
2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?.(2005) In: Canadian Journal of Economics/Revue canadienne d'économique.
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article
2016Currency Premia and Global Imbalances In: CEPR Discussion Papers.
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paper50
2016Currency Premia and Global Imbalances.(2016) In: Review of Financial Studies.
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article
2015Currency Premia and Global Imbalances.(2015) In: 2015 Meeting Papers.
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paper
2016Currency Value In: CEPR Discussion Papers.
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paper6
2017Currency Value.(2017) In: Review of Financial Studies.
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article
2019Business Cycles and Currency Returns In: CEPR Discussion Papers.
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paper7
2020Business cycles and currency returns.(2020) In: Journal of Financial Economics.
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article
2019Business Cycles and Currency Returns.(2019) In: NBER Working Papers.
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This paper has another version. Agregated cites: 7
paper
1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper390
1998The behavior of real exchange rates during the post-Bretton Woods period.(1998) In: Journal of International Economics.
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This paper has another version. Agregated cites: 390
article
1999The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence In: CEPR Discussion Papers.
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paper3
2001Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper611
2001Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles..(2001) In: International Economic Review.
[Citation analysis]
This paper has another version. Agregated cites: 611
article
2001Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers.
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paper226
2002Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers.
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article
2002The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation In: CEPR Discussion Papers.
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paper76
2003The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation.(2003) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 76
article
2002The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation.(2002) In: Working Papers.
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paper
2002Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 In: CEPR Discussion Papers.
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paper14
2003 Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997..(2003) In: Journal of Money, Credit and Banking.
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article
2002The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers.
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paper164
2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond.(2003) In: Journal of International Economics.
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article
2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond.(2001) In: NBER Working Papers.
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paper
2002Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study In: CEPR Discussion Papers.
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paper188
2004Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study.(2004) In: Journal of International Money and Finance.
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article
2003Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers.
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paper58
2004Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry.
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article
2003Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.(2003) In: Computing in Economics and Finance 2003.
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paper
2003Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers.
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paper105
2004Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers.
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2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers.
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paper78
2005Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics.
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article
2004Asset Prices and International Spillovers: An Empirical Investigation In: CEPR Discussion Papers.
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paper0
2004Federal Funds Rate Prediction In: CEPR Discussion Papers.
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paper24
2003Federal Funds Rate Prediction.(2003) In: Royal Economic Society Annual Conference 2003.
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paper
2004Federal funds rate prediction.(2004) In: Working Papers.
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2005Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking.
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2004Caution or Activism? Monetary Policy Strategies in an Open Economy In: CEPR Discussion Papers.
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paper6
2007CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY.(2007) In: Macroeconomic Dynamics.
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article
2007Caution or Activism? Monetary Policy Strategies in an Open Economy.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
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paper
2006Caution or Activism? Monetary Policy Strategies in an Open Economy.(2006) In: Computing in Economics and Finance 2006.
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2005The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers.
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paper59
2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2006) In: The Journal of Business.
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2005A Cross-Country Financial Accelerator: Evidence from North America and Europe In: CEPR Discussion Papers.
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paper11
2007A cross-country financial accelerator: Evidence from North America and Europe.(2007) In: Journal of International Money and Finance.
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2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers.
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paper67
2007The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.(2007) In: Journal of Financial and Quantitative Analysis.
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2005The empirical failure of the expectations hypothesis of the term structure of bond yields.(2005) In: Working Papers.
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2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle In: CEPR Discussion Papers.
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2006Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: IMF Working Papers.
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2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: Review of Finance.
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2007The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value In: CEPR Discussion Papers.
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2008The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value.(2008) In: Journal of Financial Economics.
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2007The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value.(2007) In: Working Papers.
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2007An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers.
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paper126
2009An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: Review of Financial Studies.
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2008Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers.
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2009Exchange Rates and Fundamentals: Footloose or Evolving Relationship?.(2009) In: Journal of the European Economic Association.
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2009Asset Prices, Exchange Rates and the Current Account In: CEPR Discussion Papers.
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paper105
2007Asset prices, exchange rates and the current account.(2007) In: Working Paper Series.
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2010Asset prices, exchange rates and the current account.(2010) In: European Economic Review.
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2008Asset prices, exchange rates and the current account.(2008) In: Working Papers.
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2010Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers.
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paper31
2011Spot and forward volatility in foreign exchange.(2011) In: Journal of Financial Economics.
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2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
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paper69
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
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2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
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2013Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers.
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2014Which Fundamentals Drive Exchange Rates? A Cross?Sectional Perspective.(2014) In: Journal of Money, Credit and Banking.
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2013Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers.
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paper58
2016Volatility risk premia and exchange rate predictability.(2016) In: Journal of Financial Economics.
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2003The Economics of Exchange Rates In: Cambridge Books.
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2020Foreign Exchange Intervention: A New Database In: Discussion Papers of DIW Berlin.
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2020Foreign exchange intervention: A new database.(2020) In: Kiel Working Papers.
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2008Assessing the benefits of international portfolio diversification in bonds and stocks. In: Working Paper Series.
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paper5
2002Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers In: Royal Economic Society Annual Conference 2002.
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paper35
2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
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2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
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article
2004The Term Structure Of Euromarket Interest Rates: Some New Evidence In: Royal Economic Society Annual Conference 2004.
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paper0
1999Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation In: Journal of Development Economics.
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article116
1998Real exchange rates under the recent float: unequivocal evidence of mean reversion In: Economics Letters.
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2000Real exchange rate behavior in the Middle East: a re-examination In: Economics Letters.
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2001The behavior of US public debt: a nonlinear perspective In: Economics Letters.
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2010A century of equity premium predictability and the consumption-wealth ratio: An international perspective In: Journal of Empirical Finance.
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2016The economic value of predicting bond risk premia In: Journal of Empirical Finance.
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article23
2017The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets.
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article17
2006Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? In: Journal of Banking & Finance.
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2010Timing exchange rates using order flow: The case of the Loonie In: Journal of Banking & Finance.
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2014Foreign exchange risk and the predictability of carry trade returns In: Journal of Banking & Finance.
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article40
2014Foreign Exchange Risk and the Predictability of Carry Trade Returns.(2014) In: Working Paper series.
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1999Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests In: Journal of International Money and Finance.
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2005Empirical exchange rate models and currency risk: some evidence from density forecasts In: Journal of International Money and Finance.
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2012Global liquidity risk in the foreign exchange market In: Journal of International Money and Finance.
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2012How the Subprime Crisis went global: Evidence from bank credit default swap spreads In: Journal of International Money and Finance.
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2009How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads.(2009) In: NBER Working Papers.
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