Lucio Sarno : Citation Profile


Are you Lucio Sarno?

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

37

H index

75

i10 index

5922

Citations

RESEARCH PRODUCTION:

95

Articles

89

Papers

1

Books

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 257
   Journals where Lucio Sarno has often published
   Relations with other researchers
   Recent citing documents: 380.    Total self citations: 94 (1.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa95
   Updated: 2020-11-21    RAS profile: 2020-10-24    
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Relations with other researchers


Works with:

Menkhoff, Lukas (6)

Zinna, Gabriele (4)

Fratzscher, Marcel (4)

Cenedese, Gino (3)

Schmeling, Maik (3)

Schrimpf, Andreas (3)

Payne, Richard (3)

Valente, Giorgio (3)

Tsiakas, Ilias (2)

Gloede, Oliver (2)

Mäkinen, Taneli (2)

Stöhr, Tobias (2)

Ulloa, Barbara (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 (126)

Taylor, Mark (102)

Claessens, Stijn (95)

Kose, Ayhan (93)

Chang, Tsangyao (91)

Menkhoff, Lukas (78)

Czudaj, Robert (63)

MacDonald, Ronald (53)

Reitz, Stefan (47)

Liew, Venus (46)

Baharumshah, Ahmad Zubaidi (42)

Cites to:

Taylor, Mark (130)

Rogoff, Kenneth (84)

Obstfeld, Maurice (70)

Engel, Charles (65)

Campbell, John (56)

Clarida, Richard (50)

Bekaert, Geert (49)

Valente, Giorgio (44)

West, Kenneth (42)

Hodrick, Robert (38)

Diebold, Francis (37)

Main data


Where Lucio Sarno has published?


Journals with more than one article published# docs
Journal of Financial Economics7
Journal of International Money and Finance7
Journal of Banking & Finance5
Journal of International Economics5
Journal of Futures Markets4
International Journal of Finance & Economics3
Economics Letters3
Journal of Money, Credit and Banking3
Review3
Review of Financial Studies3
Oxford Bulletin of Economics and Statistics3
Review of World Economics (Weltwirtschaftliches Archiv)2
Journal of Empirical Finance2
Applied Financial Economics2
Journal of Business Finance & Accounting2
Journal of Finance2
Review of Finance2
IMF Staff Papers2
Journal of Macroeconomics2
Scottish Journal of Political Economy2
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
Working Paper Series / European Central Bank3
MPRA Paper / University Library of Munich, Germany3
IMF Working Papers / International Monetary Fund2
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research2
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area2
BIS Working Papers / Bank for International Settlements2

Recent works citing Lucio Sarno (2020 and 2019)


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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2019Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?. (2019). Verdelhan, Adrien ; Lustig, Hanno. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:6:p:2208-44.

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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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2019Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?. (2019). Terrones, Marco ; Ramírez-Rondán, N.R. ; Ramirez-Rondan, N R. In: Working Papers. RePEc:apc:wpaper:156.

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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Papers. RePEc:arx:papers:1712.08329.

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2019A bank salvage model by impulse stochastic controls. (2019). Jiang, Yilun ; di Persio, Luca ; Cordoni, Francesco. In: Papers. RePEc:arx:papers:1910.03056.

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2019Approximate Factor Models with Strongly Correlated Idiosyncratic Errors. (2019). Michailidis, George ; Lin, Jiahe. In: Papers. RePEc:arx:papers:1912.04123.

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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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2020Synchronization analysis between exchange rates based on purchasing power parity using the Hilbert transform. (2020). Saiki, Yoshitaka ; Muto, Makoto. In: Papers. RePEc:arx:papers:2010.08825.

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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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2019Bank foreign currency funding and currency markets: the case of Mexico post GFC. (2019). Georgia, Bush. In: Working Papers. RePEc:bdm:wpaper:2019-01.

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2019FX intervention and domestic credit: evidence from high-frequency micro data. (2019). Villamizar-Villegas, mauricio ; Shin, Hyun Song ; Hofmann, Boris. In: Borradores de Economia. RePEc:bdr:borrec:1069.

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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: Borradores de Economia. RePEc:bdr:borrec:1132.

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2019FX intervention: goals, strategies and tactics. (2019). Cavllino, Paolo ; Patel, Nikhil. In: BIS Papers chapters. RePEc:bis:bisbpc:104-02.

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2019Predictability in sovereign bond returns using technical trading rule: do developed and emerging markets differ?. (2019). Wu, Gabriel ; Fong, Tom. In: IFC Bulletins chapters. RePEc:bis:bisifc:50-20.

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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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2019FX intervention and domestic credit: Evidence from high-frequency micro data. (2019). Shin, Hyun Song ; Hofmann, Boris. In: BIS Working Papers. RePEc:bis:biswps:774.

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2019Exchange rate puzzles: evidence from rigidly fixed nominal exchange rate systems. (2019). Zhu, Feng ; Engel, Charles. In: BIS Working Papers. RePEc:bis:biswps:805.

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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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2019THE ROLE OF NATIONAL DEBTS IN THE DETERMINATION OF THE YEN‐DOLLAR EXCHANGE RATE. (2019). Pilbeam, Keith ; Litsios, Ioannis. In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:2:p:1182-1195.

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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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2019Higher Moments and Exchange Rate Behavior. (2019). Sharma, Susan ; Khademalomoom, Siroos ; Narayan, Paresh Kumar. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:201-229.

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2019Sudden stops of international fund flows: Occurrence and magnitude. (2019). Scholtens, Bert ; de Haan, Jakob ; Li, Suxiao. In: Review of International Economics. RePEc:bla:reviec:v:27:y:2019:i:1:p:468-497.

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2019Do Exchange Rate Shocks Have Asymmetric Effects on Reserve Accumulation? Evidence from Emerging Markets. (2019). Chen, Shiu-Sheng ; Lin, Tzuyu. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:121:y:2019:i:4:p:1561-1586.

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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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2019Currency mispricing and dealer balance sheets. (2019). Cenedese, Gino ; Wang, Tianyu ; Della Corte, Pasquale. In: Bank of England working papers. RePEc:boe:boeewp:0779.

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2019Regulatory effects on short-term interest rates. (2019). Ranaldo, Angelo ; Vasios, Michalis ; Schaffner, Patrick. In: Bank of England working papers. RePEc:boe:boeewp:0801.

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2019Attention to the tail(s): global financial conditions and exchange rate risks. (2019). Sokol, Andrej ; Eguren Martin, Fernando ; Eguren-Martin, Fernando. In: Bank of England working papers. RePEc:boe:boeewp:0822.

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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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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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2019Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market. (2019). Mehl, Arnaud ; Lafarguette, R ; Corsetti, G. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1970.

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2019Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2019/6.

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

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2019Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7532.

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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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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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2019Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo. In: Discussion Papers. RePEc:cfm:wpaper:1914.

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2019Foreign Exchange Intervention Redux. (2019). Chang, Roberto. In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v26c07pp205-247.

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2019The Cost of Holding Foreign Exchange Reserves. (2019). Levy Yeyati, Eduardo. In: CID Working Papers. RePEc:cid:wpfacu:353.

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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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2019Determinants of real exchange rate movements in 15 emerging market economies. (2019). Goda, Thomas ; Priewe, Jan. In: Documentos de Trabajo CIEF. RePEc:col:000122:017468.

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2019Forward-Looking Policy Rules and Currency Premia. (2019). Taylor, Mark P ; Filippou, Ilias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13835.

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2019Covered Interest Parity deviations: Macrofinancial determinants. (2019). Zhou, Haonan ; Obstfeld, Maurice ; Cerutti, Eugenio. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13886.

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2019Taming the Global Financial Cycle: Central Banks and the Sterilization of Capital Flows in the First Era of Globalization (1891-1913). (2019). Morys, Matthias ; Monnet, Eric ; Bazot, Guillaume. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13895.

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2019Foreign Currency Loans and Credit Risk: Evidence from U.S. Banks. (2019). Schmidt-Eisenlohr, Tim ; Niepmann, Friederike. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14212.

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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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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2020Uncovered Interest Rate Parity Redux: Non- Uniform Effects. (2020). Cheung, Yin-Wong ; Wang, Wenhao. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2020_004.

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2019The Impact of Aggregate and Disaggregate Consumption Shocks on the Equity Risk Premium in the United Kingdom. (2019). Chandorkar, Pankaj ; Poshakwale, Sunil S. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:poshakwalechandorkar.

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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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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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2020Foreign Exchange Intervention: A New Database. (2020). Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas ; Heidland, Tobias ; Fratzscher, Marcel. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1915.

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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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2019External debts, current account balance and exchange rates in emerging countries. (2019). Bouraoui, Taoufik. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00062.

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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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2019Fast trading and the virtue of entropy: evidence from the foreign exchange market. (2019). Mehl, Arnaud ; Lafarguette, Romain ; Corsetti, Giancarlo. In: Working Paper Series. RePEc:ecb:ecbwps:20192300.

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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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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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2019Modelling the real yen–dollar rate and inflation dynamics based on international parity conditions. (2019). Kurita, Takamitsu ; Almaas, Synne S. In: Journal of Asian Economics. RePEc:eee:asieco:v:61:y:2019:i:c:p:51-64.

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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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2019Reexamining time-varying bond risk premia in the post-financial crisis era. (2019). Zhang, Wei ; Guo, Bin ; Fan, Xiaoyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301745.

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2019Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146.

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2019Exchange rates and fundamentals: A bootstrap panel data analysis. (2019). Chen, Shyh-Wei ; Xie, Zixiong. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:209-224.

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2019The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439.

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2019A new multiscale decomposition ensemble approach for forecasting exchange rates. (2019). Wei, Yunjie ; Wang, Shouyang ; Sun, Shaolong. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:49-58.

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2019A comparative study of exchange rates and order flow based on wavelet transform coherence and cross wavelet transform. (2019). Wang, Xiangning ; Firouzi, Shahrokh. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:42-56.

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2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73.

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2020What do we know about fiscal sustainability across Indian states?. (2020). RATH, BADRI ; Akram, Vaseem. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:307-321.

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2020On the cross-sectional relation between exchange rates and future fundamentals. (2020). Fatnassi, Ibrahim ; Hammami, Yacine ; Kharrat, Sabrine. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:484-501.

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2019The impacts of overseas market shocks on the CDS-option basis. (2019). Ryu, Doojin ; Kutan, Ali M ; Park, Yuen Jung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:622-636.

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2019Can skewness predict currency excess returns?. (2019). Yin, Libo ; Han, Liyan ; Jiang, Xue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:628-641.

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2019Uncertainty and currency performance: A quantile-on-quantile approach. (2019). Yin, Libo ; Liu, Yang ; Han, Liyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:702-729.

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2019Can investors attention on oil markets predict stock returns?. (2019). Feng, Jiabao ; Yin, Libo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:786-800.

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2019Expected currency returns and volatility risk premia. (2019). Haas, Jose Renato. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:206-234.

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2019Time-varying effects of macroeconomic news on euro-dollar returns. (2019). Zhou, Xinyao ; Welch, Robert ; Savaser, Tanseli ; ben Omrane, Walid . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306454.

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2019Are fiscal deficits inflationary in African countries? A new evidence from an asymmetric cointegration analysis. (2019). Ahmad, Ahmad Hassan ; Aworinde, Olalekan B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300154.

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2019Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach. (2019). Su, Xianfang ; Jiang, Yong ; Kuang, Yuanpei ; Lin, Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300968.

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2020States of psychological anchors and price behavior of Japanese yen futures. (2020). Wang, Yu-Chun ; Lu, Yang-Cheng ; Lee, Yun-Huan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302912.

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2020Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?. (2020). Fong, Tom ; Wu, Shui Tang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300932.

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2020Positional momentum and liquidity management; a bivariate rank approach. (2020). Panahidargahloo, Akram. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302232.

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2020Stock prices, dividends, and structural changes in the long-term: The case of U.S.. (2020). Prats, María ; Navarro-Ibáñez, Manuel ; Navarro-Ibaez, Manuel ; Esteve, Vicente. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302633.

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2020News will tell: Forecasting foreign exchange rates based on news story events in the economy calendar. (2020). Peters, Wiebke ; Lessmann, Stefan ; Semiromi, Hamed Naderi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300784.

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2019Separate cointegration in a VAR system subject to structural breaks. (2019). Kurita, Takamitsu. In: Economics Letters. RePEc:eee:ecolet:v:179:y:2019:i:c:p:19-23.

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2019Cryptocurrencies and momentum. (2019). Sapkota, Niranjan ; Grobys, Klaus. In: Economics Letters. RePEc:eee:ecolet:v:180:y:2019:i:c:p:6-10.

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2020Commodity currencies and causality: Some high-frequency evidence. (2020). Ahmed, Rashad. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300422.

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2020Momentum trading in cryptocurrencies: Short-term returns and diversification benefits. (2020). Tsend-Ayush, Bayasgalan ; Kizys, Renatas ; Tzouvanas, Panagiotis. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519303647.

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2019How does FX liquidity affect the relationship between foreign ownership and stock liquidity?. (2019). Ryu, Doojin ; Lee, Jieun. In: Emerging Markets Review. RePEc:eee:ememar:v:39:y:2019:i:c:p:101-119.

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2019Exchange rate effects of US government shutdowns: Evidence from both developed and emerging markets. (2019). Phan, Dinh ; Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Sharma, Susan Sunila. In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:12.

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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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article53
2017When is foreign exchange intervention effective? Evidence from 33 countries.(2017) In: CEPR Discussion Papers.
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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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article450
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: 450
paper
2019Risky bank guarantees In: Temi di discussione (Economic working papers).
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paper0
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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paper53
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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This paper has another version. Agregated cites: 53
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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paper41
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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paper117
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 117
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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paper33
2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
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article
2003The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index In: Economic Notes.
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article13
2001Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation In: Economica.
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article1
2000Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation.(2000) In: CEPR Discussion Papers.
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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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article4
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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article0
2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
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article266
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
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paper
1998Savings-Investment Correlations: Transitory versus Permanent. In: The Manchester School of Economic & Social Studies.
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article11
1999European Capital Flows and Regional Risk In: Manchester School.
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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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2002 Short- 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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article9
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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article0
1997Estimating the Mean-Reverting Component in Stock Prices: A Cross-Country Comparison. In: Scottish Journal of Political Economy.
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article3
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.
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paper157
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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This paper has another version. Agregated cites: 157
article
2006Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2006) In: SIFR Research Report Series.
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paper
2007Exchange rate forecasting, order flow and macroeconomic information In: Working Paper.
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paper111
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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article
2008Does the law of one price hold in international financial markets? Evidence from tick data In: Working Paper.
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paper28
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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article
2015What do stock markets tell us about exchange rates? In: Bank of England working papers.
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paper31
2016What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance.
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article
2015What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers.
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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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article123
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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paper34
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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paper0
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: 0
paper
1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers.
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paper375
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: 375
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.
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paper583
2001Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles..(2001) In: International Economic Review.
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This paper has another version. Agregated cites: 583
article
2001Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers.
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paper213
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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paper73
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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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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paper13
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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paper155
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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paper182
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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paper56
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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2004Monetary Policy Rules, Asset Prices and Exchange Rates.(2004) In: CDMA Working Paper Series.
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2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers.
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paper76
2005Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics.
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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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paper23
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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paper
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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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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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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paper56
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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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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paper60
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: 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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paper39
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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paper111
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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paper99
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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paper100
2010Asset prices, exchange rates and the current account.(2010) In: European Economic Review.
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2007Asset prices, exchange rates and the current account.(2007) In: Working Paper Series.
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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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paper25
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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paper62
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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paper22
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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paper38
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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book415
2008Assessing the benefits of international portfolio diversification in bonds and stocks. In: Working Paper Series.
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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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paper30
2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
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2004The Term Structure Of Euromarket Interest Rates: Some New Evidence In: Royal Economic Society Annual Conference 2004.
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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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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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2017The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets.
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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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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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2016What drives international portfolio flows? In: Journal of International Money and Finance.
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1998Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K. In: Journal of Macroeconomics.
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1999Stochastic growth: Empirical evidence from the G7 countries In: Journal of Macroeconomics.
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2001Toward a new paradigm in open economy modeling: where do we stand? In: Review.
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2002How well do monetary fundamentals forecast exchange rates? In: Review.
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1999Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991. In: International Journal of Finance & Economics.
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2004International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum In: International Journal of Finance & Economics.
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2003Nonlinear Exchange Rate Models; A Selective Overview In: IMF Working Papers.
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2006Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle In: IMF Working Papers.
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2004Comparing the accuracy of density forecasts from competing models In: Journal of Forecasting.
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2002Comparing the Accuracy of Density Forecasts from Competing Models.(2002) In: Computing in Economics and Finance 2002.
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2009The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? In: Journal of Money, Credit and Banking.
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2009The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?.(2009) In: Journal of Money, Credit and Banking.
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2005New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market In: Money Macro and Finance (MMF) Research Group Conference 2005.
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