Lucio Sarno : Citation Profile

Are you Lucio Sarno?

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

42

H index

73

i10 index

7839

Citations

RESEARCH PRODUCTION:

95

Articles

93

Papers

1

Books

1

Chapters

EDITOR:

3

Books edited

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 313
   Journals where Lucio Sarno has often published
   Relations with other researchers
   Recent citing documents: 468.    Total self citations: 104 (1.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psa95
   Updated: 2023-05-27    RAS profile: 2023-04-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Menkhoff, Lukas (6)

Fratzscher, Marcel (4)

Delis, Manthos (3)

Heidland, Tobias (3)

Zinna, Gabriele (3)

Schmeling, Maik (3)

Colliard, Jean-Edouard (2)

Politsidis, Panagiotis (2)

Park, Andreas (2)

van Kervel, Vincent (2)

Scaillet, Olivier (2)

Frömmel, Michael (2)

Tonks, Ian (2)

Hjalmarsson, Erik (2)

Ranaldo, Angelo (2)

Prokopczuk, Marcel (2)

Pelizzon, Loriana (2)

Smales, Lee (2)

Frijns, Bart (2)

Verousis, Thanos (2)

Korajczyk, Robert (2)

Ait-Sahalia, Yacine (2)

Ødegaard, Bernt (2)

Patel, Vinay (2)

Caporin, Massimiliano (2)

Taylor, Nick (2)

Kassner, Bernhard (2)

Dumitrescu, Ariadna (2)

Wolff, Christian (2)

Lof, Matthijs (2)

Hautsch, Nikolaus (2)

Brownlees, Christian (2)

Rakowski, David (2)

Bouri, Elie (2)

Harris, Jeffrey (2)

PASCUAL, ROBERTO (2)

Patton, Andrew (2)

Dimpfl, Thomas (2)

Gerritsen, Dirk (2)

Renault, Thomas (2)

Abudy, Menachem (2)

Talavera, Oleksandr (2)

Mihet, Roxana (2)

Lopez-Lira, Alejandro (2)

Schuerhoff, Norman (2)

Dreber, Anna (2)

Menkveld, Albert (2)

Putnins, Talis (2)

CAPELLE-BLANCARD, Gunther (2)

Schenk-Hoppé, Klaus (2)

Mäkinen, Taneli (2)

Liew, Chee (2)

Adrian, Tobias (2)

Jurkatis, Simon (2)

Rinne, Kalle (2)

Hurlin, Christophe (2)

Reitz, Stefan (2)

LINTON, OLIVER (2)

Gorbenko, Arseny (2)

Nielsson, Ulf (2)

Stefanova, Denitsa (2)

Vogel, Sebastian (2)

Kearney, Fearghal (2)

Horenstein, Alex (2)

Foucault, Thierry (2)

Walther, Thomas (2)

Schwarz, Marco (2)

Pastor, Lubos (2)

Xia, Shuo (2)

Davies, Ryan (2)

Gloede, Oliver (2)

Palan, Stefan (2)

Jalkh, Naji (2)

Pasquariello, Paolo (2)

Wong, Wing-Keung (2)

Theissen, Erik (2)

Deev, Oleg (2)

Moinas, Sophie (2)

FERROUHI, EL MEHDI (2)

He, Xuezhong (Tony) (2)

Zhou, Chen (2)

Chernov, Mikhail (2)

Xiu, Dacheng (2)

Vilkov, Grigory (2)

Ferrara, Gerardo (2)

Chow, Nikolai Sheung-Chi (2)

Heath, Davidson (2)

Sojli, Elvira (2)

Wilhelmsson, Anders (2)

Gehrig, Thomas (2)

Regis, Luca (2)

Alexeev, Vitali (2)

Holzmeister, Felix (2)

Roy, Saurabh (2)

Bos, Charles (2)

Bohorquez Correa, Santiago (2)

Lajaunie, Quentin (2)

Johannesson, Magnus (2)

Deku, Solomon (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 (156)

Taylor, Mark (134)

Chang, Tsangyao (118)

Menkhoff, Lukas (111)

Claessens, Stijn (96)

Kose, Ayhan (96)

Czudaj, Robert (80)

MacDonald, Ronald (67)

Peel, David (57)

Reitz, Stefan (57)

Bahmani-Oskooee, Mohsen (50)

Cites to:

Taylor, Mark (143)

Rogoff, Kenneth (120)

Obstfeld, Maurice (99)

Campbell, John (65)

Engel, Charles (64)

Clarida, Richard (60)

Bekaert, Geert (59)

West, Kenneth (47)

Verdelhan, Adrien (47)

Hodrick, Robert (46)

Shiller, Robert (44)

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 Banking & Finance6
Journal of International Economics5
Review of Financial Studies4
Journal of Futures Markets4
Economics Letters3
Journal of Money, Credit and Banking3
Review3
International Journal of Finance & Economics3
Journal of Money, Credit and Banking2
Review of Finance2
Journal of Finance2
Journal of Macroeconomics2
IMF Staff Papers2
Journal of Empirical Finance2
Oxford Bulletin of Economics and Statistics2
Review of World Economics (Weltwirtschaftliches Archiv)2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers40
Working Papers / Federal Reserve Bank of St. Louis8
Working Paper series / Rimini Centre for Economic Analysis4
MPRA Paper / University Library of Munich, Germany3
Working Paper Series / European Central Bank3
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research3
NBER Working Papers / National Bureau of Economic Research, Inc3
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
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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021The Impact of Foreign Shocks on the Polish Economy. (2021). Sznajderska, Anna. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:310284.

Full description at Econpapers || Download paper

2022Leaning-against-the-wind Intervention and the “Carry-Trade” View of the Cost of Reserves. (2022). Gomez, Juna Francisco ; Levyyeyati, Eduardo. In: Working Papers. RePEc:aoz:wpaper:163.

Full description at Econpapers || Download paper

2022Synchronization 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

Full description at Econpapers || Download paper

2023Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2023). M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Papers. RePEc:arx:papers:2303.16149.

Full description at Econpapers || Download paper

2023Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data. (2023). Sadaba, Barbara ; Pozzi, Lorenzo. In: Staff Working Papers. RePEc:bca:bocawp:23-4.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Lending Relationships and Currency Hedging. (2022). Araujo, Gustavo ; Oliveira, Raquel F ; Schiozer, Rafael ; Leo, Sergio . In: Working Papers Series. RePEc:bcb:wpaper:565.

Full description at Econpapers || Download paper

2022The impact of sovereign tensions on bank lending: identifying the channels at work. (2022). Sabatini, Fabiana. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1397_22.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Oral FX Interventions in Emerging Markets: the Colombian case. (2022). Sanchez-Jabba, Andres ; Parra-Polanía, Julián ; Sarmiento, Miguel ; Sanchez -Jabba, Andres ; Parra-Polania, Julian A. In: Borradores de Economia. RePEc:bdr:borrec:1194.

Full description at Econpapers || Download paper

2022Monetary Policy and Portfolio Flows in an Emerging Market Economy. (2022). López, Martha ; Sarmiento, Miguel ; Rodriguez-Nio, Norberto ; Lopez-Pieros, Martha. In: Borradores de Economia. RePEc:bdr:borrec:1200.

Full description at Econpapers || Download paper

2022The Expected Effects of Climate Change on Colombia’s Current Account. (2022). Sanchez-Jabba, Andres ; Agudelo-Rivera, Camila ; Granger-Castao, Clark ; Sanchez -Jabba, Andres . In: Borradores de Economia. RePEc:bdr:borrec:1214.

Full description at Econpapers || Download paper

2023Do Actions Speak Louder than Words? A Foreign Exchange Intervention Analysis. (2023). Villamizar-Villegas, mauricio ; Pinzon-Puerto, Freddy A. In: Borradores de Economia. RePEc:bdr:borrec:1223.

Full description at Econpapers || Download paper

2022Impacto macroeconómico del cambio climático en Colombia. (2022). Toro-Córdoba, Jorge Hernán ; Sanchez-Jabba, Andres ; Ramos-Forero, Jorge ; Pulido, Jose ; Parra-Amado, Daniel ; Osorio-Rodriguez, Daniel ; Ojeda-Joya, Jair ; Granger, Clark ; Bernal, Joaquin ; Clavijo-Ramirez, Felipe ; Agudelo-Rivera, Camila ; Toro-Cordoba, Jorge ; Bernal-Ramirez, Joaquin ; Rodriguez-Novoa, Daniela ; Granger-Castao, Clark ; Durana-Angel, Carolina. In: Ensayos sobre Política Económica. RePEc:bdr:ensayo:y:2022:i:102:p:1-62.

Full description at Econpapers || Download 2021

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Emerging market bond flows and exchange rate returns. (2022). Valente, Giorgio ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:1042.

Full description at Econpapers || Download paper

2022FX Intervention to Stabilize or Manipulate the Exchange Rate? Inference from Profitability. (2022). Sandri, Damiano. In: BIS Working Papers. RePEc:bis:biswps:1059.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021The nonlinear causal relationship between short? and long?term interest rates: An empirical assessment of the United States, the United Kingdom, and Japan. (2021). Su, Yang ; Li, Huiqing. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:3:p:332-355.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Factor Momentum and the Momentum Factor. (2022). Linnainmaa, Juhani T ; Ehsani, Sina. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1877-1919.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022FX option volume. (2022). Wang, Tianyu ; Huang, Shiyang ; Della Corte, Pasquale ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0964.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022THE LAW OF ONE PRICE, BORDERS AND PURCHASING POWER PARITY. (2022). Pippenger, John. In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt5b17d1dr.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Can Time-Varying Currency Risk Hedging Explain Exchange Rates?. (2022). Hau, Harald ; Brauer, Leonie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10065.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Financial, Institutional, and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows. (2022). Afonso, Antonio ; Jackson, Karen ; Beck, Krzysztof ; Alves, Jose. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9872.

Full description at Econpapers || Download paper

2022Trading with the Informed and against the Uninformed: Flows and Positioning in the Global Currency Market. (2022). Melvin, Michael ; Giovanardi, Davide ; Franolic, Rob ; Barrios, Aldo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9921.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Leaning-against-the-wind Intervention and the “carry-trade” View of the Cost of Reserves. (2022). Gomez, Juan Francisco ; Yeyati, Eduardo Levy. In: CID Working Papers. RePEc:cid:wpfacu:419.

Full description at Econpapers || Download paper

2022Impacto macroeconómico del cambio climático en Colombia. (2022). Parra-Amado, Daniel ; Osorio-Rodriguez, Daniel ; Ojeda-Joya, Jair ; Granger, Clark ; Bernal, Joaquin ; Clavijo-Ramirez, Felipe ; Agudelo-Rivera, Camila ; Bernal-Ramirez, Joaquin ; Granger-Castao, Clark ; Durana-Angel, Carolina. In: Revista ESPE - Ensayos Sobre Política Económica. RePEc:col:000107:020296.

Full description at Econpapers || Download paper

2021Currency Anomalies. (2021). Bartram, Söhnke ; Garratt, Anthony ; Djuranovik, Leslie . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15653.

Full description at Econpapers || Download paper

2021Forecasting the U.S. Dollar in the 21st Century. (2021). Wu, Steve Pak Yeung ; Engel, Charles. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15915.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Effectiveness of Central Bank Swap Lines in Alleviating the Mispricing of FX Swaps at the Start of the COVID-19 Pandemic. (2022). Schellekens, Kai ; Duijm, Patty. In: Working Papers. RePEc:dnb:dnbwpp:752.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021The corporate saving glut and the current account in Germany. (2021). Mayer, Eric ; Klug, Thorsten ; Schuler, Tobias. In: Working Paper Series. RePEc:ecb:ecbwps:20212586.

Full description at Econpapers || Download paper

2022Boosting carry with equilibrium exchange rate estimates. (2022). Kwas, Marek ; Ca, Michele ; Michele Ca, ; Beckmann, Joscha ; Rubaszek, Micha. In: Working Paper Series. RePEc:ecb:ecbwps:20222731.

Full description at Econpapers || Download paper

2022Brexit, what Brexit? Euro area portfolio exposures to the United Kingdom since the Brexit referendum. (2022). Schmitz, Martin ; Carvalho, Daniel. In: Working Paper Series. RePEc:ecb:ecbwps:20222734.

Full description at Econpapers || Download paper

2022It’s not time to make a change: sovereign fragility and the corporate credit risk. (2022). Zaghini, Andrea ; Fornari, Fabio. In: Working Paper Series. RePEc:ecb:ecbwps:20222740.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Oil Price Fluctuation and Current Accounts: Exploring Mediation Effects for Oil Importing Nations. (2021). Rashid, Abdul ; Haq, Miraj ul ; Bibi, Salma. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-03-63.

Full description at Econpapers || Download paper

202150 years of capital mobility in the Eurozone: breaking the Feldstein-Horioka Puzzle. (2021). Muoz, Alejandro ; Camarero, Mariam ; Tamarit, Cecilio. In: Working Papers. RePEc:eec:wpaper:2102.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Global momentum: The optimal trading approach. (2022). Muradoglu, Yaz ; Tsitsianis, Nicholas ; Muradolu, Yaz Gulnur ; Wouassom, Alain. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:36:y:2022:i:c:s2214635022000788.

Full description at Econpapers || Download paper

2021Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach. (2021). Santi, Caterina ; Chan, Joshua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000361.

Full description at Econpapers || Download paper

2021A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts. (2021). Kurita, Takamitsu ; Castle, Jennifer L. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000749.

Full description at Econpapers || Download paper

2021Nonlinear effect of sentiment on momentum. (2021). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001883.

Full description at Econpapers || Download paper

2022Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154.

Full description at Econpapers || Download paper

2022Momentum and the Cross-section of Stock Volatility. (2022). Liu, Jiadong ; Kearney, Fearghal ; Fan, Minyou. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002287.

Full description at Econpapers || Download paper

2022Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions. (2022). Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide ; Gardini, Laura ; Westerhoff, Frank. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002482.

Full description at Econpapers || Download paper

2022Why exchange rate pass-through matters in forward exchange markets. (2022). Choi, Kwan E. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000414.

Full description at Econpapers || Download paper

2022Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602.

Full description at Econpapers || Download paper

2022Output determination and autonomous demand multipliers: An empirical investigation for the US economy. (2022). Deleidi, Matteo ; Barbieri, Maria Cristina. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002449.

Full description at Econpapers || Download paper

2022Exchange rate predictability, risk premiums, and predictive system. (2022). Park, Cheolbeom ; Bak, Yuhyeon. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002632.

Full description at Econpapers || Download paper

2022Introducing house prices to the intertemporal current account model: An application to the European Union. (2022). Irina-Marilena, Ban. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s026499932200298x.

Full description at Econpapers || Download paper

2023How many fundamentals should we include in the behavioral equilibrium exchange rate model?. (2023). Rubaszek, Michał ; Ca, Michele. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s026499932200308x.

Full description at Econpapers || Download paper

2023Global uncertainty shocks and exchange-rate expectations in Latin America. (2023). Romero, José ; Ojeda-Joya, Jair. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004229.

Full description at Econpapers || Download paper

2021The effect of information frictions on FDI persistence. (2021). Khraiche, Maroula ; de Araujo, Pedro. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:14-27.

Full description at Econpapers || Download paper

2021Winners and losers of central bank foreign exchange interventions. (2021). Viziniuc, Mdlin. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:748-767.

Full description at Econpapers || Download paper

2021Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function. (2021). Frömmel, Michael ; Midili, Murat ; Frommel, Michael. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:461-476.

Full description at Econpapers || Download paper

2021Facing up to the polysemy of purchasing power parity: New international evidence. (2021). Chen, Shyh-Wei ; Xie, Zixiong ; Hsieh, Chun-Kuei . In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:247-265.

Full description at Econpapers || Download paper

2021Analysis of asymmetric response of exchange rate to interest rate differentials: The case of African Big 4. (2021). Salisu, Afees ; Musa, Abdullahi ; Mevweroso, Chioma R ; Aliyu, Victoria O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302072.

Full description at Econpapers || Download paper

2021Herding in Open-end Funds: Evidence from China. (2021). Li, Shouwei ; Wang, HU ; Ma, Yuyin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000516.

Full description at Econpapers || Download paper

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

Lucio Sarno has edited the books:

YearTitleTypeCited

Works by Lucio Sarno:

YearTitleTypeCited
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article93
2017When is foreign exchange intervention effective? Evidence from 33 countries.(2017) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 93		paper
2015When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2015) In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 93		paper
2019When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries.(2019) In: EconStor Open Access Articles and Book Chapters.
[Citation analysis]
This paper has another version. Agregated cites: 93		article
2001Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? In: Journal of Economic Literature.
[Full Text][Citation analysis]		article614
2001Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?.(2001) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 614		paper
2019Risky bank guarantees In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper5
2019Risky Bank Guarantees.(2019) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2020Risky bank guarantees.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2014The scapegoat theory of exchange rates: the first tests In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper61
2012The Scapegoat Theory of Exchange Rates: The First Tests.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
2013The Scapegoat Theory of Exchange Rates: The First Tests.(2013) In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
2012The scapegoat theory of exchange rates: the first tests.(2012) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
2015The scapegoat theory of exchange rates: the first tests.(2015) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		article
2011The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? In: Working papers.
[Full Text][Citation analysis]		paper57
2010The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?.(2010) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		article
2011Currency Momentum Strategies In: BIS Working Papers.
[Full Text][Citation analysis]		paper194
2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 194		paper
2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 194		article
2012Currency Momentum Strategies.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 194		paper
2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
[Full Text][Citation analysis]		paper60
2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		article
2001Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation In: Economica.
[Full Text][Citation analysis]		article4
2000Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation.(2000) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2004Time?Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article2
2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
[Full Text][Citation analysis]		article366
2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 366		paper
1998Savings-Investment Correlations: Transitory versus Permanent. In: The Manchester School of Economic & Social Studies.
[Citation analysis]		article27
1999European Capital Flows and Regional Risk In: Manchester School.
[Full Text][Citation analysis]		article9
2002Short? and long?run price level uncertainty under different monetary policy regimes: an international comparison In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article7
2007Whats Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2002Whats unique about the federal funds rate? evidence from a spectral perspective.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
1997Estimating the Mean?reverting Component in Stock Prices: A Cross?country comparison In: Scottish Journal of Political Economy.
[Full Text][Citation analysis]		article1
2005Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 In: Working Paper.
[Full Text][Citation analysis]		paper2
.() In: .
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		chapter
2005Arbitrage in the foreign exchange market: Turning on the microscope In: Working Paper.
[Full Text][Citation analysis]		paper192
2008Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2008) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 192		paper
2008Arbitrage in the foreign exchange market: Turning on the microscope.(2008) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 192		article
2006Arbitrage in the Foreign Exchange Market: Turning on the Microscope.(2006) In: SIFR Research Report Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 192		paper
2007Exchange rate forecasting, order flow and macroeconomic information In: Working Paper.
[Full Text][Citation analysis]		paper139
2009Exchange Rate Forecasting, Order Flow and Macroeconomic Information.(2009) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139		paper
2010Exchange rate forecasting, order flow and macroeconomic information.(2010) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139		article
2008Does the law of one price hold in international financial markets? Evidence from tick data In: Working Paper.
[Full Text][Citation analysis]		paper33
2009Does the law of one price hold in international financial markets? Evidence from tick data.(2009) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33		article
2015What do stock markets tell us about exchange rates? In: Bank of England working papers.
[Full Text][Citation analysis]		paper47
2015What Do Stock Markets Tell Us About Exchange Rates?.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		paper
2016What Do Stock Markets Tell Us about Exchange Rates?.(2016) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		article
2004Monetary policy and learning in an open economy In: Research Discussion Papers.
[Full Text][Citation analysis]		paper15
2001Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article36
2005Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article153
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 153		article
2016Currency Premia and Global Imbalances In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper70
2016Currency Premia and Global Imbalances.(2016) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		article
2015Currency Premia and Global Imbalances.(2015) In: 2015 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70		paper
2016Currency Value In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2017Currency Value.(2017) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2019Business Cycles and Currency Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper18
2020Business cycles and currency returns.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		article
2019Business Cycles and Currency Returns.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
1997The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper441
1998The behavior of real exchange rates during the post-Bretton Woods period.(1998) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 441		article
1999The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper8
2001Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper729
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: 729		article
2001Purchasing Power Parity and the Real Exchange Rate In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper285
2002Purchasing Power Parity and the Real Exchange Rate.(2002) In: IMF Staff Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 285		article
2002The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper83
2003The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation.(2003) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83		article
2002The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83		paper
2002Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper14
2003 Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997..(2003) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 14		article
2002The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper173
2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond.(2003) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 173		article
2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 173		paper
2002Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper196
2004Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study.(2004) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 196		article
2003Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper59
2004Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 59		article
2003Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.(2003) In: Computing in Economics and Finance 2003.
[Citation analysis]
This paper has another version. Agregated cites: 59		paper
2003Monetary Policy Rules, Asset Prices and Exchange Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper114
2004Monetary Policy Rules, Asset Prices, and Exchange Rates.(2004) In: IMF Staff Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 114		article
2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper88
2005Exchange rates and fundamentals: evidence on the economic value of predictability.(2005) In: Journal of International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88		article
2004Asset Prices and International Spillovers: An Empirical Investigation In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2004Federal Funds Rate Prediction In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper27
2003Federal Funds Rate Prediction.(2003) In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2004Federal funds rate prediction.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2005Federal Funds Rate Prediction..(2005) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 27		article
2004Caution or Activism? Monetary Policy Strategies in an Open Economy In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2007CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY.(2007) In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2007Caution or Activism? Monetary Policy Strategies in an Open Economy.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2006Caution or Activism? Monetary Policy Strategies in an Open Economy.(2006) In: Computing in Economics and Finance 2006.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2005The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper63
2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.(2006) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		article
2005A Cross-Country Financial Accelerator: Evidence from North America and Europe In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper12
2007A cross-country financial accelerator: Evidence from North America and Europe.(2007) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper76
2007The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.(2007) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		article
2005The empirical failure of the expectations hypothesis of the term structure of bond yields.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		paper
2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper116
2006Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: IMF Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 116		paper
2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.(2006) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 116		article
2007The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper51
2008The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value.(2008) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		article
2007The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
2007An Economic Evaluation of Empirical Exchange Rate Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper138
2009An Economic Evaluation of Empirical Exchange Rate Models.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 138		article
2008Exchange Rates and Fundamentals: Footloose or Evolving Relationship? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper123
2009Exchange Rates and Fundamentals: Footloose or Evolving Relationship?.(2009) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 123		article
2009Asset Prices, Exchange Rates and the Current Account In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper115
2007Asset prices, exchange rates and the current account.(2007) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 115		paper
2010Asset prices, exchange rates and the current account.(2010) In: European Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 115		article
2008Asset prices, exchange rates and the current account.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 115		paper
2010Spot and Forward Volatility in Foreign Exchange In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper33
2011Spot and forward volatility in foreign exchange.(2011) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33		article
2011Properties of Foreign Exchange Risk Premiums In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper74
2012Properties of foreign exchange risk premiums.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		article
2012Properties of Foreign Exchange Risk Premiums.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		paper
2013Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper39
2014Which Fundamentals Drive Exchange Rates? A Cross?Sectional Perspective.(2014) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		article
2013Volatility Risk Premia and Exchange Rate Predictability In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper68
2016Volatility risk premia and exchange rate predictability.(2016) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68		article
2003The Economics of Exchange Rates In: Cambridge Books.
[Citation analysis]		book912
2020Foreign Exchange Intervention: A New Database In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]		paper0
2020Foreign exchange intervention: A new database.(2020) In: Kiel Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2008Assessing the benefits of international portfolio diversification in bonds and stocks. In: Working Paper Series.
[Full Text][Citation analysis]		paper6
2002Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers In: Royal Economic Society Annual Conference 2002.
[Full Text][Citation analysis]		paper40
2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		article
2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		article
2004The Term Structure Of Euromarket Interest Rates: Some New Evidence In: Royal Economic Society Annual Conference 2004.
[Full Text][Citation analysis]		paper0
1999Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation In: Journal of Development Economics.
[Full Text][Citation analysis]		article131
1998Real exchange rates under the recent float: unequivocal evidence of mean reversion In: Economics Letters.
[Full Text][Citation analysis]		article110
2000Real exchange rate behavior in the Middle East: a re-examination In: Economics Letters.
[Full Text][Citation analysis]		article56
2001The behavior of US public debt: a nonlinear perspective In: Economics Letters.
[Full Text][Citation analysis]		article41
2010A century of equity premium predictability and the consumption-wealth ratio: An international perspective In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article23
2016The economic value of predicting bond risk premia In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article26
2017The market for lemmings: The herding behavior of pension funds In: Journal of Financial Markets.
[Full Text][Citation analysis]		article24
2022The cost of foreign-currency lending In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2022The cost of foreign-currency lending.(2022) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2006Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article76
2010Timing exchange rates using order flow: The case of the Loonie In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article35
2014Foreign exchange risk and the predictability of carry trade returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article46
2014Foreign Exchange Risk and the Predictability of Carry Trade Returns.(2014) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		paper
1999Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article80
2005Empirical exchange rate models and currency risk: some evidence from density forecasts In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article28
2012Global liquidity risk in the foreign exchange market In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article42
2012How the Subprime Crisis went global: Evidence from bank credit default swap spreads In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article195
2009How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 195		paper
2016What drives international portfolio flows? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article53
2015What Drives International Portfolio Flows?.(2015) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53		paper
1998Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K. In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article35
1999Stochastic growth: Empirical evidence from the G7 countries In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article1
2001Toward a new paradigm in open economy modeling: where do we stand? In: Review.
[Full Text][Citation analysis]		article6
2002How well do monetary fundamentals forecast exchange rates? In: Review.
[Full Text][Citation analysis]		article59
2002How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 59		paper
2004The efficient market hypothesis and identification in structural VARs In: Review.
[Full Text][Citation analysis]		article6
2003The efficient market hypothesis and identification in structural VARs.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2006Special issue on advances in international money, macro and finance In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article0
1999Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991. In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article27
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.
[Full Text][Citation analysis]		article25
2003Nonlinear Exchange Rate Models: A Selective Overview In: IMF Working Papers.
[Full Text][Citation analysis]		paper18
2003Nonlinear Exchange Rate Models: A Selective Overview.(2003) In: Rivista di Politica Economica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		article
2004Comparing the accuracy of density forecasts from competing models In: Journal of Forecasting.
[Full Text][Citation analysis]		article18
2002Comparing the Accuracy of Density Forecasts from Competing Models.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has another version. Agregated cites: 18		paper
2009The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? In: Journal of Money, Credit and Banking.
[Citation analysis]		article39
2009The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?.(2009) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		article
2005New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market In: Money Macro and Finance (MMF) Research Group Conference 2005.
[Full Text][Citation analysis]		paper2
2006New evidence on the forward unbiasedness hypothesis in the foreign?exchange market.(2006) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2022Foreign Exchange Volume In: Review of Financial Studies.
[Full Text][Citation analysis]		article3
1997Capital Flows to Developing Countries: Long- and Short-Term Determinants. In: The World Bank Economic Review.
[Citation analysis]		article149
2009Carry Trades and Global FX Volatility In: MPRA Paper.
[Full Text][Citation analysis]		paper4
2010Properties of Foreign Exchange Risk Premia In: MPRA Paper.
[Full Text][Citation analysis]		paper3
2018Foreign currency lending In: MPRA Paper.
[Full Text][Citation analysis]		paper2
1999Composantes permanente et transitoire de lépargne et de linvestissement : une étude empirique des flux internationaux de capitaux au Japon In: Économie et Prévision.
[Full Text][Citation analysis]		article0
2000Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis In: Empirical Economics.
[Full Text][Citation analysis]		article11
1998Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation In: Review of World Economics (Weltwirtschaftliches Archiv).
[Full Text][Citation analysis]		article26
2000Systematic sampling and real exchange rates In: Review of World Economics (Weltwirtschaftliches Archiv).
[Full Text][Citation analysis]		article11
2000Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 In: Applied Economics Letters.
[Full Text][Citation analysis]		article22
2003An empirical investigation of asset price bubbles in Latin American emerging financial markets In: Applied Financial Economics.
[Full Text][Citation analysis]		article36
1997Exchange rate and interest rate volatility in the European Monetary System: some further results In: Applied Financial Economics.
[Full Text][Citation analysis]		article2
1997Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity In: Applied Economics.
[Full Text][Citation analysis]		article8
1999The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence In: Journal of Futures Markets.
[Full Text][Citation analysis]		article5
2000The cost of carry model and regime shifts in stock index futures markets: An empirical investigation In: Journal of Futures Markets.
[Full Text][Citation analysis]		article17
2002Mean reversion in stock index futures markets: A nonlinear analysis In: Journal of Futures Markets.
[Full Text][Citation analysis]		article14
2004Speculative Bubbles in U.K. House Prices: Some New Evidence In: Southern Economic Journal.
[Full Text][Citation analysis]		article2
2004Monetary policy and learning in an open economy In: Macroeconomics.
[Full Text][Citation analysis]		paper10
.() In: .
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated April, 29 2023. Contact: CitEc Team