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Lucio Sarno · Study
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Author
Lucio Sarno
99 works
· latest 2023
· 14 institutions
cluster: provisional
ORCID 0000-0003-1279-9748
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99
Citations
15,328
Works here
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Most cited in this library
The Economics of Exchange Rates
2003 · 1,327 citations
Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles
2001 · 1,004 citations
Carry Trades and Global Foreign Exchange Volatility
2012 · 925 citations
The behavior of real exchange rates during the post-Bretton Woods period
1998 · 824 citations
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?
2001 · 797 citations
Works
60 shown
Currency Risk Premiums Redux
Review of Financial Studies
·
2023
·
3 authors
·
Open access
48
citations
Exchange Rates and Sovereign Risk
Management Science
·
2021
·
4 authors
·
Open access
108
citations
Foreign Exchange Volume
Review of Financial Studies
·
2021
·
4 authors
·
Open access
71
citations
Business cycles and currency returns
Journal of Financial Economics
·
2020
·
3 authors
·
Open access
100
citations
Risky bank guarantees
Journal of Financial Economics
·
2019
·
3 authors
·
Open access
44
citations
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries
American Economic Journal Macroeconomics
·
2019
·
5 authors
·
Open access
149
citations
The market for lemmings: The herding behavior of pension funds
Journal of Financial Markets
·
2017
·
3 authors
·
Open access
59
citations
Currency Value
Review of Financial Studies
·
2016
·
4 authors
·
Open access
149
citations
Currency Premia and Global Imbalances
Review of Financial Studies
·
2016
·
3 authors
208
citations
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades
The Journal of Finance
·
2016
·
4 authors
·
Open access
124
citations
Volatility risk premia and exchange rate predictability
Journal of Financial Economics
·
2016
·
3 authors
·
Open access
192
citations
The economic value of predicting bond risk premia
Journal of Empirical Finance
·
2016
·
3 authors
·
Open access
79
citations
What Do Stock Markets Tell Us about Exchange Rates?
European Finance Review
·
2015
·
4 authors
·
Open access
70
citations
What drives international portfolio flows?
Journal of International Money and Finance
·
2015
·
3 authors
110
citations
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries
SSRN Electronic Journal
·
2015
·
5 authors
·
preprint
·
Open access
102
citations
Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective
Journal of money credit and banking
·
2014
·
2 authors
·
Open access
72
citations
Foreign exchange risk and the predictability of carry trade returns
Journal of Banking & Finance
·
2014
·
3 authors
67
citations
Currency momentum strategies
Journal of Financial Economics
·
2012
·
4 authors
534
citations
Purchasing Power Parity in Tradable Goods
·
2012
·
3 authors
·
other
18
citations
Carry Trades and Global Foreign Exchange Volatility
The Journal of Finance
·
2012
·
4 authors
925
citations
The predictive information content of external imbalances for exchange rate returns: How much is it worth?
City Research Online (City University London)
·
2012
·
3 authors
·
Open access
95
citations
How the Subprime Crisis went global: Evidence from bank credit default swap spreads
Journal of International Money and Finance
·
2012
·
4 authors
245
citations
The Scapegoat Theory of Exchange Rates: The First Tests
Journal of Monetary Economics
·
2012
·
3 authors
·
Open access
295
citations
Handbook of exchange rates
·
2012
·
3 authors
31
citations
Global liquidity risk in the foreign exchange market
Journal of International Money and Finance
·
2011
·
3 authors
89
citations
Spot and forward volatility in foreign exchange
Journal of Financial Economics
·
2011
·
3 authors
84
citations
Currency Momentum Strategies
SSRN Electronic Journal
·
2011
·
4 authors
·
preprint
·
Open access
47
citations
Currency Momentum Strategies
SSRN Electronic Journal
·
2011
·
4 authors
·
preprint
·
Open access
38
citations
Timing exchange rates using order flow: The case of the Loonie
Journal of Banking & Finance
·
2010
·
3 authors
·
Open access
47
citations
A century of equity premium predictability and the consumption–wealth ratio: An international perspective
Journal of Empirical Finance
·
2009
·
3 authors
40
citations
Exchange Rates and Fundamentals: Footloose or Evolving Relationship?
Journal of the European Economic Association
·
2009
·
2 authors
·
Open access
154
citations
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads
National Bureau of Economic Research
·
2009
·
3 authors
·
report
·
Open access
94
citations
Exchange rate forecasting, order flow and macroeconomic information
Journal of International Economics
·
2009
·
3 authors
281
citations
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?
Journal of money credit and banking
·
2009
·
2 authors
·
Open access
37
citations
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads
SSRN Electronic Journal
·
2009
·
3 authors
·
preprint
·
Open access
67
citations
Does the law of one price hold in international financial markets? Evidence from tick data
Journal of Banking & Finance
·
2008
·
3 authors
54
citations
Arbitrage in the foreign exchange market: Turning on the microscope
Journal of International Economics
·
2008
·
3 authors
341
citations
An Economic Evaluation of Empirical Exchange Rate Models
Review of Financial Studies
·
2008
·
3 authors
·
Open access
265
citations
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value☆
Journal of Financial Economics
·
2008
·
3 authors
·
Open access
113
citations
Asset Prices, Exchange Rates and the Current Account
European Economic Review
·
2008
·
3 authors
·
Open access
139
citations
Exchange Rate Forecasting, Order Flow and Macroeconomic Information
SSRN Electronic Journal
·
2008
·
3 authors
·
preprint
·
Open access
32
citations
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
Journal of Financial and Quantitative Analysis
·
2007
·
3 authors
138
citations
A cross-country financial accelerator: Evidence from North America and Europe
Journal of International Money and Finance
·
2006
·
3 authors
·
Open access
20
citations
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?
Journal of Banking & Finance
·
2006
·
2 authors
112
citations
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
RePEc: Research Papers in Economics
·
2006
·
3 authors
·
preprint
86
citations
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates*
The Journal of Business
·
2006
·
4 authors
·
Open access
122
citations
Arbitrage in the Foreign Exchange Market: Turning on the Microscope
SSRN Electronic Journal
·
2006
·
3 authors
·
preprint
·
Open access
161
citations
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
European Finance Review
·
2006
·
3 authors
·
Open access
133
citations
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?
Canadian Journal of Economics/Revue canadienne d économique
·
2005
·
1 author
273
citations
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers
Journal of Applied Econometrics
·
2005
·
2 authors
·
Open access
82
citations
Towards a solution to the puzzles in exchange rate economics: where do we stand?
RePEc: Research Papers in Economics
·
2005
·
1 author
·
preprint
·
Open access
121
citations
Empirical exchange rate models and currency risk: some evidence from density forecasts
Journal of International Money and Finance
·
2005
·
2 authors
·
Open access
76
citations
Exchange rates and fundamentals: evidence on the economic value of predictability
Journal of International Economics
·
2004
·
3 authors
·
Open access
141
citations
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
Economic Inquiry
·
2004
·
3 authors
·
Open access
59
citations
Monetary Policy Rules, Asset Prices, and Exchange Rates
IMF Staff Papers
·
2004
·
3 authors
·
Open access
135
citations
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum
International Journal of Finance & Economics
·
2004
·
2 authors
32
citations
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability
Warwick Research Archive Portal (University of Warwick)
·
2004
·
3 authors
·
report
25
citations
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study
Journal of International Money and Finance
·
2003
·
3 authors
·
Open access
243
citations
The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index
Economic Notes
·
2003
·
2 authors
17
citations
An empirical investigation of asset price bubbles in Latin American emerging financial markets
Applied Financial Economics
·
2003
·
2 authors
42
citations