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Number of items: 63.
Sarno, Lucio, Schneider, Paul and Wagner, Christian (2012) Properties of foreign exchange risk premiums. Journal of Financial Economics, Vol.105 (No.2). pp. 279-310. doi:10.1016/j.jfineco.2012.01.005 ISSN 0304-405X.
Della Corte, Pasquale and Tsiakas, Ilias (2012) Statistical and economic methods for evaluating exchange rate predictability. In: James, J. and Sarno, Lucio and Marsh, I.W., (eds.) Handbook of exchange rates. Wiley Handbooks in Financial Engineering and Econometrics (Chapter 8). Wiley-Blackwell Publishing Ltd., pp. 239-283. ISBN 978-0-470-76883-9
Della Corte, Pasquale, Sarno, Lucio and Sestieri, Giulia (2012) The predictive information content of external imbalances for exchange rate returns : how much is it worth? Review of Economics and Statistics, Vol.94 (No.1). pp. 100-115. doi:10.1162/REST_a_00157 ISSN 0034-6535.
Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias (2011) Spot and forward volatility in foreign exchange. Journal of Financial Economics, Volume 100 (Number 3). pp. 496-513. doi:10.1016/j.jfineco.2011.01.007 ISSN 0304-405X.
Della Corte, Pasquale, Sarno, Lucio and Valente, Giorgio (2010) A century of equity premium predictability and the consumption-wealth ratio: an international perspective. Journal of Empirical Finance, Vol.17 (No.3). pp. 313-331. doi:10.1016/j.jempfin.2009.10.003 ISSN 0927-5398.
Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias (2009) An economic evaluation of empirical exchange rate models. Review of Financial Studies, Vol.22 (No.9). pp. 3491-3530. doi:10.1093/rfs/hhn058 ISSN 0893-9454.
Sarno, Lucio, Thornton, Daniel L. and Valente, Giorgio (2009) The empirical failure of the expectations hypothesis of the term structure of bond yields. Journal of Financial and Quantitative Analysis, Vol.47 (No.1). pp. 81-100. doi:10.1017/S0022109000002192 ISSN 0022-1090.
Akram, Qaisar Farooq, Rime, Dagfinn and Sarno, Lucio (2008) Arbitrage in the foreign exchange market : turning on the microscope. Journal of International Economics, Vol.76 (No.2). pp. 237-253. doi:10.1016/j.jinteco.2008.07.004 ISSN 0022-1996.
Della Corte, Pasquale, Sarno, Lucio and Thornton, Daniel L. (2008) The expectation hypothesis of the term structure of very short-term rates : Statistical tests and economic value. In: 62nd European Meeting of the Econometric-Society, Budapest, Hungary, Aug 27-31, 2007. Published in: Journal of Financial Economics, Volume 89 (Number 1). pp. 158-174. doi:10.1016/j.jfineco.2007.08.002 ISSN 0304-405X.
Akram, Qaisar Farooq, Rime, Dagfinn and Sarno, Lucio (2008) Arbitrage in the foreign exchange market: turning on the microscope. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.687).
Sarno, Lucio and Valente, Giorgio (2008) Exchange rates and fundamentals: footloose or evolving relationship? Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.663).
Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias (2007) An economic evaluation of empirical exchange rate models. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.659).
Della Corte, Pasquale, Sarno, Lucio and Thornton, Daniel L. (2007) The expectation hypothesis of the term structure of very short-term rates : statistical tests and economic value. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (Number 644).
Ellison, Martin, Sarno, Lucio and Vilmunen, Jouko (2007) Caution or activism? Monetary policy strategies in an open economy. Macroeconomic Dynamics, Vol.11 (No.4). pp. 519-541. doi:10.1017/S136510050706021X ISSN 1365-1005.
Sarno, Lucio, Thornton, Daniel L. and Wen, Yi (2007) What's unique about the federal funds rate? Evidence from a spectral perspective. Oxford Bulletin of Economics and Statistics, Vol.69 (No.2). pp. 293-319. doi:10.1111/j.1468-0084.2006.00444.x ISSN 0305-9049.
Sarno, Lucio, Thornton, Daniel L. and Valente, Giorgio (2007) The empirical failure of the expectations hypothesis of the term structure of bond yields. Journal of Financial and Quantitative Analysis, Vol.42 (No.1). pp. 81-100. doi:10.1017/S0022109000002192 ISSN 0022-1090.
Mody, Ashoka, Sarno, Lucio and Taylor, Mark P. (2007) A cross-country financial accelerator: evidence from North America and Europe. Journal of International Money and Finance, Vol.26 (No.1). pp. 149-165. doi:10.1016/j.jimonfin.2006.10.009 ISSN 0261-5606.
Sarno, Lucio and Valente, Giorgio (2006) Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? JOURNAL OF BANKING & FINANCE, 30 (11). pp. 3147-3169. doi:10.1016/j.jbankfin.2005.12.007 ISSN 0378-4266.
Nikolaou, Kleopatra and Sarno, Lucio (2006) New evidence on the forward unbiasedness hypothesis in the foreign-exchange market. Journal of Futures Markets, Volume 26 (Number 7). pp. 627-656. doi:10.1002/fut.20211 ISSN 0270-7314.
Clarida, Richard H., Sarno, Lucio, Taylor, Mark P. and Valente, Giorgio (2006) The role of asymmetries and regime shifts in the term structure of interest rates. The Journal of Business, Vol.79 (No.3). pp. 1193-1224. doi:10.1086/500674 ISSN 0021-9398.
Sarno, Lucio, Valente, Giorgio and Leon, H. L. (Hyginus Lambert) (2006) Nonlinearity in deviations from uncovered interest parity: an explanation of the forward bias puzzle. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.552).
Mody, Ashoka, Sarno, Lucio and Taylor, Mark P. (2005) A cross-country financial accelerator: evidence from North America and Europe. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.503).
Sarno, Lucio (2005) Towards a solution to the puzzles in exchange rate economics: where do we stand? Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.05-).
Abhyankar, Abhay, Sarno, Lucio and Valente, Giorgio (2004) Exchange rates and fundamentals: evidence on the economic value of predictability. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).
Sarno, Lucio, Thornton, Daniel L. and Valente, Giorgio (2004) Federal funds rate prediction. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.458).
Sarno, Lucio and Valente, Giorgio (2004) Empirical exchange rate models and currency risk: some evidence from density forecasts. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).
Sarno, Lucio and Thornton, Daniel L. (2004) Data for The efficient market hypothesis and identification in structural VARs. [Dataset]
Sarno, Lucio and Valente, Giorgio (2004) Asset prices and international spillovers: an empirical investigation. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.438).
Abhyankar, Abhay, Sarno, Lucio and Valente, Giorgio (2004) Exchange rates and fundamentals: evidence on the economic value of predictability. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.436).
Sarno, Lucio, Taylor, Mark P. and Chowdhury, Ibrahim (2004) Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study. Journal of International Money and Finance, 23 (1). pp. 1-25. doi:10.1016/j.jimonfin.2003.10.004 ISSN 0261-5606.
Chadha, Jagjit, Sarno, Lucio and Valente, Giorgio (2003) Monetary policy rules, asset prices and exchange rates. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.411).
Sarno, Lucio and Valente, Giorgio (2003) Modeling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).
Sarno, Lucio, Taylor, Mark P. and Peel, David A. (2003) Nonlinear equilibrium correction in US real money balances, 1869-1997. Journal of Money, Credit and Banking, 35 (5). pp. 787-799. ISSN 0022-2879.
Sarno, Lucio, Valente, Giorgio and Wohar, Mark E. (2003) Monetary fundamentals and exchange rate dynamics under different nominal regimes. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.398).
Sarno, Lucio and Taylor, Mark P. (2003) The economics of exchange rates. Cambridge UK: Cambridge University Press. ISBN 9780521485845
Sarno, Lucio, Taylor, Mark P. and Chowdhury, Ibrahim (2002) Non-linear dynamics in deviations from the law of one price: a broad-based empirical study. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.337).
Sarno, Lucio and Taylor, Mark P. (2002) Purchasing power parity and the real exchange rate. IMF Staff Papers, 49 (1). pp. 65-105. ISSN 1020-7635
Sarno, Lucio, Taylor, Mark P. and Peel, D. (2002) Non-linear equilibrium correction in US real money balances, 1869-1997. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.324).
Clarida, Richard H., Sarno, Lucio, Taylor, Mark P. and Valente, Giorgio (2002) The out-of-sample success of term structure models as exchange rate predictors: a step beyond. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.328).
Sarno, Lucio and Thornton, Daniel L. (2002) The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.322).
Sarno, Lucio and Taylor, Mark P. (2002) Recent developments in the economics of exchange rates. Aldershot, UK: Edward Elgar.
Sarno, Lucio and Taylor, Mark P. (2002) Recent developments in the economics of exchange rates. Aldershot, UK: Edward Elgar.
Taylor, Mark P. and Sarno, Lucio (2001) Real exchange rate dynamics in transition economies : a nonlinear analysis. Studies in Nonlinear Dynamics and Econometrics, Vol.5 (No.3). pp. 153-177. doi:10.2202/1558-3708.1077 ISSN 1558-3708.
Sarno, Lucio and Taylor, Mark P. (2001) Purchasing power parity and the real exchange rate. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.291).
Sarno, Lucio and Taylor, Mark P. (2001) The microstructure of the foreign exchange market. Princeton studies in international economics (89). Princeton, New Jersey, US: Princeton University. ISBN 9780881652611
Taylor, Mark P., Peel, D. and Sarno, Lucio (2001) Nonlinear mean-reversion in real exchange rates: towards a solution to the purchasing power parity puzzles. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.265).
Taylor, Mark P., Peel, David A. and Sarno, Lucio (2001) Nonlinear mean-reversion in real exchange rates : toward a solution to the purchasing power parity puzzles. International Economic Review, 42 (4). pp. 1015-1042. ISSN 0020-6598.
Sarno, Lucio and Taylor, Mark P. (2001) Official intervention in the foreign exchange market: is it effective, and, if so, how does it work? Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.269).
Clarida, Richard H., Sarno, Lucio, Taylor, Mark P. and Valente, Giorgio (2001) The out-of-sample success of term structure models as exchange rate predictors : a step beyond. In: Conference on Empirical Exchange Rate Models, Madison, Wisconsin, US, 28-29 Sep 2001. Published in: Journal of International Economics, 60 (1). pp. 61-83. doi:10.1016/S0022-1996(02)00059-4 ISSN 0022-1996.
Sarno, Lucio (2000) Nonlinear dynamics, spillovers and growth in the G7 economies: an empirical investigation. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.253).
Girardin, Eric, Sarno, Lucio and Taylor, Mark P. (2000) Private consumption behaviour, liquidity constraints and financial deregulation in France : a nonlinear analysis. Empirical Economics, 25 (2). pp. 351-368. doi:10.1007/s001810000021 ISSN 0377-7332.
Sarno, Lucio and Taylor, Mark P. (1999) The persistence of capital inflows and the behaviour of stock prices in East Asia emerging markets: some empirical evidence. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.215).
Girardin, Eric, Sarno, Lucio and Taylor, Mark P. (1999) Composantes permanente et transitoire de l'Γ©pargne et de l'investissement : une Γ©tude empirique des flux internationaux de capitaux au Japon. Γconomie & prΓ©vision, 140 (4). pp. 117-131. doi:10.3406/ecop.1999.5979 ISSN 0249-4744.
Bayoumi, Tamim, Sarno, Lucio and Taylor, Mark P. (1999) European capital flows and regional risk. The Manchester School, 67 (1). pp. 21-38. doi:10.1111/1467-9957.00131 ISSN 1463-6786.
Sarno, Lucio and Taylor, Mark P. (1999) Moral hazard, asset price bubbles, capital flows, and the East Asian crisis : the first tests. Journal of International Money and Finance, 18 (4). pp. 637-657. doi:10.1016/S0261-5606(99)00018-2 ISSN 0261-5606.
Sarno, Lucio and Taylor, Mark P. (1998) Exchange controls, international capital flows and saving-investment correlations in the UK : an empirical investigation. Weltwirtschaftliches Archiv - Review of World Economics, 134 (1). pp. 69-98. doi:10.1007/BF02707579 ISSN 0043-2636.
Sarno, Lucio and Taylor, Mark P. (1998) Hot money, accounting labels and the permanence of capital flows to developing countries : an empirical investigation. Journal of Development Economics, 59 (2). pp. 337-364. doi:10.1016/S0304-3878(99)00016-4 ISSN 0304-3878.
Sarno, Lucio and Taylor, Mark P. (1998) Real exchange rates under the recent float : unequivocal evidence of mean reversion. Economics Letters, 60 (2). pp. 131-137. doi:10.1016/S0165-1765(98)00106-2 ISSN 0165-1765.
Sarno, Lucio and Taylor, Mark P. (1998) Real interest rates, liquidity constraints and financial deregulation : private consumption behavior in the U.K. Journal of Macroeconomics, 20 (2). pp. 221-242. doi:10.1016/S0164-0704(98)00055-X ISSN 0164-0704.
Sarno, Lucio and Taylor, Mark P. (1998) Real interest rates, liquidity constraints, and financial deregulation : private consumption behaviour in the UK. Journal of Macroeconomics, 20 (2). pp. 221-242. doi:doi: 10.1016/S0164-0704(98)00055-X ISSN 0164-0704.
Sarno, Lucio and Taylor, Mark P. (1998) Savings-investment correlations : transitory versus permanent. The Manchester School, 66 (S). pp. 17-38. doi:10.1111/1467-9957.66.s.2 ISSN 1463-6786.
Taylor, Mark P. and Sarno, Lucio (1998) The behavior of real exchange rates during the post-Bretton Woods period. Journal of International Economics, 46 (2). pp. 281-312. doi:10.1016/S0022-1996(97)00054-8 ISSN 0022-1996.
Gallagher, Liam A., Sarno, Lucio and Taylor, Mark P. (1997) Estimating the mean-reverting component in stock prices : a cross-country comparison. Scottish Journal of Political Economy, 44 (5). pp. 566-582. doi:10.1111/1467-9485.00075 ISSN 0036-9292.
This list was generated on Thu Mar 28 18:43:58 2024 GMT.