Lucio Sarno

Latest Institution: University of Cambridge

All Institutions: Cass Business School; University of Melbourne; Columbia University; Cass Business School, City University of London; Brunel University, UK; University of Cambridge; University College Oxford; Warwick Business School; University of Durham; University of Warwick; CEPR; NA; Norwegian University of Science and Technology; City University; University of Oxford; City University of Hong Kong; Kiel Institute for the World Economy, Kiel University; Federal Reserve Bank of St. Louis; City University London; Judge Business School, University of Cambridge; University of Toronto; Cass Business School, City University London

Causal Claims Network Graph

Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.

Based on the Following Papers:

The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period

Year: 1997
Journal: No Journal Matched
Authors: Mark P. Taylor; Lucio Sarno

The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence

Year: 1999
Journal: No Journal Matched
Authors: Lucio Sarno; Mark P. Taylor

Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation

Year: 2000
Journal: Economica
Authors: Lucio Sarno

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

Year: 2001
Journal: Journal of International Economics
Authors: Richard H. Clarida; Lucio Sarno; Mark P. Taylor; Giorgio Valente

Official Intervention in the Foreign Exchange Market: Is It Effective and If So How Does It Work?

Year: 2001
Journal: Journal of Economic Literature
Authors: Lucio Sarno; Mark P. Taylor

Nonlinear Mean Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles

Year: 2001
Journal: International Economic Review
Authors: Mark P. Taylor; David A. Peel; Lucio Sarno

Purchasing Power Parity and the Real Exchange Rate

Year: 2001
Journal: No Journal Matched
Authors: Lucio Sarno; Mark P. Taylor

The Dynamic Relationship Between the Federal Funds Rate and the Treasury Bill Rate: An Empirical Investigation

Year: 2002
Journal: No Journal Matched
Authors: Lucio Sarno; Daniel L. Thornton

Nonlinear Equilibrium Correction in US Real Money Balances 1869-1997

Year: 2002
Journal: No Journal Matched
Authors: Lucio Sarno; Mark P. Taylor; David Peel

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond

Year: 2002
Journal: Journal of International Economics
Authors: Richard Clarida; Lucio Sarno; Mark P. Taylor; Giorgio Valente

Nonlinear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study

Year: 2002
Journal: Journal of International Money and Finance
Authors: Lucio Sarno; Mark P. Taylor; Ibrahim Chowdhury

Monetary Policy Rules, Asset Prices, and Exchange Rates

Year: 2003
Journal: No Journal Matched
Authors: Jagjit S. Chadha; Lucio Sarno; Giorgio Valente

Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes

Year: 2003
Journal: Economic Inquiry
Authors: Lucio Sarno; Giorgio Valente; Mark E. Wohar

Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability

Year: 2004
Journal: Journal of International Economics
Authors: Abhay Abhyankar; Lucio Sarno; Giorgio Valente

Asset Prices and International Spillovers: An Empirical Investigation

Year: 2004
Journal: No Journal Matched
Authors: Lucio Sarno; Giorgio Valente

Federal Funds Rate Prediction

Year: 2004
Journal: Journal of Money, Credit and Banking
Authors: Lucio Sarno; Daniel L. Thornton; Giorgio Valente

Caution or Activism: Monetary Policy Strategies in an Open Economy

Year: 2004
Journal: Macroeconomic Dynamics
Authors: Martin Ellison; Lucio Sarno; Jouko Vilmunen

The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates

Year: 2005
Journal: No Journal Matched
Authors: Richard Clarida; Lucio Sarno; Mark P. Taylor; Giorgio Valente

The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields

Year: 2005
Journal: Journal of Financial and Quantitative Analysis
Authors: Lucio Sarno; Daniel L. Thornton; Giorgio Valente

A Cross-Country Financial Accelerator: Evidence from North America and Europe

Year: 2005
Journal: Journal of International Money and Finance
Authors: Ashoka Mody; Lucio Sarno; Mark P. Taylor

Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle

Year: 2006
Journal: Review of Finance
Authors: Lucio Sarno; Giorgio Valente; Hyginus Leon

An Economic Evaluation of Empirical Exchange Rate Models

Year: 2007
Journal: Review of Financial Studies
Authors: Pasquale Della Corte; Lucio Sarno; Ilias Tsiakas

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

Year: 2007
Journal: Journal of Financial Economics
Authors: Pasquale Della Corte; Lucio Sarno; Daniel L. Thornton

Exchange Rates and Fundamentals: Footloose or Evolving Relationship

Year: 2008
Journal: Journal of the European Economic Association
Authors: Lucio Sarno; Giorgio Valente

Arbitrage in the Foreign Exchange Market: Turning on the Microscope

Year: 2008
Journal: Journal of International Economics
Authors: Qaisar Farooq Akram; Dagfinn Rime; Lucio Sarno

How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads

Year: 2009
Journal: Journal of International Money and Finance
Authors: Barry Eichengreen; Ashoka Mody; Milan Nedeljkovic; Lucio Sarno

Exchange Rate Forecasting, Order Flow and Macroeconomic Information

Year: 2009
Journal: Journal of International Economics
Authors: Dagfinn Rime; Lucio Sarno; Elvira Sojli

Asset Prices, Exchange Rates and the Current Account

Year: 2009
Journal: European Economic Review
Authors: Marcel Fratzscher; Luciana Juvenal; Lucio Sarno

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much is it Worth?

Year: 2010
Journal: Review of Economics and Statistics
Authors: Pasquale Della Corte; Lucio Sarno; Giulia Sestieri

Spot and Forward Volatility in Foreign Exchange

Year: 2010
Journal: Journal of Financial Economics
Authors: Pasquale Della Corte; Lucio Sarno; Ilias Tsiakas

Properties of Foreign Exchange Risk Premiums

Year: 2011
Journal: Journal of Financial Economics
Authors: Lucio Sarno; Paul Schneider; Christian Wagner

Carry Trades and Global Foreign Exchange Volatility

Year: 2011
Journal: Journal of Finance
Authors: Lukas Menkhoff; Lucio Sarno; Andreas Schrimpf; Maik Schmeling

Currency Momentum Strategies

Year: 2012
Journal: Journal of Financial Economics
Authors: Lukas Menkhoff; Lucio Sarno; Andreas Schrimpf; Maik Schmeling

The Scapegoat Theory of Exchange Rates: The First Tests

Year: 2012
Journal: Journal of Monetary Economics
Authors: Marcel Fratzscher; Lucio Sarno; Gabriele Zinna

Volatility Risk Premia and Exchange Rate Predictability

Year: 2013
Journal: No Journal Matched
Authors: Pasquale Della Corte; Tarun Ramadorai; Lucio Sarno

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

Year: 2013
Journal: No Journal Matched
Authors: Lucio Sarno; Maik Schmeling

What Do Stock Markets Tell Us About Exchange Rates

Year: 2015
Journal: Review of Finance
Authors: Gino Cenedese; Richard Payne; Lucio Sarno; Giorgio Valente

Currency Premia and Global Imbalances

Year: 2016
Journal: Review of Financial Studies
Authors: Pasquale Della Corte; Steven J. Riddiough; Lucio Sarno

When is Foreign Exchange Intervention Effective? Evidence from 33 Countries

Year: 2017
Journal: No Journal Matched
Authors: Marcel Fratzscher; Oliver Gloede; Lukas Menkhoff; Lucio Sarno; Tobias Sthr

Business Cycles and Currency Returns

Year: 2019
Journal: Journal of Financial Economics
Authors: Riccardo Colacito; Steven J. Riddiough; Lucio Sarno

Risky Bank Guarantees

Year: 2019
Journal: No Journal Matched
Authors: Taneli Makinen; Lucio Sarno; Gabriele Zinna

Business Cycles and Currency Returns

Year: 2019
Journal: Journal of Financial Economics
Authors: Lucio Sarno; Ric Colacito; Steven Riddiough

Foreign Exchange Volume

Year: 2021
Journal: Review of Financial Studies
Authors: Giovanni Cespa; Antonio Gargano; Steven Riddiough; Lucio Sarno

Exchange Rates and Sovereign Risk

Year: 2021
Journal: Management Science
Authors: Pasquale Della Corte; Lucio Sarno; Maik Schmeling; Christian Wagner

Foreign Exchange Intervention: A New Database

Year: 2022
Journal: IMF Economic Review
Authors: Marcel Fratzscher; Tobias Heidland; Lukas Menkhoff; Lucio Sarno; Maik Schmeling

Currency Risk Premia Redux

Year: 2023
Journal: No Journal Matched
Authors: Federico Nucera; Lucio Sarno; Gabriele Zinna

Risks and Risk Premia in the US Treasury Market

Year: 2023
Journal: No Journal Matched
Authors: Junye Li; Lucio Sarno; Gabriele Zinna

Author Disambiguation

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