LUCIO SARNO

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Mark P TaylorDean and Donald Danforth Jr Distinguished Professor of Finance, WashU Olin Business SchoolVerified email at wustl.edu
Lukas MenkhoffDIW Berlin and Humboldt-Universität zu BerlinVerified email at diw.de
Pasquale Della CorteAssociate Professor of Finance, Imperial College LondonVerified email at imperial.ac.uk
Andreas SchrimpfBank for International SettlementsVerified email at bis.org
Maik SchmelingGoethe University FrankfurtVerified email at finance.uni-frankfurt.de
Ilias TsiakasUniversity of GuelphVerified email at uoguelph.ca
Daniel L. ThorntonD.L. Thornton Economics LLCVerified email at dlthornton.com
Dagfinn RimeBI Norwegian Business School, Department of Financial EconomicsVerified email at bi.no
Marcel FratzscherProfessor of Macroeconomics, Humboldt-University Berlin and DIW BerlinVerified email at diw.de
richard claridaProfessor of economics , Columbia university Verified email at columbia.edu
Steven J. RiddioughAssociate Professor of Finance, University of TorontoVerified email at rotman.utoronto.ca
Farooq AkramNorges BankVerified email at norges-bank.no
Ashoka ModyPrinceton UniversityVerified email at princeton.edu
Elvira SojliAssociate Professor, UNSW Business SchoolVerified email at unsw.edu.au
Christian WagnerProfessor of Finance, WU Vienna University of Economics and BusinessVerified email at wu.ac.at
Gino CenedeseFulcrum Asset ManagementVerified email at fulcrumasset.com
Jagjit S ChadhaDirector, National Institute of Economic and Social ResearchVerified email at kent.ac.uk
Luciana JuvenalInstitute for Capacity Development, IMFVerified email at imf.org
Paul SchneiderProfessor of Quantitative Methods, University of LuganoVerified email at usi.ch
Tarun RamadoraiProfessor of Financial Economics, Imperial College LondonVerified email at imperial.ac.uk

LUCIO SARNO

Cambridge Judge Business School, University of Cambridge

Verified email at jbs.cam.ac.uk - Homepage

International Finance Empirical Asset Pricing


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Nonlinear mean‐reversion in real exchange rates: toward a solution to the purchasing power parity puzzles MP Taylor, DA Peel, L Sarno International economic review 42 (4), 1015-1042, 2001	1238	2001
The economics of exchange rates L Sarno, MP Taylor Cambridge University Press, 2003	1166	2003
Official intervention in the foreign exchange market: is it effective and, if so, how does it work? L Sarno, MP Taylor journal of Economic Literature 39 (3), 839-868, 2001	1058	2001
The behavior of real exchange rates during the post-Bretton Woods period MP Taylor, L Sarno Journal of international Economics 46 (2), 281-312, 1998	1053	1998
Carry trades and global foreign exchange volatility L Menkhoff, L Sarno, M Schmeling, A Schrimpf The Journal of Finance 67 (2), 681-718, 2012	868	2012
Purchasing power parity and the real exchange rate L Sarno, MP Taylor IMF staff papers 49 (1), 65-105, 2002	719	2002
Currency momentum strategies L Menkhoff, L Sarno, M Schmeling, A Schrimpf Journal of Financial Economics 106 (3), 660-684, 2012	530	2012
Capital flows to developing countries: long-and short-term determinants MP Taylor, L Sarno The World Bank Economic Review 11 (3), 451-470, 1997	475	1997
How the subprime crisis went global: Evidence from bank credit default swap spreads B Eichengreen, A Mody, M Nedeljkovic, L Sarno Journal of International Money and Finance 31 (5), 1299-1318, 2012	418	2012
Arbitrage in the foreign exchange market: Turning on the microscope QF Akram, D Rime, L Sarno Journal of International Economics 76 (2), 237-253, 2008	413	2008
Towards a solution to the puzzles in exchange rate economics: Where do we stand? L Sarno Canadian Journal of Economics/Revue canadienne d'économique 38 (3), 673-708, 2005	358	2005
The out-of-sample success of term structure models as exchange rate predictors: a step beyond RH Clarida, L Sarno, MP Taylor, G Valente Journal of International Economics 60 (1), 61-83, 2003	353	2003
Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation L Sarno, MP Taylor Journal of Development Economics 59 (2), 337-364, 1999	343	1999
Exchange rate forecasting, order flow and macroeconomic information D Rime, L Sarno, E Sojli Journal of International Economics 80 (1), 72-88, 2010	311	2010
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study L Sarno, MP Taylor, I Chowdhury Journal of International Money and Finance 23 (1), 1-25, 2004	279	2004
An economic evaluation of empirical exchange rate models P Della Corte, L Sarno, I Tsiakas The review of financial studies 22 (9), 3491-3530, 2009	256	2009
Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests L Sarno, MP Taylora Journal of International Money and finance 18 (4), 637-657, 1999	246	1999
Real exchange rates under the recent float: unequivocal evidence of mean reversion L Sarno, MP Taylor Economics Letters 60 (2), 131-137, 1998	214	1998
How well do monetary fundamentals forecast exchange rates? CJ Neely, L Sarno Federal Reserve Bank of St. Louis Working Paper Series, 2002	212	2002
Nonlinearity in deviations from uncovered interest parity: an explanation of the forward bias puzzle L Sarno, G Valente, H Leon Review of Finance 10 (3), 443-482, 2006	203	2006

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