LUCIO SARNO

Cited by

	All	Since 2019
Citations	19499	5493
h-index	65	41
i10-index	100	69

1100

550

275

825

2000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024106 145 247 409 420 559 642 689 750 878 906 833 904 1003 975 967 1072 1009 1059 1055 905 979 910 859 770

Public access

View all

11 articles

0 articles

available

not available

Based on funding mandates

Co-authors

Mark P TaylorDonald Danforth Jr Distinguished Professor of Finance, WashU Olin Business SchoolVerified email at wustl.edu
Giorgio ValenteHong Kong Monetary AuthorityVerified email at hkma.gov.hk
Lukas MenkhoffDIW Berlin, Humboldt-Universität zu Berlin and IfW KielVerified email at diw.de
Pasquale Della CorteProfessor 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
Marcel FratzscherProfessor of Macroeconomics, Humboldt-University Berlin and DIW BerlinVerified email at diw.de
Daniel L. ThorntonD.L. Thornton Economics LLCVerified email at dlthornton.com
Dagfinn RimeBI Norwegian Business School, Department of Financial EconomicsVerified email at bi.no
Steven J. RiddioughAssociate Professor of Finance, University of TorontoVerified email at rotman.utoronto.ca
richard claridaProfessor of economics , Columbia university Verified email at columbia.edu
Christian WagnerProfessor of Finance, WU Vienna University of Economics and BusinessVerified email at wu.ac.at
Gino CenedeseFulcrum Asset ManagementVerified email at fulcrumasset.com
Farooq AkramNorges BankVerified email at norges-bank.no
Ashoka ModyPrinceton UniversityVerified email at princeton.edu
Jagjit S ChadhaDirector, National Institute of Economic and Social ResearchVerified email at niesr.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


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
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	1336	2001
The economics of exchange rates L Sarno, MP Taylor Cambridge university press, 2003	1307	2003
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	1202	1998
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	1179	2001
Carry trades and global foreign exchange volatility L Menkhoff, L Sarno, M Schmeling, A Schrimpf The Journal of Finance 67 (2), 681-718, 2012	1134	2012
Purchasing power parity and the real exchange rate L Sarno, MP Taylor IMF staff papers 49 (1), 65-105, 2002	851	2002
Currency momentum strategies L Menkhoff, L Sarno, M Schmeling, A Schrimpf Journal of Financial Economics 106 (3), 660-684, 2012	727	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	540	1997
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	511	2008
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	486	2012
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	422	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	397	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	371	1999
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	327	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	319	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	296	1999
Volatility risk premia and exchange rate predictability P Della Corte, T Ramadorai, L Sarno Journal of Financial Economics 120 (1), 21-40, 2016	245	2016
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	242	2006
Currency premia and global imbalances PD Corte, SJ Riddiough, L Sarno The Review of Financial Studies 29 (8), 2161-2193, 2016	241	2016
Real exchange rates under the recent float: unequivocal evidence of mean reversion L Sarno, MP Taylor Economics Letters 60 (2), 131-137, 1998	237	1998

The system can't perform the operation now. Try again later.

Articles 1–20

Citations per year

Duplicate citations

Merged citations

Add co-authorsCo-authors

Follow

Cited by

Co-authors