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Economics and Finance
UK
2024

D-Index & Metrics

Economics and Finance

D-Index
69
Citations
21015
World Ranking
487
National Ranking
55

Research.com Recognitions

  • 2024 - Research.com Economics and Finance in United Kingdom Leader Award

Overview

Lucio Sarno is affiliated with the University of Cambridge in the United Kingdom. Their research spans multiple topics within economics, econometrics, and finance, with a particular focus on finance.

The main fields of study for Sarno include:

  • Economics, Econometrics and Finance

Subfields of Sarno's work cover:

  • Finance
  • General Economics, Econometrics and Finance
  • Economics and Econometrics
  • Accounting
  • Management Science and Operations Research

The topics frequently addressed in their research are:

  • Monetary Policy and Economic Impact
  • Global Financial Crisis and Policies
  • Market Dynamics and Volatility
  • Financial Markets and Investment Strategies
  • Financial Risk and Volatility Modeling
  • Stochastic processes and financial applications
  • Credit Risk and Financial Regulations

Lucio Sarno has published extensively in various academic venues. The most frequent publication platforms include:

  • SSRN Electronic Journal
  • Journal of Financial Economics
  • Review of Financial Studies
  • IMF Economic Review
  • Journal of Economic Dynamics and Control

Recent papers authored or co-authored by Sarno include:

  • Business cycles and currency returns, 2020, Journal of Financial Economics
  • Currency Risk Premiums Redux, 2023, Review of Financial Studies
  • Foreign Exchange Intervention: A New Database, 2022, IMF Economic Review
  • Factor Models with Downside Risk, 2021, SSRN Electronic Journal
  • Foreign Exchange Intervention: A New Database, 2020, SSRN Electronic Journal

Their collaboration network includes several frequent co-authors, with whom Sarno has published multiple times. These collaborators are:

  • Gabriele Zinna
  • Junye Li
  • Maik Schmeling
  • Federico Nucera
  • Marcel Fratzscher

Best Publications

  • The Economics of Exchange Rates

    Lucio Sarno;Mark P. Taylor;Jeffery A. Frankel

  • Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles

    Mark P. Taylor;David A. Peel;Lucio Sarno

  • Carry Trades and Global Foreign Exchange Volatility

    Lukas Menkhoff;Lucio Sarno;Maik Schmeling;Andreas Schrimpf

  • The behavior of real exchange rates during the post-Bretton Woods period

    Mark P. Taylor;Mark P. Taylor;Lucio Sarno

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

    Lucio Sarno;Mark P. Taylor

  • Purchasing Power Parity and the Real Exchange Rate

    Lucio Sarno;Mark Taylor

  • Currency Momentum Strategies

    Lukas Menkhoff;Lucio Sarno;Lucio Sarno;Lucio Sarno;Maik Schmeling;Andreas Schrimpf

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

    Barry Eichengreen;Ashoka Mody;Milan Nedeljkovic;Lucio Sarno

  • Capital Flows to Developing Countries: Long- and Short-Term Determinants

    Mark P. Taylor;Lucio Sarno

  • Arbitrage in the foreign exchange market: Turning on the microscope

    Q. Farooq Akram;Dagfinn Rime;Lucio Sarno

  • The out-of-sample success of term structure models as exchange rate predictors: a step beyond

    Richard H. Clarida;Richard H. Clarida;Lucio Sarno;Lucio Sarno;Mark P. Taylor;Mark P. Taylor;Giorgio Valente

  • An Economic Evaluation of Empirical Exchange Rate Models

    Pasquale Della Corte;Lucio Sarno;Ilias Tsiakas

  • Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?

    Lucio Sarno

  • Exchange rate forecasting, order flow and macroeconomic information

    Dagfinn Rime;Dagfinn Rime;Lucio Sarno;Lucio Sarno;Elvira Sojli

  • Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation

    Lucio Sarno;Mark P. Taylor;Mark P. Taylor

  • Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study

    Lucio Sarno;Lucio Sarno;Mark P. Taylor;Mark P. Taylor;Ibrahim Chowdhury

  • Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests

    Lucio Sarno;Mark P Taylora

  • Volatility risk premia and exchange rate predictability

    Pasquale Della Corte;Pasquale Della Corte;Tarun Ramadorai;Tarun Ramadorai;Lucio Sarno;Lucio Sarno

  • Real exchange rates under the recent float: unequivocal evidence of mean reversion

    Lucio Sarno;Mark P Taylor;Mark P Taylor

  • The scapegoat theory of exchange rates: the first tests

    Marcel Fratzscher;Marcel Fratzscher;Dagfinn Rime;Lucio Sarno;Lucio Sarno;Gabriele Zinna

  • An Economic Evaluation of Empirical Exchange Rate Models: Robust Evidence of Predictability and Volatility Timing

    Pasquale Della Corte;Lucio Sarno;Ilias Tsiakas

Frequent Co-Authors

Mark P. Taylor
Mark P. Taylor Washington University in St. Louis
Marcel Fratzscher
Marcel Fratzscher German Institute for Economic Research
Daniel L. Thornton
Daniel L. Thornton Federal Reserve Bank of St. Louis
Lukas Menkhoff
Lukas Menkhoff German Institute for Economic Research
Mark Patrick Taylor
Mark Patrick Taylor Macquarie University
Richard H. Clarida
Richard H. Clarida Columbia University
Ashoka Mody
Ashoka Mody Princeton University
Barry Eichengreen
Barry Eichengreen University of California, Berkeley
Tarun Ramadorai
Tarun Ramadorai Imperial College London
David Peel
David Peel Lancaster University

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