Portrait of Professor Lucio Sarno

Professor Lucio Sarno

Professor of Finance

Bayes Business School, Faculty of Finance

Contact

Visit Lucio Sarno

Room BR5080, Bunhill Row

Postal address

Bayes Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

About

Overview

Lucio Sarno is a professor of finance at Bayes Business School, City, University of London and a Research Fellow of the Centre for Economic Policy Research (CEPR). He previously held teaching and research positions at the University of Warwick, the University of Oxford and Columbia University.

Lucio’s main research and teaching interests are in international finance, empirical asset pricing, and portfolio management. He is the author over 80 articles, published in top finance journals such as the Journal of Finance, the Journal of Financial Economics and Review of Financial Studies, as well as general and top field journals in economics. He has also authored and edited several books, including the edited volume Handbook of Exchange Rates (Wiley, 2012) and the graduate textbook The Economics of Exchange Rates (Cambridge University Press, 2003). His work has often been featured or quoted in the press, including the Financial Times, the Wall Street Journal, and the New York Times.

His research has received funding from several agencies, including three ESRC grants and three INQUIRE grants, and has been awarded the Best Paper Prize for Investments by the Western Finance Association in 2013, and Best Paper Prizes by INQUIRE both in 2010 and 2011. In 2011, he was chosen by Poets & Quants to be among their “40 under 40”, a listing of the best 40 business schools professors under the age of 40.

In addition to teaching and doing research, Lucio has been involved in policy advice, training, research and consulting projects for a number of institutions, including the International Monetary Fund, the European Central Bank, the Federal Reserve Banks of St. Louis and New York, the Bank of Canada, the Central Bank of Norway, the Italian Ministry of Economy and Finance, the World Bank, and the European Commission. He has wide-ranging consulting experience (over 15 years), involving some of the world's leading asset management firms, hedge funds, sovereign wealth funds, investment banks, and their research units, and has held senior positions outside academia, including as Director of Currency Research at AXA Investment Managers.

Languages

Italian.

Research students

1st supervisor

  • Robin Tietz, Research Student
  • Shangqi Han, Research Student

Publications

Books (3)

  1. Chadha, J.S., Durré, A.C.J., Joyce, M.A.S. and Sarno, L. (Eds.), (2014). Developments in Macro-Finance Yield Curve Modelling. Cambridge University Press. ISBN 978-1-316-62316-9.
  2. James, J., Sarno, L. and Marsh, I. (Eds.), (2012). Handbook of Exchange Rates. Wiley. ISBN 978-0-470-76883-9.
  3. Sarno, L. and Taylor, M.P. (2003). The Economics of Exchange Rates.

Chapters (3)

  1. Chadha, J.S., Durré, A.C.J., Joyce, M.A.S. and Sarno, L. (2014). Editors' introductory chapter and overview. Developments in Macro-Finance Yield Curve Modelling (pp. 1–16). Cambridge University Press.
  2. Della Corte, P., Sarno, L. and Tsiakas, I. (2012). Volatility and Correlation Timing in Active Currency Management. Handbook of Exchange Rates (pp. 421–447). ISBN 978-0-470-76883-9.
  3. Marsh, I.W., Passari, E. and Sarno, L. (2012). Purchasing Power Parity in Tradable Goods. In James, J., Marsh, I.W. and Sarno, L. (Eds.), Handbook of Exchange Rates Wiley.

Conference papers and proceedings (4)

  1. Ellison, M., Sarno, L. and Vilmunen, J. (2007). Caution or Activism? Monetary Policy Strategies in an Open Economy. Money Macro and Finance (MMF) Research Group Conference 2006 University of Birmingham, UK.
  2. Ellison, M., Sarno, L. and Vilmunen, J. (2006). Caution or Activism? Monetary Policy Strategies in an Open Economy. 12th International Conference on Computing in Economics and Finance 22-24 June, Limassol, Cyprus.
  3. Sarno, L., Thornton, D.L. and Valente, G. (2003). Federal Funds Rate Prediction. Royal Economic Society Annual Conference 2003 7-9 April, University of Warwick, UK.
  4. Sarno, L. and Valente, G. (2002). Comparing the Accuracy of Density Forecasts from Competing Models. 8th International Conference on Computing in Economics and Finance, , Aix-en-Provence, France 27-29 June, Aix-en-Provence, France.

Journal articles (102)

  1. Della Corte, P., Sarno, L., Schmeling, M. and Wagner, C. (2022). Exchange Rates and Sovereign Risk. Management Science, 68(8), pp. 5591–5617. doi:10.1287/mnsc.2021.4115.

    [publisher’s website]

  2. Makinen, T., Sarno, L. and Zinna, G. (2019). Risky Bank Guarantees. Journal of Financial Economics. doi:10.1016/j.jfineco.2019.10.005.
  3. Fratzscher, M., Gloede, O., Menkhoff, L., Sarno, L. and Stoehr, T. (2018). When is Foreign Exchange Intervention Effective? Evidence from 33 Countries. American Economic Journal: Macroeconomics. doi:10.2139/ssrn.2686434.
  4. Blake, D., Sarno, L. and Zinna, G. (2017). The market for lemmings: The herding behavior of pension funds. Journal of Financial Markets, 36, pp. 17–39. doi:10.1016/j.finmar.2017.03.001.

    [publisher’s website]

  5. Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2017). Currency Value. Review of Financial Studies, 30(2), pp. 416–441. doi:10.1093/rfs/hhw067.

    [publisher’s website]

  6. Corte, P.D., Riddiough, S.J. and Sarno, L. (2016). Currency Premia and Global Imbalances. Review of Financial Studies, 29(8), pp. 2161–2193. doi:10.1093/rfs/hhw038.

    [publisher’s website]

  7. Cenedese, G., Payne, R., Sarno, L. and Valente, G. (2016). What Do Stock Markets Tell Us about Exchange Rates? *. Review of Finance, 20(3), pp. 1045–1080. doi:10.1093/rof/rfv032.

    [publisher’s website]

  8. Della Corte, P., Ramadorai, T. and Sarno, L. (2016). Volatility Risk Premia and Exchange Rate Predictability. Journal of Financial Economics, 120(1), pp. 21–40. doi:10.1016/j.jfineco.2016.02.015.
  9. MENKHOFF, L., SARNO, L., SCHMELING, M. and SCHRIMPF, A. (2016). Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades. The Journal of Finance, 71(2), pp. 601–634. doi:10.1111/jofi.12378.

    [publisher’s website]

  10. Schneider, P., Wagner, C. and Sarno, L. (2016). The Economic Value of Predicting Bond Risk Premia. Journal of Empirical Finance, 37, pp. 247–267.
  11. Sarno, L., Tsiakas, I. and Ulloa, B. (2016). What drives international portfolio flows? Journal of International Money and Finance, 60, pp. 53–72. doi:10.1016/j.jimonfin.2015.03.006.
  12. Fratzscher, M., Rime, D., Sarno, L. and Zinna, G. (2015). The scapegoat theory of exchange rates: The first tests. Journal of Monetary Economics, 70, pp. 1–21. doi:10.1016/j.jmoneco.2014.09.001.
  13. Cenedese, G., Sarno, L. and Tsiakas, I. (2014). Foreign exchange risk and the predictability of carry trade returns. Journal of Banking & Finance, 42, pp. 302–313. doi:10.1016/j.jbankfin.2014.01.040.

    [publisher’s website]

  14. SARNO, L. and SCHMELING, M. (2014). Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective. Journal of Money, Credit and Banking, 46(2-3), pp. 267–292. doi:10.1111/jmcb.12106.

    [publisher’s website]

  15. Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), pp. 660–684. doi:10.1016/j.jfineco.2012.06.009.
  16. James, J., Marsh, I.W. and Sarno, L. (2012). Preface. Handbook of Exchange Rates. doi:10.1002/9781118445785.
  17. Eichengreen, B., Mody, A., Nedeljkovic, M. and Sarno, L. (2012). How the Subprime Crisis went global: Evidence from bank credit default swap spreads. Journal of International Money and Finance, 31(5), pp. 1299–1318. doi:10.1016/j.jimonfin.2012.02.002.
  18. Sarno, L., Schneider, P. and Wagner, C. (2012). Properties of foreign exchange risk premiums. Journal of Financial Economics, 105(2), pp. 279–310. doi:10.1016/j.jfineco.2012.01.005.
  19. Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012). Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67(2), pp. 681–718. doi:10.1111/j.1540-6261.2012.01728.x.
  20. Corte, P.D., Sarno, L. and Sestieri, G. (2012). The predictive information content of external imbalances for exchange rate returns: How much is it worth? Review of Economics and Statistics, 94(1), pp. 100–115. doi:10.1162/REST_a_00157.
  21. Banti, C., Phylaktis, K. and Sarno, L. (2012). Global liquidity risk in the foreign exchange market. Journal of International Money and Finance, 31(2), pp. 267–291. doi:10.1016/j.jimonfin.2011.11.010.
  22. Della Corte, P., Sarno, L. and Tsiakas, I. (2011). Spot and forward volatility in foreign exchange. Journal of Financial Economics, 100(3), pp. 496–513. doi:10.1016/j.jfineco.2011.01.007.
  23. King, M., Sarno, L. and Sojli, E. (2010). Timing exchange rates using order flow: The case of the Loonie. Journal of Banking and Finance, 34(12), pp. 2917–2928. doi:10.1016/j.jbankfin.2010.02.016.
  24. Fratzscher, M., Juvenal, L. and Sarno, L. (2010). Asset prices, exchange rates and the current account. European Economic Review, 54(5), pp. 643–658. doi:10.1016/j.euroecorev.2009.12.005.
  25. Della Corte, P., Sarno, L. and Valente, G. (2010). A century of equity premium predictability and the consumption-wealth ratio: An international perspective. Journal of Empirical Finance, 17(3), pp. 313–331. doi:10.1016/j.jempfin.2009.10.003.
  26. Rime, D., Sarno, L. and Sojli, E. (2010). Exchange rate forecasting, order flow and macroeconomic information. Journal of International Economics, 80(1), pp. 72–88. doi:10.1016/j.jinteco.2009.03.005.
  27. Akram, Q.F., Rime, D. and Sarno, L. (2009). Does the law of one price hold in international financial markets? Evidence from tick data. Journal of Banking and Finance, 33(10), pp. 1741–1754. doi:10.1016/j.jbankfin.2008.10.012.
  28. Corte, P.D., Sarno, L. and Tsiakas, I. (2009). An economic evaluation of empirical exchange rate models. Review of Financial Studies, 22(9), pp. 3491–3530. doi:10.1093/rfs/hhn058.
  29. Sarno, L. and Valente, G. (2009). Exchange rates and fundamentals: Footloose or evolving relationship? Journal of the European Economic Association, 7(4), pp. 786–830. doi:10.1162/JEEA.2009.7.4.786.
  30. Sarno, L. and Sojli, E. (2009). The feeble link between exchange rates and fundamentals: Can we blame the discount factor? Journal of Money, Credit and Banking, 41(2-3), pp. 437–442. doi:10.1111/j.1538-4616.2009.00212.x.
  31. Sarno, L. and Valente, G. (2009). Exchange Rates and Fundamentals: Footloose or Evolving Relationship? Journal of the European Economic Association, 7, pp. 786–830.
  32. Akram, Q.F., Rime, D. and Sarno, L. (2008). Arbitrage in the foreign exchange market: Turning on the microscope. Journal of International Economics, 76(2), pp. 237–253. doi:10.1016/j.jinteco.2008.07.004.
  33. Della Corte, P., Sarno, L. and Thornton, D.L. (2008). The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value. Journal of Financial Economics, 89(1), pp. 158–174. doi:10.1016/j.jfineco.2007.08.002.
  34. Ellison, M., Sarno, L. and Vilmunen, J. (2007). Caution or activism? Monetary policy strategies in an open economy. Macroeconomic Dynamics, 11(4), pp. 519–541. doi:10.1017/S136510050706021X.
  35. Sarno, L., Thornton, D.L. and Wen, Y. (2007). What's unique about the federal funds rate? Evidence from a spectral perspective. Oxford Bulletin of Economics and Statistics, 69(2), pp. 293–319. doi:10.1111/j.1468-0084.2006.00444.x.
  36. Mody, A., Sarno, L. and Taylor, M.P. (2007). A cross-country financial accelerator: Evidence from North America and Europe. Journal of International Money and Finance, 26(1), pp. 149–165. doi:10.1016/j.jimonfin.2006.10.009.
  37. Sarno, L., Thornton, D.L. and Valente, G. (2007). The empirical failure of the expectations hypothesis of the term structure of bond yields. Journal of Financial and Quantitative Analysis, 42(1), pp. 81–100. doi:10.1017/s0022109000002192.
  38. Sarno, L. and Valente, G. (2006). Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? Journal of Banking and Finance, 30(11), pp. 3147–3169. doi:10.1016/j.jbankfin.2005.12.007.
  39. Sarno, L., Valente, G. and Leon, H. (2006). Nonlinearity in deviations from uncovered interest parity: An explanation of the forward bias puzzle. Review of Finance, 10(3), pp. 443–482. doi:10.1007/s10679-006-9001-z.
  40. Nikolaou, K. and Sarno, L. (2006). New evidence on the forward unbiasedness hypothesis in the foreign-exchange market. Journal of Futures Markets, 26(7), pp. 627–656. doi:10.1002/fut.20211.
  41. Kouretas, G.P., Mark, N.C., Papadopoulos, A.P. and Sarno, L. (2006). Editorial: Special issue on advances in international money, macro and finance. International Journal of Finance and Economics, 11(3), p. 175. doi:10.1002/ijfe.308.
  42. Clarida, R.H., Sarno, L., Taylor, M.P. and Valente, G. (2006). The role of asymmetries and regime shifts in the term structure of interest rates. Journal of Business, 79(3), pp. 1193–1224. doi:10.1086/500674.
  43. Kouretas, G.P., Mark, N.C., Papadopoulos, A.P. and Sarno, L. (2006). Special issue on advances in international money, macro and finance. International Journal of Finance & Economics, 11(3), pp. 175–175.
  44. Sarno, L. and Valente, G. (2006). Deviations from Purchasing Power Parity Under Different Exchange Rate Regimes: Do They Revert and, If So, How? Journal of Banking and Finance, 30, pp. 3147–3169.
  45. Sarno, L. (2005). Viewpoint: Towards a solution to the puzzles in exchange rate economics: Where do we stand? Canadian Journal of Economics, 38(3), pp. 673–708. doi:10.1111/j.0008-4085.2005.00298.x.
  46. Abhyankar, A., Sarno, L. and Valente, G. (2005). Exchange rates and fundamentals: Evidence on the economic value of predictability. Journal of International Economics, 66(2), pp. 325–348. doi:10.1016/j.jinteco.2004.09.003.
  47. Sarno, L., Thornton, D.L. and Valente, G. (2005). Federal funds rate prediction. Journal of Money, Credit and Banking, 37(3), pp. 449–471. doi:10.1353/mcb.2005.0035.
  48. Sarno, L. and Valente, G. (2005). Empirical exchange rate models and currency risk: Some evidence from density forecasts. Journal of International Money and Finance, 24(2), pp. 363–385. doi:10.1016/j.jimonfin.2004.12.011.
  49. Sarno, L. and Valente, G. (2005). Modelling and forecasting stock returns: Exploiting the futures market, regime shifts and international spillovers. Journal of Applied Econometrics, 20(3), pp. 345–376. doi:10.1002/jae.787.
  50. Sarno, L. and Valente, G. (2005). Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers. Journal of Applied Econometrics, 20, pp. 345–376.
  51. Sarno, L. (2005). Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand? Canadian Journal of Economics, 38, pp. 673–708.
  52. Chadha, J.S., Sarno, L. and Valente, G. (2004). Monetary policy rules, asset prices, and exchange rates. IMF Staff Papers, 51(3), pp. 529–552.
  53. Chowdhury, I. and Sarno, L. (2004). Time-varying volatility in the foreign exchange market: New evidence on its persistence and on currency spillovers. Journal of Business Finance and Accounting, 31(5-6), pp. 759–793. doi:10.1111/j.0306-686X.2004.00556.x.
  54. Sarno, L., Valente, G. and Wohar, M.E. (2004). Monetary fundamentals and exchange rate dynamics under different nominal regimes. Economic Inquiry, 42(2), pp. 179–193. doi:10.1093/ei/cbh053.
  55. Sarno, L., Taylor, M.P. and Chowdhury, I. (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.
  56. Sarno, L. and Valente, G. (2004). Comparing the accuracy of density forecasts from competing models. Journal of Forecasting, 23(8), pp. 541–557. doi:10.1002/for.930.
  57. Garino, G. and Sarno, L. (2004). Speculative bubbles in U.K. house prices: Some new evidence. Southern Economic Journal, 70(4), pp. 777–795. doi:10.2307/4135272.
  58. Taylor, M.P. and Sarno, L. (2004). International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: The resolution of a conundrum. International Journal of Finance and Economics, 9(1), pp. 15–23. doi:10.1002/ijfe.232.
  59. Sarno, L. and Thornton, D.L. (2004). The efficient market hypothesis and identification in structural VARs. Review, 2004(Jan), pp. 49–60.
  60. Valente, G., Taylor, M., Sarno, L. and Clarida, R. (2004). The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. .
  61. Peel, D., Sarno, L. and Taylor, M.P. (2003). Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997. Journal of Money, Credit and Banking, 35(5).
  62. Sarno, L. and Taylor, M.P. (2003). An empirical investigation of asset price bubbles in Latin American emerging financial markets. Applied Financial Economics, 13(9), pp. 635–643. doi:10.1080/09603100210124597.
  63. Sarno, L. and Thornton, D.L. (2003). The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation. Journal of Banking and Finance, 27(6), pp. 1079–1110. doi:10.1016/S0378-4266(02)00246-7.
  64. Clarida, R.H., Sarno, L., Taylor, M.P. and Valente, G. (2003). The out-of-sample success of term structure models as exchange rate predictors: A step beyond. Journal of International Economics, 60(1), pp. 61–83. doi:10.1016/S0022-1996(02)00059-4.
  65. Sarno, L. and Chowdhury, I. (2003). The behaviour of the real exchange rate: Evidence from an alternative price index. Economic Notes, 32(3), pp. 295–333. doi:10.1111/1468-0300.00115.
  66. Sarno, L., Taylor, M.P. and Peel, D.A. (2003). Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997. Journal of Money, Credit and Banking, 35(5), pp. 787–799. doi:10.1353/mcb.2003.0039.
  67. Sarno, L. (2003). Nonlinear Exchange Rate Models: A Selective Overview. , 93(4), pp. 3–46.
  68. Sarno, L. and Taylor, M.P. (2002). Purchasing power parity and the real exchange rate. IMF Staff Papers, 49(1), pp. 65–105.
  69. Monoyios, M. and Sarno, L. (2002). Mean Reversion in Stock Index Futures Markets: A Nonlinear Analysis. Journal of Futures Markets, 22(4), pp. 285–314. doi:10.1002/fut.10008.
  70. Chadha, J.S. and Sarno, L. (2002). Short- and long-run price level uncertainty under different monetary policy regimes: An international comparison. Oxford Bulletin of Economics and Statistics, 64(3), pp. 183–212. doi:10.1111/1468-0084.00018.
  71. Neely, C.J. and Sarno, L. (2002). How well do monetary fundamentals forecast exchange rates? Review, 84(5), pp. 51–74.
  72. Sarno, L., Thornton, D.L. and Wen, Y. (2002). What's unique about the federal funds rate? evidence from a spectral perspective. .
  73. Peel, D., Sarno, L. and Taylor, M.P. (2001). Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles. International Economic Review, 42(4). doi:10.1111/1468-2354.00144.
  74. Taylor, M.P. and Lucio, S. (2001). Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis. Studies in Nonlinear Dynamics & Econometrics, 5(3), pp. 1–26.
  75. Sarno, L. (2001). Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation. Economica, 68, pp. 401–426.
  76. Sarno, L., Taylor, M. and Peel, D. (2001). Nonlinear Mean-Reversion in Real Exchange Rates: Toward A Solution to the Purchasing Power Parity Puzzles. International Economic Review, 42, pp. 1015–1042.
  77. Sarno, L. and Taylor, M. (2001). Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? Journal of Economic Literature, 39, pp. 839–868.
  78. Sarno, L. (2001). The Behaviour of US Public Debt: A Nonlinear Perspective. Economics Letters, 74, pp. 119–125.
  79. Sarno, L. (2001). Toward a new paradigm in open economy modeling: where do we stand? , (May), pp. 21–36.
  80. Sarno, L. (2000). Systematic sampling and real exchange rates. Weltwirtschaftliches Archiv, 136(1), pp. 24–57.
  81. Girardin, E., Sarno, L. and Taylor, M.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.
  82. Sarno, L. (2000). Real Exchange Rate Behaviour in the Middle East: A Re-examination. Economics Letters, 66, pp. 127–136.
  83. Sarno, L. and Valente, G. (2000). The Cost of Carry Model and Regime Shifts in Stock Index Futures Markets: An Empirical Investigation. Journal of Futures Markets, 20, pp. 603–624.
  84. Sarno, L. (2000). Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997. Applied Economics Letters, 7(5), pp. 285–291.
  85. Sarno, L. (1999). Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991. International Journal of Finance and Economics, 4, pp. 155–177.
  86. Sarno, L. and Taylor, M. (1999). Hot Money, Accounting Labels and the Permanence of Capital Flows to Developing Countries: An Empirical Investigation. Journal of Development Economics, 59, pp. 337–364.
  87. Sarno, L. and Taylor, M. (1999). Moral Hazard, Asset Price Bubbles, Capital Flows, and the East Asian Crisis: The First Tests. Journal of International Money and Finance, 18, pp. 637–657.
  88. Sarno, L. (1999). Stochastic Growth: Empirical Evidence from the G7 Countries. Journal of Macroeconomics, 21, pp. 691–712.
  89. Sarno, L. and Kyriacou, K. (1999). The Temporal Relationship Between Derivatives Trading and Spot Market Volatility in the UK: Empirical Analysis and Monte Carlo Evidence. Journal of Futures Markets, 19, pp. 245–270.
  90. Bayoumi, T., Sarno, L. and Taylor, M.P. (1999). European Capital Flows and Regional Risk. Manchester School, 67(1), pp. 21–38.
  91. Taylor, M.P. and Sarno, L. (1998). The behavior of real exchange rates during the post-Bretton Woods period. , 46(2), pp. 281–312.
  92. Sarno, L. and Taylor, M.P. (1998). Real exchange rates under the recent float: unequivocal evidence of mean reversion. , 60(2), pp. 131–137.
  93. Sarno, L. and Taylor, M. (1998). Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation. Weltwirtschaftliches Archiv, 134(1), pp. 69–98.
  94. Sarno, L. and Taylor, M. (1998). Real Exchange Rates Under the Recent Float: Unequivocal Evidence of Mean Reversion. Economics Letters, 60, pp. 131–137.
  95. Sarno, L. and Taylor, M. (1998). Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK. Journal of Macroeconomics, 20(2), pp. 221–242.
  96. Sarno, L. and Taylor, M. (1998). The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period. Journal of International Economics, 46, pp. 281–312.
  97. Sarno, L. and Taylor, M.P. (1998). Savings-Investment Correlations: Transitory versus Permanent. The Manchester School of Economic & Social Studies, 66(0), pp. 17–38.
  98. Gallagher, L.A., Sarno, L. and Taylor, M.P. (1997). Estimating the Mean-Reverting Component in Stock Prices: A Cross-Country Comparison. Scottish Journal of Political Economy, 44(5).
  99. Sarno, L. and Taylor, M. (1997). Capital Flows to Developing Countries: Long- and Short-Term Determinants. World Bank Economic Review, 11, pp. 451–470.
  100. Sarno, L. (1997). Exchange rate and interest rate volatility in the European Monetary System: some further results. Applied Financial Economics, 7(3), pp. 255–263.
  101. Sarno, L. (1997). Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity. Applied Economics, 29(5), pp. 591–605.
  102. Colacito, R., Riddiough, S.J. and Sarno, L. Business Cycles and Currency Returns. Journal of Financial Economics.

Scholarly editions (39)

  1. Della Corte, P., Sarno, L. and Sestieri, G. (2011). The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?
  2. Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. (2009). Carry Trades and Global FX Volatility.
  3. Fratzscher, M., Juvenal, L. and Sarno, L. (2008). Asset prices, exchange rates and the current account.
  4. Akram, Q.F., Eitrheim, Ø. and Sarno, L. (2005). Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003.
  5. Sarno, L., Thornton, D.L. and Valente, G. (2005). The empirical failure of the expectations hypothesis of the term structure of bond yields.
  6. Valente, G., Thornton, D. and Sarno, L. (2005). The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.
  7. Ellison, M., Sarno, L. and Vilmunen, J. (2004). Monetary policy and learning in an open economy.
  8. Ellison, M., Sarno, L. and Vilmunen, J. (2004). Monetary policy and learning in an open economy.
  9. Sarno, L., Thornton, D.L. and Valente, G. (2004). Federal funds rate prediction.
  10. Valente, G., Thornton, D. and Sarno, L. (2004). Federal Funds Rate Prediction.
  11. Sarno, L. and Thornton, D.L. (2003). The efficient market hypothesis and identification in structural VARs.
  12. Neely, C.J. and Sarno, L. (2002). How well do monetary fundamentals forecast exchange rates?
  13. Sarno, L. and Thornton, D.L. (2002). The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation.
  14. Sarno, L. Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation.
  15. Sarno, L. Nonlinear Exchange Rate Models; A Selective Overview.
  16. Sarno, L. and Taylor, M.P. The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence.
  17. Sarno, L. and Taylor, M.P. Saving-Investment Correlations: Transitory versus Permanent.
  18. Sarno, L. and Taylor, M.P. Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?
  19. Sarno, L. and Valente, G. Asset Prices and International Spillovers: An Empirical Investigation.
  20. Bayoumi, T., Sarno, L. and Taylor, M.P. European Capital Flows and Regional Risk.
  21. Clarida, R., Sarno, L., Taylor, M.P. and Valente, G. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates.
  22. Sarno, L. and Valente, G. Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers.
  23. De Santis, R.A. and Sarno, L. Assessing the benefits of international portfolio diversification in bonds and stocks.
  24. Sarno, L., Thornton, D.L. and Valente, G. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields.
  25. Sarno, L. and Wohar, M. Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.
  26. Sarno, L., Thornton, D.L. and Valente, G. Federal Funds Rate Prediction.
  27. Della Corte, P., Sarno, L. and Sestieri, G. The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?
  28. Valente, G., Clarida, R., Taylor, M. and Sarno, L. The Term Structure Of Euromarket Interest Rates: Some New Evidence.
  29. Clarida, R., Sarno, L., Taylor, M. and Valente, G. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond.
  30. Menkhoff, L., Sarno, L., Schmeling, M. and Schrimpf, A. Currency Momentum Strategies.
  31. Sarno, L. and Taylor, M.P. Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation.
  32. Sarno, L., Valente, G. and Wohar, M.E. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.
  33. Chowdhury, I., Sarno, L. and Taylor, M.P. Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study.
  34. Leon, H., Sarno, L. and Valente, G. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle.
  35. Valente, G., Leon, G.L. and Sarno, L. Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle.
  36. Sarno, L. and Taylor, M.P. Purchasing Power Parity and the Real Exchange Rate.
  37. Sarno, L. and Taylor, M.P. Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK.
  38. Sarno, L. and Thornton, D.L. The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation.
  39. Clarida, R., Sarno, L., Taylor, M.P. and Valente, G. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond.

Working papers (13)

  1. Akram, F., Rime, D. and Sarno, L. (2008). Arbitrage in the Foreign Exchange Market: Turning on the Microscope. C.E.P.R..
  2. Akram, Q.F., Rime, D. and Sarno, L. (2008). Does the law of one price hold in international financial markets? Evidence from tick data. Norges Bank.
  3. Rime, D., Sarno, L. and Sojli, E. (2007). Exchange rate forecasting, order flow and macroeconomic information.
  4. Corte, P.D., Sarno, L. and Thornton, D.L. (2007). The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value.
  5. Akram, Q.F., Rime, D. and Sarno, L. (2006). Arbitrage in the Foreign Exchange Market: Turning on the Microscope. Stockholm, Sweden: Institute for Financial Research.
  6. Vilmunen, J., Sarno, L. and Ellison, M. (2006). Caution and Activism? Monetary Policy Strategies in an Open Economy. Warwick Business School Finance Group.
  7. Akram, Q.F., Rime, D. and Sarno, L. (2005). Arbitrage in the foreign exchange market: Turning on the microscope. Oslo, Norway: Norges Bank.
  8. Ellison, M., Sarno, L. and Vilmunen, J. (2004). Caution or Activism? Monetary Policy Strategies in an Open Economy. Centre for Economic Policy Research (CEPR).
  9. Valente, G. and Sarno, L. (2004). Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts. Warwick Business School 04-10.
  10. Valente, G., Sarno, L. and Abhayankar, A. (2004). Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability.
  11. Rime, D., Sarno, L. and Sojli, E. Exchange Rate Forecasting, Order Flow and Macroeconomic Information.
  12. Abhyankar, A., Sarno, L. and Valente, G. Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability.
  13. Della Corte, P., Sarno, L. and Thornton, D.L. The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value.

Professional activities

Media appearances (18)

  1. Shutdown warning. (2013) Investors Chronicle.
  2. Study finds foreign exchanges trades give information edge to banks. (2013) The Financial Times (newspaper).
  3. (2013) Seeking Alpha.com (website).
  4. Etude: Le Carry trade rapporte un rendement annuel de 5%. (2012) www.news-banques.com (website).
  5. Momentum is everywhere. (2012) Investors Chronicle (website).
  6. Currency markets are volatile and speculative traders make the wavers higher, but long term inestors. (2012) www.ai-cio.com (website).
  7. Currency markers are volatile and speculative traders make the wavers higher. (2012) www.ai-cio.comwww.ai-cio.com (website).
  8. Currency momentum strategies yield 'striking' results. (2012) www.investmenteurope.net (website).
  9. Currency momentum strategies yield 'striking' annual returns of 10 per cent. (2012) www.hedgeweek.com (website).
  10. Forex momentum trade yields strong returns over long terms. (2012) Financial Times (newspaper).
  11. Don't bet on streling rising. (2012) www.investorchronicle.co.uk (website).
  12. Don't bet on sterling rising. (2012) www.investorschronicle.co.uk (website).
  13. Forex momentum trade yields strong returns over long term. (2012) Financial Times (newspaper).
  14. Forex momentum trade yields strong returns over long term. (2012) Financial Times (newspaper).
  15. Cass Business School research finds that currency momentum strategies yield 'striking' annual return. (2012) www.opalesque.com (website).
  16. Predvidanje kretanja kursa. (2011) www.ekapija.com (website).
  17. AppointmentsAppointments. (2009) Times Higher Education Supplement (newspaper).
  18. Appointments. (2009) www.timeshighereducation.co.uk (website).