City Research Online

Article

Fratzscher, M., Heidland, T., Menkhoff, L. , Sarno, L. ORCID: 0000-0003-1279-9748 & Schmeling, M. ORCID: 0000-0002-4488-6750view all authors (2022). Foreign Exchange Intervention: A New Database. IMF Economic Review, 71(4), pp. 852-884. doi: 10.1057/s41308-022-00190-8

Colacito, R., Riddiough, S. J. & Sarno, L. ORCID: 0000-0003-1279-9748 (2020). Business Cycles and Currency Returns. Journal of Financial Economics, 137(3), pp. 659-678. doi: 10.1016/j.jfineco.2020.04.005

Makinen, T., Sarno, L. ORCID: 0000-0003-1279-9748 & Zinna, G. (2020). Risky Bank Guarantees. Journal of Financial Economics, 136(2), pp. 490-522. doi: 10.1016/j.jfineco.2019.10.005

Fratzscher, M., Gloede, O., Menkhoff, L. , Sarno, L. & Stoehr, T.view all authors (2018). When is Foreign Exchange Intervention Effective? Evidence from 33 Countries. American Economic Journal: Macroeconomics, 11(1), pp. 132-156. doi: 10.1257/mac.20150317

Sarno, L., Blake, D. & 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

Menkhoff, L., Sarno, L., Schmeling, M. & Schrimpf, A.view all authors (2017). Currency Value. The Review of Financial Studies, 30(2), pp. 416-441. doi: 10.1093/rfs/hhw067

Sarno, L., Schneider, P. & Wagner, C. (2016). The Economic Value of Predicting Bond Risk Premia. Journal of Empirical Finance, 37, pp. 247-267. doi: 10.1016/j.jempfin.2016.02.001

Menkhoff, L., Sarno, L., Schmeling, M. & Schrimpf, A.view all authors (2016). Information flows in foreign exchange markets: Dissecting customer currency trades. Journal of Finance, 71(2), pp. 601-634. doi: 10.1111/jofi.12378

Della Corte, P., Ramadorai, T. & 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

Sarno, L., Tsiakas, I. & 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

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

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

Fratzscher, M., Rime, D., Sarno, L. & Zinna, G.view all authors (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

Cenedese, G., Sarno, L. & Tsiakas, I. (2014). Foreign exchange risk and the predictability of carry trade returns. Journal of Banking & Finance, 42(1), pp. 302-313. doi: 10.1016/j.jbankfin.2014.01.040

Sarno, L. & 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

Menkhoff, L., Sarno, L., Schmeling, M. & Schrimpf, A.view all authors (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), pp. 660-684. doi: 10.1016/j.jfineco.2012.06.009

Eichengreen, B., Mody, A., Nedeljkovic, M. & Sarno, L.view all authors (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

Menkhoff, L., Sarno, L., Schmeling, M. & Schrimpf, A.view all authors (2012). Carry trades and global foreign exchange volatility. The Journal Of Finance, 67(2), pp. 681-718. doi: 10.1111/j.1540-6261.2012.01728.x

Banti, C., Phylaktis, K. & 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

Sarno, L., Schneider, P. & 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

Corte, P. D., Sarno, L. & 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

Della Corte, P., Sarno, L. & 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

Fratzscher, M., Juvenal, L. & 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

Sarno, L., Della Corte, P. & 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

Corte, P. D., Sarno, L. & Thornton, D. (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

Book Section

Della Corte, P., Sarno, L. & Tsiakas, I. (2012). Volatility and Correlation Timing in Active Currency Management. In: James, J., Marsh, I. W. & Sarno, L. (Eds.), Handbook of Exchange Rates. (pp. 421-447). New Jersey, USA: Wiley. doi: 10.1002/9781118445785.ch15

Monograph

Cespa, G. ORCID: 0000-0003-2466-6168, Gargano, A., Riddiough, S. J. & Sarno, L. ORCID: 0000-0003-1279-9748view all authors (2021). Foreign Exchange Volume (DP16128). London, UK: CEPR.

Working Paper

Della Corte, P., Sarno, L., Schmeling, M. & Wagner, C.view all authors (2013). Exchange Rates and Sovereign Risk. SSRN.

Della Corte, P., Sarno, L. & Thornton, D. L. (2007). The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value (6445). Centre for Economic Policy Research.