Lucio Sarno

The Economics of Exchange Rates

Table of contents...

Nonlinear Exchange Rate Models

A Selective Overview

This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to unde...

The Microstructure of the Foreign-exchange Market

A Selective Survey of the Literature

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Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories b...

Non-linear Mean Reversion in Real Exchange Rates

Towards a Solution to the Purchasing Power Parity Puzzles

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Non-linear Dynamics, Spillovers and Growth in the G7 Economies

An Empirical Investigation

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(Ir)relevance of Currency-crisis Theory to the Devaluation and Collapse of the Thai Baht

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The Predictive Information Content of External Imbalances for Exchange Rate Returns

How Much Is It Worth?

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Currency Risk Premiums Redux

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