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The dynamic relationship between the Federal Funds Rate and the treasury bill rate : an empirical investigation

Sarno, Lucio; Thornton, Daniel L. - 2000

Persistent link: https://www.econbiz.de/10001580929

The dynamic relationship between the federal funds rate and the Treasury bill rate : an empirical investigation

Sarno, Lucio; Thornton, Daniel L. - In: Journal of banking & finance 27 (2003) 6, pp. 1079-1110

Persistent link: https://www.econbiz.de/10001757811

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

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - In: Journal of international economics 60 (2003) 1, pp. 61-83

Persistent link: https://www.econbiz.de/10001754209

Empirical exchange rate models and currency risk : some evidence density forecasts

Sarno, Lucio; Valente, Giorgio - In: Journal of international money and finance 24 (2005) 2, pp. 363-385

Persistent link: https://www.econbiz.de/10002636012

International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates : the resolution of a conundrum

Taylor, Mark P.; Sarno, Lucio - In: International journal of finance & economics : IJFE 9 (2004) 1, pp. 15-23

Persistent link: https://www.econbiz.de/10001904965

Federal funds rate prediction

Sarno, Lucio (contributor); Thornton, Daniel L. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001971188

Whatś unique about the federal funds rate? : Evidence from a spectral perspective

Sarno, Lucio (contributor); Thornton, Daniel L. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001974839

Federal funds rate prediction

Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - In: Journal of money, credit and banking : JMCB 37 (2005) 3, pp. 449-471

Persistent link: https://www.econbiz.de/10003012690

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors : A Step Beyond

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - 2021

A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting...

Persistent link: https://www.econbiz.de/10013220936

The role of asymmetries and regime shifts in the term structure of interest rates

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - In: The journal of business : B 79 (2006) 3, pp. 1193-1224

Persistent link: https://www.econbiz.de/10003336984