IDEAS home Printed from https://ideas.repec.org/e/pva58.html
   My authors  Follow this author

Giorgio Valente

Personal Details

First Name:Giorgio
Middle Name:
Last Name:Valente
Suffix:
RePEc Short-ID:pva58
https://sites.google.com/site/gvperwebsite/
Terminal Degree:2003 Warwick Business School; University of Warwick (from RePEc Genealogy)

Affiliation

Hong Kong Monetary Authority

Central, Hong Kong
http://www.info.gov.hk/hkma/index.htm
RePEc:edi:magovhk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. J. Scott Davis & Giorgio Valente & Eric Van Wincoop, 2019. "Global Drivers of Gross and Net Capital Flows," Globalization Institute Working Papers 357, Federal Reserve Bank of Dallas.
  2. Peter Hördahl & Eli M Remolona & Giorgio Valente, 2015. "Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve," BIS Working Papers 527, Bank for International Settlements.
  3. Sarno, Lucio & Payne, Richard & Valente, Giorgio & Cenedese, Gino, 2015. "What Do Stock Markets Tell Us About Exchange Rates?," CEPR Discussion Papers 10685, C.E.P.R. Discussion Papers.
  4. George Jiang & Ingrid Lo & Giorgio Valente, 2014. "High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market," Staff Working Papers 14-56, Bank of Canada.
  5. Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
  6. Michael W. McCracken & Giorgio Valente, 2012. "Asymptotic Inference for Performance Fees and the Predictability of Asset Returns," Working Papers 2012-049, Federal Reserve Bank of St. Louis.
  7. Daniel L. Thornton & Giorgio Valente, 2010. "Predicting bond excess returns with forward rates: an asset-allocation perspective," Working Papers 2010-034, Federal Reserve Bank of St. Louis.
  8. Giorgio Valente, 2010. "Market Liquidity and Funding Liquidity: An Empirical Investigation," Working Papers 152010, Hong Kong Institute for Monetary Research.
  9. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
  10. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
  11. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research.
  12. Sarno, Lucio & Valente, Giorgio & Leon, Hyginus, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," CEPR Discussion Papers 5527, C.E.P.R. Discussion Papers.
  13. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research.
  14. Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2005. "The empirical failure of the expectations hypothesis of the term structure of bond yields," Working Papers 2003-021, Federal Reserve Bank of St. Louis.
  15. Taylor, Mark & Clarida, Richard & Sarno, Lucio & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers 4835, C.E.P.R. Discussion Papers.
  16. Sarno, Lucio & Valente, Giorgio, 2004. "Asset Prices and International Spillovers: An Empirical Investigation," CEPR Discussion Papers 4380, C.E.P.R. Discussion Papers.
  17. Abhyankar, Abhay & Sarno, Lucio & Valente, Giorgio, 2004. "Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability," CEPR Discussion Papers 4365, C.E.P.R. Discussion Papers.
  18. Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2004. "Federal funds rate prediction," Working Papers 2002-005, Federal Reserve Bank of St. Louis.
  19. Gustavo Piga & Giorgio Valente, 2004. "The Term Structure of Interest Rates and the Public Debt Issuance Policy: A Note," CEIS Research Paper 49, Tor Vergata University, CEIS.
  20. Chadha, Jagjit S & Sarno, Lucio & Valente, Giorgio, 2003. "Monetary Policy Rules, Asset Prices and Exchange Rates," CEPR Discussion Papers 4114, C.E.P.R. Discussion Papers.
  21. Sarno, Lucio & Valente, Giorgio & Wohar, Mark E, 2003. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," CEPR Discussion Papers 3983, C.E.P.R. Discussion Papers.
  22. Sarno, Lucio & Valente, Giorgio, 2002. "Comparing the Accuracy of Density Forecasts from Competing Models," Computing in Economics and Finance 2002 223, Society for Computational Economics.
  23. Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002 160, Royal Economic Society.
  24. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.

Articles

  1. Gino Cenedese & Richard Payne & Lucio Sarno & Giorgio Valente, 2016. "What Do Stock Markets Tell Us about Exchange Rates?," Review of Finance, European Finance Association, vol. 20(3), pages 1045-1080.
  2. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
  3. Ahmed, Shamim & Valente, Giorgio, 2015. "Understanding the price of volatility risk in carry trades," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 118-129.
  4. Giorgio Valente, 2015. "Global Shock, Risks, and Asian Financial Reform edited by Iwan J. Azis and Hyun Song Shin (eds) Edward Elgar and Asian Development Bank , Cheltenham, UK; Northampton, MA, USA , 2014 Pp. 752. ISBN 978-," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 29(2), pages 116-117, November.
  5. Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
  6. Daniel L. Thornton & Giorgio Valente, 2012. "Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 25(10), pages 3141-3168.
  7. Giorgio Valente, 2012. "Introduction To The Special Issue Of Pacific Economic Review On Macro And Micro International Flows," Pacific Economic Review, Wiley Blackwell, vol. 17(3), pages 366-367, August.
  8. Fong, Wai-Ming & Valente, Giorgio & Fung, Joseph K.W., 2010. "Covered interest arbitrage profits: The role of liquidity and credit risk," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1098-1107, May.
  9. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
  10. Lucio Sarno & Giorgio Valente, 2009. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 786-830, June.
  11. Valente, Giorgio, 2009. "International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 920-940, October.
  12. Paul D. McNelis & Giorgio Valente, 2008. "Special issue on international financial markets and the macroeconomy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 1-1.
  13. Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio, 2007. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(1), pages 81-100, March.
  14. Lucio Sarno & Giorgio Valente & Hyginus Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," Review of Finance, European Finance Association, vol. 10(3), pages 443-482, September.
  15. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
  16. Sarno, Lucio & Valente, Giorgio, 2006. "Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3147-3169, November.
  17. Giorgio Valente & Lucio Sarno, 2005. "Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376.
  18. Sarno, Lucio & Valente, Giorgio, 2005. "Empirical exchange rate models and currency risk: some evidence from density forecasts," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 363-385, March.
  19. Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005. "Federal Funds Rate Prediction," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 449-471, June.
  20. Abhyankar, Abhay & Sarno, Lucio & Valente, Giorgio, 2005. "Exchange rates and fundamentals: evidence on the economic value of predictability," Journal of International Economics, Elsevier, vol. 66(2), pages 325-348, July.
  21. Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," Economic Inquiry, Western Economic Association International, vol. 42(2), pages 179-193, April.
  22. Giorgio Valente & Lucio Sarno, 2004. "Comparing the accuracy of density forecasts from competing models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(8), pages 541-557.
  23. Jagjit S. Chadha & Lucio Sarno & Giorgio Valente, 2004. "Monetary Policy Rules, Asset Prices, and Exchange Rates," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 529-552, November.
  24. Giorgio Valente, 2003. "Monetary policy rules and regime shifts," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 525-535.
  25. Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003. "The out-of-sample success of term structure models as exchange rate predictors: a step beyond," Journal of International Economics, Elsevier, vol. 60(1), pages 61-83, May.
  26. Riccardo Fiorito & Lorenzo Pecchi & Giorgio Valente, 2002. "The Market Value of Italian Government Debt, 1970-1996," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 61(1), pages 1-28, June.
  27. Lucio Sarno & Giorgio Valente, 2000. "The cost of carry model and regime shifts in stock index futures markets: An empirical investigation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(7), pages 603-624, August.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. h-index
  2. Closeness measure in co-authorship network
  3. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 23 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-IFN: International Finance (8) 2001-11-21 2003-03-14 2003-10-05 2006-04-08 2008-04-12 2015-07-11 2015-08-13 2019-04-22. Author is listed
  2. NEP-MAC: Macroeconomics (8) 2001-10-29 2003-10-28 2004-02-29 2005-02-13 2005-06-14 2005-09-29 2005-11-19 2015-11-21. Author is listed
  3. NEP-MON: Monetary Economics (7) 2002-07-04 2003-06-16 2004-02-29 2005-02-13 2005-06-14 2005-09-29 2005-11-19. Author is listed
  4. NEP-FMK: Financial Markets (6) 2002-07-08 2003-03-14 2005-06-14 2006-04-08 2009-08-02 2015-08-13. Author is listed
  5. NEP-CBA: Central Banking (4) 2002-07-04 2005-02-13 2006-04-08 2008-04-12
  6. NEP-FIN: Finance (3) 2002-07-04 2002-07-08 2003-06-16
  7. NEP-MST: Market Microstructure (3) 2010-10-23 2015-01-03 2015-11-21
  8. NEP-ECM: Econometrics (2) 2005-02-13 2012-11-11
  9. NEP-ETS: Econometric Time Series (2) 2002-07-08 2003-10-28
  10. NEP-FOR: Forecasting (2) 2010-10-16 2012-11-11
  11. NEP-BAN: Banking (1) 2010-10-23
  12. NEP-CFN: Corporate Finance (1) 2005-06-14
  13. NEP-PBE: Public Economics (1) 2005-11-19
  14. NEP-RMG: Risk Management (1) 2003-03-14

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Giorgio Valente should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.