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SARNO, LUCIO Print E-mail

Lucio Sarno's Mug ShotProfessor of Finance at Cass Business School, City University London
Research Fellow of the Centre for Economic Policy Research (CEPR), London

Research Interests:

International finance, Macrofinance; Empirical Asset Pricing; Monetary Economics; Financial Econometrics. His main teaching and research interests are in international finance, and he is a leading expert on exchange rates, a subject on which he writes prolifically and on which he is routinely called for advice by governments, international organisations, and financial companies around the world.



Professional Profile: 


Lucio previously held teaching and research positions at several universities, including the University of Warwick, the University of Oxford, and Columbia University.  He was also the Director of Currency Research at AXA Investment Managers during 2007-08.

He 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 US Federal Reserve, the Bank of Canada, the Central Bank of Norway, the Italian Ministry of Economy and Finance, the World Bank, the European Commission, and a number of banks and asset management companies.

His writings and his policy advice have had impact on a number of policy issues, including the operating procedures of central banks in the foreign exchange market, the design of exchange rate policies, the prediction of currency fluctuations and currency crises, the use of capital controls, the management of public debt, and the assessment of currency risk.

Lucio is the author of several books and over 80 articles in leading refereed economics and finance journals, including the Journal of Economic Literature, Journal of Finance, Journal of Financial Economics, and the Review of Financial Studies. Since 2005, his profile is in the ISI Essential Science Indicators, which selects the top 1% of the economics and finance profession on the basis of total citations on a 10-year rolling period.

A current REPEC ranking which selects the top 200 academics in economics and finance with 20 years or less since their doctorate lists him as number 41 in the world. In 2011, he was listed in a worldwide ranking of the Best 40 Business School Professors under 40 by Poets & Quants, published by Fortune magazine and CNN Money.



  • Investment Management Certificate (IMC), CFA Society of the UK (2007)
  • PhD in Economics, University of Liverpool (1995-97). Advisor: Mark Taylor
  • MSc in Economics, University of Liverpool (1994-95)
  • Dottore Commercialista, University of Salerno (Italian professional accounting qualification, 1994
  • Laurea in Economics and Finance, five-year programme, University of Salerno, Italy (1989-94)



Selected Publications:  
 Books, monographs and edited volumes: 
  • The Handbook of Exchange Rates [edited volume], Wiley Series in Financial Engineering and Econometrics, Hoboken, New Jersey, US: John Wiley and Sons, 2012 (856 pages) – with Jessica James and Ian W. Marsh – endorsements by Jim O’Neill and Richard K. Lyons.
  • The Economics of Exchange Rates [part monograph, part advanced graduate textbook], Cambridge, UK and New York, US: Cambridge University Press, 2003 (330 pages) - with Mark Taylor (foreword by Jeffrey A. Frankel, Harvard University – endorsements by Richard H. Clarida, Robert P. Flood, Richard K. Lyons, and Michael Melvin). Chinese reprint edition, 2006.
  • New Developments in Exchange Rate Economics [two edited volumes], The International Library of Critical Writings in Economics series, No. 148, Cheltenham, UK and Northampton, Mass.: Edward Elgar, 2002 (Volume I: 616 pages; Volume II: 574 pages) - with Mark Taylor
  • The Microstructure of the Foreign Exchange Market: A Selective Survey of the Literature [monograph], Princeton Studies in International Economics , 89, International Economics Section, Princeton, NJ: Princeton University Press, 2001 (60 pages) - with Mark Taylor
  • Dalla Banca d’Italia alla Banca Centrale Europea: Elementi Storici, Economici e Politici (English title: From the Bank of Italy to the European Cent ral Bank: Historical, Economic and Political Issues) [monograph], Naples, Italy: Edizioni Scientifiche It aliane, 2001 (166 pages) - with Antonio De Chiara
    Selected Papers:  
    Fratzscher M., Rime, D., Sarno, L. and Zinna, G. (2015), 'The scapegoat theory of exchange rates: the first tests', Journal of Monetary Economics, 70, p.1-21; [Peer Reviewed]

    Della Corte P., Ramadorai, T and Sarno, L. (2015 Forthcoming), 'Volatility Risk Premia and Exchange Rate Predictability', Journal of Financial Economics; [Peer Reviewed]

    Sarno L., Schmeling, M. (2014), ' Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective', Journal of Money, Credit and Banking, 46(2), p.267-292; [Peer Reviewed]

    Cenedese G., Sarno, L. , Tsiakas, I. (2014), 'Foreign exchange risk and the predictability of carry trade returns', Journal of Banking and Finance, 42, p.302-313; [Peer Reviewed]

    2012 Eichengreen B., Mody, A. , Nedeljkovic, M. , Sarno, L. (2012), 'How the Subprime Crisis went global : Evidence from bank credit default swap spreads ', Journal of International Money and Finance, 31(5), p.1299-1318; [Peer Reviewed]

    Banti C., Phylaktis, K. , Sarno, L. (2012), 'Global liquidity risk in the foreign exchange market', Journal of International Money and Finance, 31(2), p.267-291; [Peer Reviewed]

    Menkhoff L., Sarno, L., Schmeling, M. and Schrimpf, A. (2012), 'Carry Trades and Global Foreign Exchange Volatility', Journal of Finance, 67, p.681-718; [Peer Reviewed]

    Menkhoff L. , Sarno, L. , Schmeling, M. , Schrimpf, A. (2012), 'Currency momentum strategies ', Journal of Financial Economics, 106(3), p.660-684; [Peer Reviewed]