Browsing Norges Banks vitenarkiv by Author "Sarno, Lucio"
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Arbitrage in the Foreign Exchange Market: Turning on the Microscope
Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio (Working Papers;12/2005, Working paper, 2005)This paper provides real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations from the law of one price (LOP) in the foreign exchange market. We investigate deviations from the covered ... -
Does the Law of One Price Hold in International Financial Markets? Evidence from Tick Data
Akram, Q. Farooq; Rime, Dagfinn; Sarno, Lucio (Working Papers;19/2008, Working paper, 2008)This paper investigates the validity of the law of one price (LOP) in international financial markets by examining the frequency, size and duration of inter-market price differentials for borrowing and lending services ... -
Exchange Rate Forecasting, Order Flow and Macroeconomic Information
Rime, Dagfinn; Sarno, Lucio; Sojli, Elvira (Working Papers;2/2007, Working paper, 2007)This paper investigates the empirical relation between order flow and macroeconomic information in the foreign exchange market, and the ability of microstructure models based on order flow to outperform a naive random walk ... -
Non-Linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003
Akram, Q. Farooq; Eitrheim, Øyvind; Sarno, Lucio (Working Papers;2/2005, Working paper, 2005)We characterise the behaviour of Norwegian output, the real exchange rate and real money balances over a period of almost two centuries. The empirical analysis is based on a new annual data set that has recently been ...