Details about Christopher Neely

Access statistics for papers by Christopher Neely.

Last updated 2013-05-06. Update your information in the RePEc Author Service.

Short-id: pne3

Working Papers

2012

1. Econometric modeling of exchange rate volatility and jumps
   Working Papers, Federal Reserve Bank of St. Louis
2. International channels of the Fed’s unconventional monetary policy
   Working Paper Series, Federal Reserve Bank of San Francisco
   Also in Working Papers, Federal Reserve Bank of St. Louis (2012) View citations (1)

2011

3. Capital flows and Japanese asset volatility
   Working Papers, Federal Reserve Bank of St. Louis
   See also Journal Article in Pacific Economic Review (2012)
4. Lessons from the evolution of foreign exchange trading strategies
   Working Papers, Federal Reserve Bank of St. Louis
5. Technical analysis in the foreign exchange market
   Working Papers, Federal Reserve Bank of St. Louis View citations (14)

2010

6. Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules
   Working Papers, Federal Reserve Bank of St. Louis View citations (1)
7. The large scale asset purchases had large international effects
   Working Papers, Federal Reserve Bank of St. Louis View citations (12)

2009

8. Common fluctuations in OECD budget balances
   Working Papers, Federal Reserve Bank of St. Louis

2008

9. Is inflation an international phenomenon?
   Working Papers, Federal Reserve Bank of St. Louis View citations (8)
10. Real interest rate persistence: evidence and implications
    Working Papers, Federal Reserve Bank of St. Louis View citations (6)
    See also Journal Article in Review (2008)
11. The dynamic interaction of order flows and the CAD/USD exchange rate
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)

2007

12. Central Bank intervention and exchange rate volatility: its continuous and jump components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (16)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (15)
    Open Access publications from Maastricht University, Maastricht University (2007) View citations (4)
    Open Access publications from Maastricht University, Maastricht University (2007) View citations (12)
    See also Journal Article in International Journal of Finance & Economics (2007)
13. Central bank authorities’ beliefs about foreign exchange intervention
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article in Journal of International Money and Finance (2008)
14. Central bank intervention with limited arbitrage
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article in International Journal of Finance & Economics (2007)
15. Information shares in the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article in Journal of Banking & Finance (2008)
16. Jumps, cojumps and macro announcements
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    See also Journal Article in Journal of Applied Econometrics (2011)
17. The adaptive markets hypothesis: evidence from the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis View citations (10)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2009)
18. The microstructure of the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)

2006

19. Can Markov switching models predict excess foreign exchange returns?
    Working Papers, Federal Reserve Bank of St. Louis View citations (22)
    See also Journal Article in Journal of Banking & Finance (2007)
20. Foreign exchange volatility is priced in equities
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article in Financial Management (2008)
21. Identifying the effects of U.S. intervention on the levels of exchange rates
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
22. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Economics Letters (2008)
23. The Transition to Electronic Trading in the Secondary Treasury Market
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)

2005

24. An analysis of recent studies of the effect of foreign exchange intervention
    Working Papers, Federal Reserve Bank of St. Louis View citations (38)
    See also Journal Article in Review (2005)
25. The case for foreign exchange intervention: the government as an active reserve manager
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
26. Year-end seasonality in one-month LIBOR derivatives
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)

2004

27. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2009)
28. Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)

2003

29. The Federal Reserve responds to crises: September 11th was not the first
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article in Review (2004)

2002

30. How well do monetary fundamentals forecast exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis View citations (38)
    See also Journal Article in Review (2002)
31. The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits
    Working Papers, Federal Reserve Bank of St. Louis View citations (27)

2001

32. Intraday technical trading in the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)
    Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (1999) View citations (2)
    See also Journal Article in Journal of International Money and Finance (2003)
33. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
34. Risk-adjusted, ex ante, optimal technical trading rules in equity markets
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article in International Review of Economics & Finance (2003)

2000

35. Technical analysis and central bank intervention
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (1999) View citations (7)
    See also Journal Article in Journal of International Money and Finance (2001)
36. The practice of central bank intervention: looking under the hood
    Working Papers, Federal Reserve Bank of St. Louis View citations (62)
    See also Journal Article in Review (2001)

1999

37. Predictability in International Asset Returns: A Re-examination
    Working Papers, Warwick Business School, Financial Econometrics Research Centre View citations (1)
    Also in Working Papers, Federal Reserve Bank of St. Louis (1999) View citations (7)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2000)
38. Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM
    Working Papers, Federal Reserve Bank of St. Louis
    Also in Working Papers, University of Iowa, Department of Economics (1998)

1998

39. Endogenous realignments and the sustainability of a target
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
40. Target zones and conditional volatility: the role of realignments
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article in Journal of Empirical Finance (1999)
41. Technical trading rules in the European Monetary System
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)
    See also Journal Article in Journal of International Money and Finance (1999)

1997

42. Is technical analysis in the foreign exchange market profitable? a genetic programming approach
    Working Papers, Federal Reserve Bank of St. Louis View citations (60)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1996) View citations (34)
    See also Journal Article in Journal of Financial and Quantitative Analysis (1997)

1995

43. Endogenous Realignments and the Sustainability of a Target Zone
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
44. Testing asset pricing models with Euler equations: it's worse than you think
    Working Papers, Federal Reserve Bank of St. Louis

1994

45. A reconsideration of the properties of the generalized method moments in asset pricing models
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
46. Realignments of target zone exchange systems: what do we know?
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)

Journal Articles

2013

1. Four stories of quantitative easing
   Review, 2013, (January), 51-88
2. Political pressure on the bank of Japan: interference or accountability?
   Economic Synopses, 2013
3. Would it help to eliminate interest on reserves?
   Economic Synopses, 2013

2012

4. CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY
   Pacific Economic Review, 2012, 17, (3), 391-414
   See also Working Paper (2011)
5. The mysterious Greek yield curve
   Economic Synopses, 2012

2011

6. A foreign exchange intervention in an era of restraint
   Review, 2011, (Sep), 303-324 View citations (2)
7. A survey of announcement effects on foreign exchange volatility and jumps
   Review, 2011, (Sep), 361-385
8. Fiscal policy and expected inflation
   Economic Synopses, 2011
9. International comovements in inflation rates and country characteristics
   Journal of International Money and Finance, 2011, 30, (7), 1471-1490 View citations (3)
10. Jumps, cojumps and macro announcements
    Journal of Applied Econometrics, 2011, 26, (6), 893-921 View citations (9)
    See also Working Paper (2007)
11. The difference between currency manipulation and monetary policy
    Economic Synopses, 2011 View citations (1)
12. The great foreign exchange intervention of 2011
    Economic Synopses, 2011

2010

13. "How central should the central bank be?" a comment
    Economic Synopses, 2010
14. A survey of announcement effects on foreign exchange returns
    Review, 2010, (Sep), 417-464 View citations (1)
15. Okun's law: output and unemployment
    Economic Synopses, 2010
16. The effects of large-scale asset purchases on TIPS inflation expectations
    Economic Synopses, 2010 View citations (2)
17. U.S. historical experience with deflation
    Economic Synopses, 2010

2009

18. Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (1), 188-205 View citations (2)
    See also Working Paper (2004)
19. Markets worry more about sovereign debt
    International Economic Trends, 2009, (Feb)
20. Systemic risk and the financial crisis: a primer
    Review, 2009, (Sep), 403-418 View citations (6)
21. The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
    Journal of Financial and Quantitative Analysis, 2009, 44, (02), 467-488 View citations (10)
    See also Working Paper (2007)

2008

22. Central bank authorities' beliefs about foreign exchange intervention
    Journal of International Money and Finance, 2008, 27, (1), 1-25 View citations (14)
    See also Working Paper (2007)
23. Foreign Exchange Volatility Is Priced in Equities
    Financial Management, 2008, 37, (4), 769-790 View citations (2)
    See also Working Paper (2006)
24. Information shares in the US Treasury market
    Journal of Banking & Finance, 2008, 32, (7), 1221-1233 View citations (10)
    See also Working Paper (2007)
25. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
    Economics Letters, 2008, 99, (2), 371-374 View citations (2)
    See also Working Paper (2006)
26. Real interest rate persistence: evidence and implications
    Review, 2008, (Nov), 609-642 View citations (4)
    See also Working Paper (2008)
27. The sovereign wealth funds of nations
    International Economic Trends, 2008, (May)

2007

28. Asian nations driving world oil prices
    The Regional Economist, 2007, (Apr), 12-13
29. Can Markov switching models predict excess foreign exchange returns?
    Journal of Banking & Finance, 2007, 31, (2), 279-296 View citations (13)
    See also Working Paper (2006)
30. Central bank intervention and exchange rate volatility, its continuous and jump components
    International Journal of Finance & Economics, 2007, 12, (2), 201-223 View citations (9)
    See also Working Paper (2007)
31. Central bank intervention with limited arbitrage
    International Journal of Finance & Economics, 2007, 12, (2), 249-260 View citations (1)
    See also Working Paper (2007)
32. China's strategic petroleum reserve: a drop in the bucket
    National Economic Trends, 2007, (Jan)
33. Exchange rate intervention
    International Journal of Finance & Economics, 2007, 12, (2), 107-108 View citations (11)
34. One dollar = one loonie
    International Economic Trends, 2007, (Nov)
35. Why do gasoline prices react to things that have not happened?
    The Regional Economist, 2007, (Jul), 10-11

2006

36. The puzzling convergence in foreign exchange volatility
    International Economic Trends, 2006, (Jul)
37. The transition to electronic communications networks in the secondary treasury market
    Review, 2006, (Nov), 527-542 View citations (10)
38. What are the odds? option-based forecasts of FOMC target changes
    Review, 2006, (Nov), 543-562

2005

39. An analysis of recent studies of the effect of foreign exchange intervention
    Review, 2005, (Nov), 685-718 View citations (71)
    See also Working Paper (2005)
40. Unwinding the current account deficit
    International Economic Trends, 2005, (May)
41. Using implied volatility to measure uncertainty about interest rates
    Review, 2005, (May), 407-425 View citations (5)

2004

42. Miscommunication shook up mortgage, bond markets
    The Regional Economist, 2004, (Apr), 4-9 View citations (1)
43. The Federal Reserve responds to crises: September 11th was not the first
    Review, 2004, (Mar), 27-42 View citations (5)
    See also Working Paper (2003)
44. Will oil prices choke growth?
    International Economic Trends, 2004, (Jul)

2003

45. Bond market mania
    Monetary Trends, 2003, (Oct) View citations (1)
46. Endogenous realignments in a target zone
    Oxford Economic Papers, 2003, 55, (3), 494-511
47. Global factors in budget deficits
    International Economic Trends, 2003, (Nov) View citations (1)
48. Intraday technical trading in the foreign exchange market
    Journal of International Money and Finance, 2003, 22, (2), 223-237 View citations (21)
    See also Working Paper (2001)
49. Risk-adjusted, ex ante, optimal technical trading rules in equity markets
    International Review of Economics & Finance, 2003, 12, (1), 69-87 View citations (7)
    See also Working Paper (2001)

2002

50. How expensive are stocks?
    Monetary Trends, 2002, (Jun) View citations (2)
51. How well do monetary fundamentals forecast exchange rates?
    Review, 2002, (Sep), 51-74 View citations (22)
    See also Working Paper (2002)
52. Options on economic data
    International Economic Trends, 2002, (Nov)
53. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics
    Review, 2002, (May), 43-54 View citations (3)
54. The Fed responds to Sept. 11 attacks
    The Regional Economist, 2002, (Jan.), 12-13
55. The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits
    Journal of International Economics, 2002, 58, (1), 211-232 View citations (22)

2001

56. International interest rate linkages
    International Economic Trends, 2001, (Aug) View citations (1)
57. Risk Aversion versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model
    Journal of Business & Economic Statistics, 2001, 19, (4), 395-403 View citations (22)
58. September 11, 2001
    Monetary Trends, 2001, (Nov)
59. Technical analysis and central bank intervention
    Journal of International Money and Finance, 2001, 20, (7), 949-970 View citations (26)
    See also Working Paper (2000)
60. The practice of central bank intervention: looking under the hood
    Review, 2001, (May), 1-10 View citations (5)
    See also Working Paper (2000)

2000

61. Are changes in foreign exchange reserves well correlated with official intervention?
    Review, 2000, (Sep), 17-32 View citations (18)
62. Predictability in International Asset Returns: A Reexamination
    Journal of Financial and Quantitative Analysis, 2000, 35, (04), 601-620 View citations (11)
    See also Working Paper (1999)
63. Stock prices and consumption
    Monetary Trends, 2000, (Jul)
64. What is the slope of the yield curve telling us?
    Monetary Trends, 2000, (Aug)

1999

65. An E.U. withholding tax?
    International Economic Trends, 1999, (Nov)
66. An introduction to capital controls
    Review, 1999, (Nov), 13-30 View citations (27)
67. How big is Japan's debt?
    International Economic Trends, 1999, (Feb)
68. Target zones and conditional volatility: The role of realignments
    Journal of Empirical Finance, 1999, 6, (2), 177-192 View citations (20)
    See also Working Paper (1998)
69. Technical trading rules in the European Monetary System
    Journal of International Money and Finance, 1999, 18, (3), 429-458 View citations (25)
    See also Working Paper (1998)

1998

70. Technical analysis and the profitability of U.S. foreign exchange intervention
    Review, 1998, (Jul), 3-17 View citations (36)

1997

71. A BENEFIT-COST ANALYSIS OF DISINFLATION
    Contemporary Economic Policy, 1997, 15, (1), 50-64 View citations (5)
72. Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
    Journal of Financial and Quantitative Analysis, 1997, 32, (04), 405-426 View citations (57)
    See also Working Paper (1997)
73. Technical analysis in the foreign exchange market: a layman's guide
    Review, 1997, (Sep), 23-38 View citations (28)

1996

74. The giant sucking sound: did NAFTA devour the Mexican peso?
    Review, 1996, (Jul), 33-48 View citations (1)

1995

75. Deflation and real economic activity under the gold standard
    Review, 1995, (Sep), 27-37

1994

76. Realignment of target zone exchange rate systems: what do we know?
    Review, 1994, (Sep), 23-34 View citations (4)

Editor

1. Journal of International Financial Markets, Institutions and Money
   Elsevier