Details about Christopher Neely

Access statistics for papers by Christopher Neely.

Last updated 2009-11-20. Update your information in the RePEc Author Service.

Short-id: pne3

Working Papers

2009

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

2008

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

2007

5. Central bank authorities’ beliefs about foreign exchange intervention
   Working Papers, Federal Reserve Bank of St. Louis View citations
   See also Journal Article in Journal of International Money and Finance (2008)
6. Central bank intervention and exchange rate volatility, its continuous and jump components
   Working Papers, Federal Reserve Bank of St. Louis View citations
   See also Journal Article in International Journal of Finance & Economics (2007)
7. Central bank intervention with limited arbitrage
   Working Papers, Federal Reserve Bank of St. Louis View citations
   See also Journal Article in International Journal of Finance & Economics (2007)
8. Information shares in the U.S. treasury market
   Working Papers, Federal Reserve Bank of St. Louis View citations
   See also Journal Article in Journal of Banking & Finance (2008)
9. Jumps, cojumps and macro announcements
   Working Papers, Federal Reserve Bank of St. Louis View citations
10. The adaptive markets hypothesis: evidence from the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis View citations
    See also Journal Article in Journal of Financial and Quantitative Analysis (2009)
11. The microstructure of the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis

2006

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

2005

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

2004

20. 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
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2009)
21. 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

2003

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

2002

23. How well do monetary fundamentals forecast exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis View citations
    See also Journal Article in Review (2002)
24. 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

2001

25. Intraday technical trading in the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis View citations
    Also in Working Papers, Warwick Business School, Financial Econometrics Research Centre (1999) View citations
    See also Journal Article in Journal of International Money and Finance (2003)
26. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics
    Working Papers, Federal Reserve Bank of St. Louis View citations
27. 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

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

1999

30. Predictability in International Asset Returns: A Re-examination
    Working Papers, Warwick Business School, Financial Econometrics Research Centre
    Also in Working Papers, Federal Reserve Bank of St. Louis (1999) View citations
    See also Journal Article in Journal of Financial and Quantitative Analysis (2000)
31. 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

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

1997

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

1995

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

1994

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

Journal Articles

2009

1. 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
   See also Working Paper (2004)
2. Markets worry more about sovereign debt
   International Economic Trends, 2009, (Feb)
3. Systemic risk and the financial crisis: a primer
   Review, 2009, (Sep), 403-418
4. The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
   Journal of Financial and Quantitative Analysis, 2009, 44, (02), 467-488
   See also Working Paper (2007)

2008

5. Central bank authorities' beliefs about foreign exchange intervention
   Journal of International Money and Finance, 2008, 27, (1), 1-25 View citations
   See also Working Paper (2007)
6. Information shares in the US Treasury market
   Journal of Banking & Finance, 2008, 32, (7), 1221-1233 View citations
   See also Working Paper (2007)
7. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
   Economics Letters, 2008, 99, (2), 371-374
   See also Working Paper (2006)
8. Real interest rate persistence: evidence and implications
   Review, 2008, (Nov), 609-642
   See also Working Paper (2008)
9. The sovereign wealth funds of nations
   International Economic Trends, 2008, (May)

2007

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

2006

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

2005

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

2004

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

2003

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

2002

32. How expensive are stocks?
    Monetary Trends, 2002, (Jun) View citations
33. How well do monetary fundamentals forecast exchange rates?
    Review, 2002, (Sep), 51-74 View citations
    See also Working Paper (2002)
34. Options on economic data
    International Economic Trends, 2002, (Nov)
35. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics
    Review, 2002, (May), 43-54 View citations
36. The Fed responds to Sept. 11 attacks
    The Regional Economist, 2002, (Jan.), 12-13
37. 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

2001

38. International interest rate linkages
    International Economic Trends, 2001, (Aug) View citations
39. 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
40. September 11, 2001
    Monetary Trends, 2001, (Nov)
41. Technical analysis and central bank intervention
    Journal of International Money and Finance, 2001, 20, (7), 949-970 View citations
    See also Working Paper (2000)
42. The practice of central bank intervention: looking under the hood
    The Regional Economist, 2001, (May), 1-10 View citations
    See also Working Paper (2000)

2000

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

1999

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

1998

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

1997

53. A BENEFIT-COST ANALYSIS OF DISINFLATION
    Contemporary Economic Policy, 1997, 15, (1), 50-64 View citations
54. 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
    See also Working Paper (1997)
55. Technical analysis in the foreign exchange market: a layman's guide
    Review, 1997, (Sep), 23-38 View citations

1996

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

1995

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

1994

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

Editor

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