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Details about Christopher Neely

E-mail:
Homepage:http://research.stlouisfed.org/econ/cneely/
Postal address:Chris Neely 411 Locust St. St. Louis, MO 63102 United States
Workplace:Research Division, Federal Reserve Bank of St. Louis, (more information at EDIRC)

Access statistics for papers by Christopher Neely.

Last updated 2014-11-07. Update your information in the RePEc Author Service.

Short-id: pne3


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Working Papers

2014

  1. Can risk explain the profitability of technical trading in currency markets?
    Working Papers, Federal Reserve Bank of St. Louis Downloads
  2. How Persistent are Monetary Policy Effects at the Zero Lower Bound?
    Working Papers, Federal Reserve Bank of St. Louis Downloads
  3. The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
    Working Papers, Federal Reserve Bank of St. Louis Downloads

2013

  1. Which continuous-time model is most appropriate for exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis Downloads

2012

  1. Econometric modeling of exchange rate volatility and jumps
    Working Papers, Federal Reserve Bank of St. Louis Downloads
  2. International channels of the Fed’s unconventional monetary policy
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (3)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2012) Downloads View citations (9)

2011

  1. Capital flows and Japanese asset volatility
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    See also Journal Article in Pacific Economic Review (2012)
  2. Forecasting the Equity Risk Premium: The Role of Technical Indicators
    Working Papers, Sim Kee Boon Institute for Financial Economics Downloads View citations (8)
  3. Lessons from the evolution of foreign exchange trading strategies
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    See also Journal Article in Journal of Banking & Finance (2013)
  4. Technical analysis in the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (21)

2010

  1. Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
  2. The large scale asset purchases had large international effects
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (69)

2009

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

2008

  1. Is inflation an international phenomenon?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (9)
  2. Real interest rate persistence: evidence and implications
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (17)
    See also Journal Article in Review (2008)
  3. The dynamic interaction of order flows and the CAD/USD exchange rate
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)

2007

  1. Central Bank intervention and exchange rate volatility: its continuous and jump components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (19)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) Downloads View citations (25)

    See also Journal Article in International Journal of Finance & Economics (2007)
  2. Central bank authorities’ beliefs about foreign exchange intervention
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
    See also Journal Article in Journal of International Money and Finance (2008)
  3. Central bank intervention with limited arbitrage
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
    See also Journal Article in International Journal of Finance & Economics (2007)
  4. Information shares in the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)
    See also Journal Article in Journal of Banking & Finance (2008)
  5. Jumps, cojumps and macro announcements
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (8)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of Applied Econometrics (2011)
  6. The adaptive markets hypothesis: evidence from the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (11)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2009)
  7. The microstructure of the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (5)

2006

  1. Can Markov switching models predict excess foreign exchange returns?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (25)
    See also Journal Article in Journal of Banking & Finance (2007)
  2. Foreign exchange volatility is priced in equities
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
    See also Journal Article in Financial Management (2008)
  3. Identifying the effects of U.S. intervention on the levels of exchange rates
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (10)
  4. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    See also Journal Article in Economics Letters (2008)
  5. The Transition to Electronic Trading in the Secondary Treasury Market
    Departmental Working Papers, Rutgers University, Department of Economics View citations (3)

2005

  1. An analysis of recent studies of the effect of foreign exchange intervention
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (44)
    See also Journal Article in Review (2005)
  2. The case for foreign exchange intervention: the government as an active reserve manager
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)
  3. Year-end seasonality in one-month LIBOR derivatives
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)

2004

  1. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2009)
  2. 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 Downloads View citations (1)

2003

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

2002

  1. How well do monetary fundamentals forecast exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (40)
    See also Journal Article in Review (2002)
  2. 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 Downloads View citations (33)

2001

  1. Intraday technical trading in the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (8)
    Also in Working Papers, Warwick Business School, Finance Group (1999) Downloads View citations (1)

    See also Journal Article in Journal of International Money and Finance (2003)
  2. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
  3. Risk-adjusted, ex ante, optimal technical trading rules in equity markets
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    See also Journal Article in International Review of Economics & Finance (2003)

2000

  1. Technical analysis and central bank intervention
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
    Also in Working Papers, Warwick Business School, Finance Group (1999) Downloads View citations (2)

    See also Journal Article in Journal of International Money and Finance (2001)
  2. The practice of central bank intervention: looking under the hood
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (63)
    See also Journal Article in Review (2001)

1999

  1. Predictability in International Asset Returns: A Re-examination
    Working Papers, Warwick Business School, Finance Group Downloads View citations (1)
    Also in Working Papers, Federal Reserve Bank of St. Louis (1999) Downloads View citations (7)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2000)
  2. Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    Also in Working Papers, University of Iowa, Department of Economics (1998)

1998

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

1997

  1. Is technical analysis in the foreign exchange market profitable? a genetic programming approach
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (78)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1996) Downloads View citations (38)

    See also Journal Article in Journal of Financial and Quantitative Analysis (1997)

1995

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

1994

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

Journal Articles

2014

  1. Comparing international bond yields
    Economic Synopses, 2014, (19) Downloads
  2. Lessons from the taper tantrum
    Economic Synopses, 2014, (2) Downloads
  3. The evolution of Federal Reserve policy and the impact of monetary policy surprises on asset prices
    Review, 2014, 96, (1), 73-109 Downloads

2013

  1. Four stories of quantitative easing
    Review, 2013, (Jan), 51-88 Downloads View citations (10)
  2. Lessons from the evolution of foreign exchange trading strategies
    Journal of Banking & Finance, 2013, 37, (10), 3783-3798 Downloads View citations (3)
    See also Working Paper (2011)
  3. Political pressure on the bank of Japan: interference or accountability?
    Economic Synopses, 2013 Downloads
  4. Would it help to eliminate interest on reserves?
    Economic Synopses, 2013 Downloads

2012

  1. CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY
    Pacific Economic Review, 2012, 17, (3), 391-414 Downloads
    See also Working Paper (2011)
  2. The mysterious Greek yield curve
    Economic Synopses, 2012 Downloads View citations (2)

2011

  1. A foreign exchange intervention in an era of restraint
    Review, 2011, (Sep), 303-324 Downloads View citations (10)
  2. A survey of announcement effects on foreign exchange volatility and jumps
    Review, 2011, (Sep), 361-385 Downloads View citations (1)
  3. Fiscal policy and expected inflation
    Economic Synopses, 2011 Downloads
  4. International comovements in inflation rates and country characteristics
    Journal of International Money and Finance, 2011, 30, (7), 1471-1490 Downloads View citations (8)
  5. Jumps, cojumps and macro announcements
    Journal of Applied Econometrics, 2011, 26, (6), 893-921 View citations (39)
    See also Working Paper (2007)
  6. The difference between currency manipulation and monetary policy
    Economic Synopses, 2011 Downloads View citations (1)
  7. The great foreign exchange intervention of 2011
    Economic Synopses, 2011 Downloads View citations (1)

2010

  1. "How central should the central bank be?" a comment
    Economic Synopses, 2010 Downloads
  2. A survey of announcement effects on foreign exchange returns
    Review, 2010, (Sep), 417-464 Downloads View citations (6)
  3. Okun's law: output and unemployment
    Economic Synopses, 2010 Downloads View citations (2)
  4. The effects of large-scale asset purchases on TIPS inflation expectations
    Economic Synopses, 2010 Downloads View citations (4)
  5. U.S. historical experience with deflation
    Economic Synopses, 2010 Downloads

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 Downloads View citations (3)
    See also Working Paper (2004)
  2. Markets worry more about sovereign debt
    International Economic Trends, 2009, (Feb) Downloads
  3. Systemic risk and the financial crisis: a primer
    Review, 2009, (Sep), 403-418 Downloads View citations (7)
  4. The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
    Journal of Financial and Quantitative Analysis, 2009, 44, (02), 467-488 Downloads View citations (26)
    See also Working Paper (2007)

2008

  1. Central bank authorities' beliefs about foreign exchange intervention
    Journal of International Money and Finance, 2008, 27, (1), 1-25 Downloads View citations (35)
    See also Working Paper (2007)
  2. Foreign Exchange Volatility Is Priced in Equities
    Financial Management, 2008, 37, (4), 769-790 Downloads View citations (3)
    See also Working Paper (2006)
  3. Information shares in the US Treasury market
    Journal of Banking & Finance, 2008, 32, (7), 1221-1233 Downloads View citations (19)
    See also Working Paper (2007)
  4. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
    Economics Letters, 2008, 99, (2), 371-374 Downloads View citations (10)
    See also Working Paper (2006)
  5. Real interest rate persistence: evidence and implications
    Review, 2008, (Nov), 609-642 Downloads View citations (6)
    See also Working Paper (2008)
  6. The sovereign wealth funds of nations
    International Economic Trends, 2008, (May) Downloads

2007

  1. Asian nations driving world oil prices
    The Regional Economist, 2007, (Apr), 12-13 Downloads
  2. Can Markov switching models predict excess foreign exchange returns?
    Journal of Banking & Finance, 2007, 31, (2), 279-296 Downloads View citations (21)
    See also Working Paper (2006)
  3. Central bank intervention and exchange rate volatility, its continuous and jump components
    International Journal of Finance & Economics, 2007, 12, (2), 201-223 Downloads View citations (13)
    See also Working Paper (2007)
  4. Central bank intervention with limited arbitrage
    International Journal of Finance & Economics, 2007, 12, (2), 249-260 Downloads View citations (1)
    See also Working Paper (2007)
  5. China's strategic petroleum reserve: a drop in the bucket
    National Economic Trends, 2007, (Jan) Downloads
  6. Exchange rate intervention
    International Journal of Finance & Economics, 2007, 12, (2), 107-108 Downloads View citations (12)
  7. One dollar = one loonie
    International Economic Trends, 2007, (Nov) Downloads
  8. Why do gasoline prices react to things that have not happened?
    The Regional Economist, 2007, (Jul), 10-11 Downloads

2006

  1. The puzzling convergence in foreign exchange volatility
    International Economic Trends, 2006, (Jul) Downloads
  2. The transition to electronic communications networks in the secondary treasury market
    Review, 2006, (Nov), 527-542 Downloads View citations (11)
  3. What are the odds? option-based forecasts of FOMC target changes
    Review, 2006, (Nov), 543-562 Downloads View citations (1)

2005

  1. An analysis of recent studies of the effect of foreign exchange intervention
    Review, 2005, (Nov), 685-718 Downloads View citations (80)
    See also Working Paper (2005)
  2. Unwinding the current account deficit
    International Economic Trends, 2005, (May) Downloads
  3. Using implied volatility to measure uncertainty about interest rates
    Review, 2005, (May), 407-425 Downloads View citations (7)

2004

  1. Miscommunication shook up mortgage, bond markets
    The Regional Economist, 2004, (Apr), 4-9 Downloads View citations (1)
  2. The Federal Reserve responds to crises: September 11th was not the first
    Review, 2004, (Mar), 27-42 Downloads View citations (6)
    See also Working Paper (2003)
  3. Will oil prices choke growth?
    International Economic Trends, 2004, (Jul) Downloads

2003

  1. Bond market mania
    Monetary Trends, 2003, (Oct) Downloads View citations (2)
  2. Endogenous realignments in a target zone
    Oxford Economic Papers, 2003, 55, (3), 494-511
  3. Global factors in budget deficits
    International Economic Trends, 2003, (Nov) Downloads View citations (1)
  4. Intraday technical trading in the foreign exchange market
    Journal of International Money and Finance, 2003, 22, (2), 223-237 Downloads View citations (30)
    See also Working Paper (2001)
  5. Risk-adjusted, ex ante, optimal technical trading rules in equity markets
    International Review of Economics & Finance, 2003, 12, (1), 69-87 Downloads View citations (9)
    See also Working Paper (2001)

2002

  1. How expensive are stocks?
    Monetary Trends, 2002, (Jun) Downloads View citations (2)
  2. How well do monetary fundamentals forecast exchange rates?
    Review, 2002, (Sep), 51-74 Downloads View citations (23)
    See also Working Paper (2002)
  3. Options on economic data
    International Economic Trends, 2002, (Nov) Downloads
  4. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics
    Review, 2002, (May), 43-54 Downloads View citations (5)
  5. The Fed responds to Sept. 11 attacks
    The Regional Economist, 2002, (Jan.), 12-13 Downloads
  6. 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 Downloads View citations (26)

2001

  1. International interest rate linkages
    International Economic Trends, 2001, (Aug) Downloads View citations (1)
  2. 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 (28)
  3. September 11, 2001
    Monetary Trends, 2001, (Nov) Downloads
  4. Technical analysis and central bank intervention
    Journal of International Money and Finance, 2001, 20, (7), 949-970 Downloads View citations (37)
    See also Working Paper (2000)
  5. The practice of central bank intervention: looking under the hood
    Review, 2001, (May), 1-10 Downloads View citations (45)
    See also Working Paper (2000)

2000

  1. Are changes in foreign exchange reserves well correlated with official intervention?
    Review, 2000, (Sep), 17-32 Downloads View citations (20)
  2. Predictability in International Asset Returns: A Reexamination
    Journal of Financial and Quantitative Analysis, 2000, 35, (04), 601-620 Downloads View citations (12)
    See also Working Paper (1999)
  3. Stock prices and consumption
    Monetary Trends, 2000, (Jul) Downloads
  4. What is the slope of the yield curve telling us?
    Monetary Trends, 2000, (Aug) Downloads

1999

  1. An E.U. withholding tax?
    International Economic Trends, 1999, (Nov) Downloads
  2. An introduction to capital controls
    Review, 1999, (Nov), 13-30 Downloads View citations (40)
  3. How big is Japan's debt?
    International Economic Trends, 1999, (Feb) Downloads
  4. Target zones and conditional volatility: The role of realignments
    Journal of Empirical Finance, 1999, 6, (2), 177-192 Downloads View citations (27)
    See also Working Paper (1998)
  5. Technical trading rules in the European Monetary System
    Journal of International Money and Finance, 1999, 18, (3), 429-458 Downloads View citations (31)
    See also Working Paper (1998)

1998

  1. Technical analysis and the profitability of U.S. foreign exchange intervention
    Review, 1998, (Jul), 3-17 Downloads View citations (40)

1997

  1. A BENEFIT-COST ANALYSIS OF DISINFLATION
    Contemporary Economic Policy, 1997, 15, (1), 50-64 Downloads View citations (7)
  2. Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
    Journal of Financial and Quantitative Analysis, 1997, 32, (04), 405-426 Downloads View citations (72)
    See also Working Paper (1997)
  3. Technical analysis in the foreign exchange market: a layman's guide
    Review, 1997, (Sep), 23-38 Downloads View citations (39)

1996

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

1995

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

1994

  1. Realignment of target zone exchange rate systems: what do we know?
    Review, 1994, (Sep), 23-34 View citations (3)

Editor

  1. Journal of International Financial Markets, Institutions and Money
    Elsevier
 
Page updated 2014-12-19