Details about Christopher Neely

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 2024-06-07. Update your information in the RePEc Author Service.

Short-id: pne3

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Working Papers

2024

1. Measuring Inflation: Headline, Core and “Supercore” Services
   On the Economy, Federal Reserve Bank of St. Louis
2. Mind Your Language: Market Responses to Central Bank Speeches
   Working Papers, Federal Reserve Bank of St. Louis View citations (5)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)
3. Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
   Working Papers, Federal Reserve Bank of St. Louis
   Also in Papers, arXiv.org (2023)
4. The Costless Disinflation of 2022-24
   On the Economy, Federal Reserve Bank of St. Louis

2023

5. Reviewing the Impact of Energy Sanctions on Russia
   On the Economy, Federal Reserve Bank of St. Louis
6. Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications
   Working Papers, Federal Reserve Bank of St. Louis
7. What Is the Probability of a Recession? The Message from Yield Spreads
   On the Economy, Federal Reserve Bank of St. Louis

2022

8. Financial market reactions to the Russian invasion of Ukraine
   Working Papers, Federal Reserve Bank of St. Louis View citations (3)
   See also Journal Article Financial Market Reactions to the Russian Invasion of Ukraine, Review, Federal Reserve Bank of St. Louis (2022) (2022)
9. How Persistent Are Unconventional Monetary Policy Effects?
   Working Papers, Federal Reserve Bank of St. Louis View citations (3)
   See also Journal Article How persistent are unconventional monetary policy effects?, Journal of International Money and Finance, Elsevier (2022) View citations (3) (2022)
10. Inflation and the Real Value of Debt: A Double-edged Sword
    On the Economy, Federal Reserve Bank of St. Louis View citations (1)
11. Russia’s Invasion of Ukraine and Its Impact on Stock Prices
    On the Economy, Federal Reserve Bank of St. Louis
12. The Innocent Greenbacks Abroad: U.S. Currency Held Internationally
    On the Economy, Federal Reserve Bank of St. Louis

2021

13. More Irrational Exuberance? A Look at Stock Prices
    On the Economy, Federal Reserve Bank of St. Louis
14. Unconventional monetary policy and the behavior of shorts
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Unconventional Monetary Policy and the Behavior of Shorts, Journal of Money, Credit and Banking, Blackwell Publishing (2024) (2024)

2020

15. A Look at the Fed’s Emergency Lending Programs
    On the Economy, Federal Reserve Bank of St. Louis
16. An Analysis of the Literature on International Unconventional Monetary Policy
    Working Papers, Federal Reserve Bank of St. Louis View citations (16)
    See also Journal Article An Analysis of the Literature on International Unconventional Monetary Policy, Journal of Economic Literature, American Economic Association (2022) View citations (29) (2022)
17. Can risk explain the profitability of technical trading in currency markets?
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Can risk explain the profitability of technical trading in currency markets?, Journal of International Money and Finance, Elsevier (2021) View citations (5) (2021)
18. Monetary Policy and Economic Performance Since the Financial Crisis
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (4)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2020) View citations (5)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2020) View citations (4)
    See also Journal Article Monetary Policy and Economic Performance Since the Financial Crisis, Review, Federal Reserve Bank of St. Louis (2021) (2021)
19. More Stories of Unconventional Monetary Policy
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article More Stories of Unconventional Monetary Policy, Review, Federal Reserve Bank of St. Louis (2021) View citations (2) (2021)
20. Supply and demand shifts of shorts before Fed announcements during QE1–QE3
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Supply and demand shifts of shorts before Fed announcements during QE1–QE3, Economics Letters, Elsevier (2021) (2021)

2018

21. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2017) View citations (1)
    See also Journal Article Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book, Journal of Econometrics, Elsevier (2019) View citations (11) (2019)

2017

22. Chinese Foreign Exchange Reserves, Policy Choices and the U.S. Economy
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article Chinese Foreign Exchange Reserves, Policy Choices, and the U.S. Economy, Review, Federal Reserve Bank of St. Louis (2017) View citations (3) (2017)
23. Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article Systematic cojumps, market component portfolios and scheduled macroeconomic announcements, Journal of Empirical Finance, Elsevier (2017) View citations (3) (2017)
24. The response of multinationals’ foreign exchange rate exposure to macroeconomic news
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article The response of multinationals’ foreign exchange rate exposure to macroeconomic news, Journal of International Money and Finance, Elsevier (2019) View citations (7) (2019)

2015

25. Which continuous-time model is most appropriate for exchange rates?
    Post-Print, HAL View citations (3)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2013) View citations (1)
    See also Journal Article Which continuous-time model is most appropriate for exchange rates?, Journal of Banking & Finance, Elsevier (2015) View citations (3) (2015)

2014

26. 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 View citations (5)
    See also Journal Article The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (5) (2020)

2012

27. Econometric modeling of exchange rate volatility and jumps
    Working Papers, Federal Reserve Bank of St. Louis View citations (17)
    See also Chapter Econometric modeling of exchange rate volatility and jumps, Chapters, Edward Elgar Publishing (2013) (2013)
28. International channels of the Fed’s unconventional monetary policy
    Working Papers, Federal Reserve Bank of St. Louis View citations (30)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2012) View citations (5)
    See also Journal Article International channels of the Fed's unconventional monetary policy, Journal of International Money and Finance, Elsevier (2014) View citations (109) (2014)

2011

29. Capital flows and Japanese asset volatility
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY, Pacific Economic Review, Wiley Blackwell (2012) View citations (1) (2012)
30. Forecasting the Equity Risk Premium: The Role of Technical Indicators
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics View citations (15)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) View citations (21)
    See also Journal Article Forecasting the Equity Risk Premium: The Role of Technical Indicators, Management Science, INFORMS (2014) View citations (463) (2014)
31. Jumps, cojumps and macro announcements
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (131)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (9)
    See also Journal Article Jumps, cojumps and macro announcements, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (184) (2011)
32. Lessons from the evolution of foreign exchange trading strategies
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article Lessons from the evolution of foreign exchange trading strategies, Journal of Banking & Finance, Elsevier (2013) View citations (34) (2013)
33. Technical analysis in the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis View citations (34)

2010

34. The large scale asset purchases had large international effects
    Working Papers, Federal Reserve Bank of St. Louis View citations (183)
    See also Journal Article Unconventional monetary policy had large international effects, Journal of Banking & Finance, Elsevier (2015) View citations (293) (2015)

2009

35. Common fluctuations in OECD budget balances
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article Common Fluctuations in OECD Budget Balances, Review, Federal Reserve Bank of St. Louis (2015) View citations (1) (2015)

2008

36. Is inflation an international phenomenon?
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
37. Optimal discrete hedging in the Heston Stochastic Volatility Model
    Working Paper Series, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation
38. Real interest rate persistence: evidence and implications
    Working Papers, Federal Reserve Bank of St. Louis View citations (71)
    See also Journal Article Real interest rate persistence: evidence and implications, Review, Federal Reserve Bank of St. Louis (2008) View citations (32) (2008)
39. The dynamic interaction of order flows and the CAD/USD exchange rate
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)

2007

40. Central Bank intervention and exchange rate volatility: its continuous and jump components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (50)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (52)
    See also Journal Article Central bank intervention and exchange rate volatility, its continuous and jump components, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2007) View citations (45) (2007)
41. Central bank authorities’ beliefs about foreign exchange intervention
    Working Papers, Federal Reserve Bank of St. Louis View citations (8)
    See also Journal Article Central bank authorities' beliefs about foreign exchange intervention, Journal of International Money and Finance, Elsevier (2008) View citations (68) (2008)
42. Central bank intervention with limited arbitrage
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
    See also Journal Article Central bank intervention with limited arbitrage, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2007) View citations (4) (2007)
43. Information shares in the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article Information shares in the US Treasury market, Journal of Banking & Finance, Elsevier (2008) View citations (81) (2008)
44. The adaptive markets hypothesis: evidence from the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis View citations (14)
    See also Journal Article The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market, Journal of Financial and Quantitative Analysis, Cambridge University Press (2009) View citations (120) (2009)
45. The microstructure of the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis View citations (10)

2006

46. Can Markov switching models predict excess foreign exchange returns?
    Working Papers, Federal Reserve Bank of St. Louis View citations (27)
    See also Journal Article Can Markov switching models predict excess foreign exchange returns?, Journal of Banking & Finance, Elsevier (2007) View citations (41) (2007)
47. Foreign exchange volatility is priced in equities
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article Foreign Exchange Volatility Is Priced in Equities, Financial Management, Financial Management Association International (2008) View citations (10) (2008)
48. Identifying the effects of U.S. intervention on the levels of exchange rates
    Working Papers, Federal Reserve Bank of St. Louis View citations (10)
49. 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 (2)
    See also Journal Article Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model, Economics Letters, Elsevier (2008) View citations (25) (2008)
50. The Transition to Electronic Trading in the Secondary Treasury Market
    Departmental Working Papers, Rutgers University, Department of Economics View citations (4)

2005

51. An analysis of recent studies of the effect of foreign exchange intervention
    Working Papers, Federal Reserve Bank of St. Louis View citations (98)
    See also Journal Article An analysis of recent studies of the effect of foreign exchange intervention, Review, Federal Reserve Bank of St. Louis (2005) View citations (175) (2005)
52. The case for foreign exchange intervention: the government as an active reserve manager
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
53. Year-end seasonality in one-month LIBOR derivatives
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)

2004

54. 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 (6)
    See also Journal Article Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?, Journal of International Financial Markets, Institutions and Money, Elsevier (2009) View citations (15) (2009)
55. 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 (4)

2003

56. The Federal Reserve responds to crises: September 11th was not the first
    Working Papers, Federal Reserve Bank of St. Louis View citations (6)
    See also Journal Article The Federal Reserve responds to crises: September 11th was not the first, Review, Federal Reserve Bank of St. Louis (2004) View citations (12) (2004)

2002

57. How well do monetary fundamentals forecast exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis View citations (72)
    See also Journal Article How well do monetary fundamentals forecast exchange rates?, Review, Federal Reserve Bank of St. Louis (2002) View citations (37) (2002)
58. 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 (47)
    See also Journal Article The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits, Journal of International Economics, Elsevier (2002) View citations (80) (2002)

2001

59. Intraday technical trading in the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
    See also Journal Article Intraday technical trading in the foreign exchange market, Journal of International Money and Finance, Elsevier (2003) View citations (63) (2003)
60. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
61. Risk-adjusted, ex ante, optimal technical trading rules in equity markets
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Risk-adjusted, ex ante, optimal technical trading rules in equity markets, International Review of Economics & Finance, Elsevier (2003) View citations (18) (2003)

2000

62. Technical analysis and central bank intervention
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article Technical analysis and central bank intervention, Journal of International Money and Finance, Elsevier (2001) View citations (51) (2001)
63. The practice of central bank intervention: looking under the hood
    Working Papers, Federal Reserve Bank of St. Louis View citations (80)
    See also Journal Article The practice of central bank intervention: looking under the hood, Review, Federal Reserve Bank of St. Louis (2001) View citations (73) (2001)

1999

64. Predictability in international asset returns: a reexamination
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    See also Journal Article Predictability in International Asset Returns: A Reexamination, Journal of Financial and Quantitative Analysis, Cambridge University Press (2000) View citations (22) (2000)
65. Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    Also in Working Papers, University of Iowa, Department of Economics (1998)

1998

66. Endogenous realignments and the sustainability of a target
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
67. Target zones and conditional volatility: the role of realignments
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article Target zones and conditional volatility: The role of realignments, Journal of Empirical Finance, Elsevier (1999) View citations (37) (1999)
68. Technical trading rules in the European Monetary System
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)
    See also Journal Article Technical trading rules in the European Monetary System, Journal of International Money and Finance, Elsevier (1999) View citations (40) (1999)

1997

69. Is technical analysis in the foreign exchange market profitable? a genetic programming approach
    Working Papers, Federal Reserve Bank of St. Louis View citations (199)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1996) View citations (45)
    See also Journal Article Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach, Journal of Financial and Quantitative Analysis, Cambridge University Press (1997) View citations (210) (1997)

1995

70. Endogenous Realignments and the Sustainability of a Target Zone
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
71. Testing asset pricing models with Euler equations: it's worse than you think
    Working Papers, Federal Reserve Bank of St. Louis

1994

72. 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)
73. Realignments of target zone exchange systems: what do we know?
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)

Journal Articles

2024

1. Unconventional Monetary Policy and the Behavior of Shorts
   Journal of Money, Credit and Banking, 2024, 56, (4), 805-835
   See also Working Paper Unconventional monetary policy and the behavior of shorts, Working Papers (2021) (2021)
2. Why Have a Strategic Petroleum Reserve?
   Economic Synopses, 2024, (5), 3 pages

2023

3. Interest Rate Risk, Bank Runs and Silicon Valley Bank
   The Regional Economist, 2023
4. Modeling Professional Recession Forecasts
   Economic Synopses, 2023, (21), 3 pages
5. Systemic Financial Risks, Macroprudential Tools and Monetary Policy
   The Regional Economist, 2023
6. The FDIC Studies “Options for Deposit Insurance Reform”
   Economic Synopses, 2023, (14), 2 pages
7. The Rise and Fall of M2
   Economic Synopses, 2023

2022

8. A Shutoff of Russian Natural Gas
   Economic Synopses, 2022, (29), 1-2
9. An Analysis of the Literature on International Unconventional Monetary Policy
   Journal of Economic Literature, 2022, 60, (2), 527-97 View citations (29)
   See also Working Paper An Analysis of the Literature on International Unconventional Monetary Policy, Working Papers (2020) View citations (16) (2020)
10. Financial Market Reactions to the Russian Invasion of Ukraine
    Review, 2022, 104, (4), 266-296
    See also Working Paper Financial market reactions to the Russian invasion of Ukraine, Working Papers (2022) View citations (3) (2022)
11. How Do Economists Think about the Environment and Climate Change?
    The Regional Economist, 2022
12. How persistent are unconventional monetary policy effects?
    Journal of International Money and Finance, 2022, 126, (C) View citations (3)
    See also Working Paper How Persistent Are Unconventional Monetary Policy Effects?, Working Papers (2022) View citations (3) (2022)
13. The Russian Invasion, Oil and Gasoline Prices, and Recession
    Economic Synopses, 2022, (10), 1-2 View citations (2)
14. Why Price Controls Should Stay in the History Books
    The Regional Economist, 2022 View citations (1)

2021

15. Can risk explain the profitability of technical trading in currency markets?
    Journal of International Money and Finance, 2021, 110, (C) View citations (5)
    See also Working Paper Can risk explain the profitability of technical trading in currency markets?, Working Papers (2020) (2020)
16. International Inflation Trends
    Economic Synopses, 2021, (9), 1-2
17. Monetary Policy and Economic Performance Since the Financial Crisis
    Review, 2021, 103, (4), 425-460
    See also Working Paper Monetary Policy and Economic Performance Since the Financial Crisis, Globalization Institute Working Papers (2020) View citations (4) (2020)
18. More Stories of Unconventional Monetary Policy
    Review, 2021, 103, (2), 207-270 View citations (2)
    See also Working Paper More Stories of Unconventional Monetary Policy, Working Papers (2020) (2020)
19. Overshooting the Inflation Target
    Economic Synopses, 2021, (24), 1-3
20. Supply and demand shifts of shorts before Fed announcements during QE1–QE3
    Economics Letters, 2021, 200, (C)
    See also Working Paper Supply and demand shifts of shorts before Fed announcements during QE1–QE3, Working Papers (2020) (2020)

2020

21. Central Bank Responses to COVID-19
    Economic Synopses, 2020, (23) View citations (2)
22. Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities
    Economic Synopses, 2020, (19)
23. Federal Reserve System International Facilities
    Economic Synopses, 2020, (29) View citations (1)
24. Negative U.S. Interest Rates?
    Economic Synopses, 2020, (4)
25. Responses of International Central Banks to the COVID-19 Crisis
    Review, 2020, 102, (4), 338-384 View citations (10)
26. Secondary Market Corporate Credit Facility Supports Main Street
    Economic Synopses, 2020, (17) View citations (1)
27. Supporting Small Borrowers: ABS Markets and the TALF
    Economic Synopses, 2020, (20) View citations (1)
28. The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
    Journal of Business & Economic Statistics, 2020, 38, (2), 410-427 View citations (5)
    See also Working Paper The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited, Working Papers (2014) View citations (5) (2014)
29. The Stock Market's Wild Ride
    Economic Synopses, 2020, (15)

2019

30. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
    Journal of Econometrics, 2019, 209, (2), 158-184 View citations (11)
    See also Working Paper Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book, IRTG 1792 Discussion Papers (2018) View citations (1) (2018)
31. The Asset Holdings of the Bank of Japan
    Economic Synopses, 2019, (17)
32. The response of multinationals’ foreign exchange rate exposure to macroeconomic news
    Journal of International Money and Finance, 2019, 94, (C), 32-47 View citations (7)
    See also Working Paper The response of multinationals’ foreign exchange rate exposure to macroeconomic news, Working Papers (2017) View citations (2) (2017)
33. What to Expect from Quantitative Tightening
    Economic Synopses, 2019, (8)

2018

34. Why Are U.S. Bond Yields So High?
    Economic Synopses, 2018, (18), 1-2

2017

35. Chinese Foreign Exchange Reserves, Policy Choices, and the U.S. Economy
    Review, 2017, 99, (2) View citations (3)
    See also Working Paper Chinese Foreign Exchange Reserves, Policy Choices and the U.S. Economy, Working Papers (2017) View citations (3) (2017)
36. Systematic cojumps, market component portfolios and scheduled macroeconomic announcements
    Journal of Empirical Finance, 2017, 43, (C), 43-58 View citations (3)
    See also Working Paper Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements, Working Papers (2017) View citations (3) (2017)
37. The People’s Bank of China Boosts the Yuan
    Economic Synopses, 2017, (3), 1-2 View citations (1)

2016

38. Chinese Foreign Exchange Reserves and the U.S. Economy
    Economic Synopses, 2016, (9), 1-2

2015

39. Common Fluctuations in OECD Budget Balances
    Review, 2015, 97, (2), 109-132 View citations (1)
    See also Working Paper Common fluctuations in OECD budget balances, Working Papers (2009) View citations (1) (2009)
40. Financial Engineering Versus Cancer
    Economic Synopses, 2015, (18)
41. How Much Do Oil Prices Affect Inflation?
    Economic Synopses, 2015, (10) View citations (10)
42. Unconventional monetary policy had large international effects
    Journal of Banking & Finance, 2015, 52, (C), 101-111 View citations (293)
    See also Working Paper The large scale asset purchases had large international effects, Working Papers (2010) View citations (183) (2010)
43. Which continuous-time model is most appropriate for exchange rates?
    Journal of Banking & Finance, 2015, 61, (S2), S256-S268 View citations (3)
    See also Working Paper Which continuous-time model is most appropriate for exchange rates?, Post-Print (2015) View citations (3) (2015)

2014

44. Comparing international bond yields
    Economic Synopses, 2014, (19)
45. Forecasting the Equity Risk Premium: The Role of Technical Indicators
    Management Science, 2014, 60, (7), 1772-1791 View citations (463)
    See also Working Paper Forecasting the Equity Risk Premium: The Role of Technical Indicators, Working Papers (2011) View citations (15) (2011)
46. International channels of the Fed's unconventional monetary policy
    Journal of International Money and Finance, 2014, 44, (C), 24-46 View citations (109)
    See also Working Paper International channels of the Fed’s unconventional monetary policy, Working Papers (2012) View citations (30) (2012)
47. Lessons from the taper tantrum
    Economic Synopses, 2014, (2) View citations (16)
48. The evolution of Federal Reserve policy and the impact of monetary policy surprises on asset prices
    Review, 2014, 96, (1), 73-109 View citations (14)

2013

49. Four stories of quantitative easing
    Review, 2013, (Jan), 51-88 View citations (163)
50. Lessons from the evolution of foreign exchange trading strategies
    Journal of Banking & Finance, 2013, 37, (10), 3783-3798 View citations (34)
    See also Working Paper Lessons from the evolution of foreign exchange trading strategies, Working Papers (2011) View citations (1) (2011)
51. Political pressure on the bank of Japan: interference or accountability?
    Economic Synopses, 2013 View citations (2)
52. Would it help to eliminate interest on reserves?
    Economic Synopses, 2013

2012

53. CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY
    Pacific Economic Review, 2012, 17, (3), 391-414 View citations (1)
    See also Working Paper Capital flows and Japanese asset volatility, Working Papers (2011) View citations (1) (2011)
54. The mysterious Greek yield curve
    Economic Synopses, 2012 View citations (8)

2011

55. A foreign exchange intervention in an era of restraint
    Review, 2011, 93, (Sep), 303-324 View citations (31)
56. A survey of announcement effects on foreign exchange volatility and jumps
    Review, 2011, 93, (Sep), 361-385 View citations (25)
57. Fiscal policy and expected inflation
    Economic Synopses, 2011 View citations (1)
58. International comovements in inflation rates and country characteristics
    Journal of International Money and Finance, 2011, 30, (7), 1471-1490 View citations (108)
59. Jumps, cojumps and macro announcements
    Journal of Applied Econometrics, 2011, 26, (6), 893-921 View citations (184)
    See also Working Paper Jumps, cojumps and macro announcements, LIDAM Reprints CORE (2011) View citations (131) (2011)
60. The difference between currency manipulation and monetary policy
    Economic Synopses, 2011 View citations (3)
61. The great foreign exchange intervention of 2011
    Economic Synopses, 2011 View citations (1)

2010

62. A survey of announcement effects on foreign exchange returns
    Review, 2010, 92, (Sep), 417-464 View citations (40)
63. Okun's law: output and unemployment
    Economic Synopses, 2010 View citations (5)
64. The effects of large-scale asset purchases on TIPS inflation expectations
    Economic Synopses, 2010 View citations (15)
65. U.S. historical experience with deflation
    Economic Synopses, 2010 View citations (1)
66. \\"How central should the central bank be?\\" a comment
    Economic Synopses, 2010

2009

67. 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 (15)
    See also Working Paper Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?, Working Papers (2004) View citations (6) (2004)
68. Markets worry more about sovereign debt
    International Economic Trends, 2009, (Feb) View citations (1)
69. Systemic risk and the financial crisis: a primer
    Review, 2009, 91, (Sep), 403-418 View citations (20)
70. The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
    Journal of Financial and Quantitative Analysis, 2009, 44, (2), 467-488 View citations (120)
    See also Working Paper The adaptive markets hypothesis: evidence from the foreign exchange market, Working Papers (2007) View citations (14) (2007)

2008

71. Central bank authorities' beliefs about foreign exchange intervention
    Journal of International Money and Finance, 2008, 27, (1), 1-25 View citations (68)
    See also Working Paper Central bank authorities’ beliefs about foreign exchange intervention, Working Papers (2007) View citations (8) (2007)
72. Foreign Exchange Volatility Is Priced in Equities
    Financial Management, 2008, 37, (4), 769-790 View citations (10)
    See also Working Paper Foreign exchange volatility is priced in equities, Working Papers (2006) View citations (1) (2006)
73. Information shares in the US Treasury market
    Journal of Banking & Finance, 2008, 32, (7), 1221-1233 View citations (81)
    See also Working Paper Information shares in the U.S. treasury market, Working Papers (2007) View citations (4) (2007)
74. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
    Economics Letters, 2008, 99, (2), 371-374 View citations (25)
    See also Working Paper Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model, Working Papers (2006) View citations (2) (2006)
75. Real interest rate persistence: evidence and implications
    Review, 2008, 90, (Nov), 609-642 View citations (32)
    See also Working Paper Real interest rate persistence: evidence and implications, Working Papers (2008) View citations (71) (2008)
76. The sovereign wealth funds of nations
    International Economic Trends, 2008, (May)

2007

77. Asian nations driving world oil prices
    The Regional Economist, 2007, (Apr), 12-13
78. Can Markov switching models predict excess foreign exchange returns?
    Journal of Banking & Finance, 2007, 31, (2), 279-296 View citations (41)
    See also Working Paper Can Markov switching models predict excess foreign exchange returns?, Working Papers (2006) View citations (27) (2006)
79. Central bank intervention and exchange rate volatility, its continuous and jump components
    International Journal of Finance & Economics, 2007, 12, (2), 201-223 View citations (45)
    See also Working Paper Central Bank intervention and exchange rate volatility: its continuous and jump components, ULB Institutional Repository (2007) View citations (50) (2007)
80. Central bank intervention with limited arbitrage
    International Journal of Finance & Economics, 2007, 12, (2), 249-260 View citations (4)
    See also Working Paper Central bank intervention with limited arbitrage, Working Papers (2007) View citations (5) (2007)
81. China's strategic petroleum reserve: a drop in the bucket
    National Economic Trends, 2007, (Jan)
82. Exchange rate intervention
    International Journal of Finance & Economics, 2007, 12, (2), 107-108 View citations (24)
83. One dollar = one loonie
    International Economic Trends, 2007, (Nov)
84. Why do gasoline prices react to things that have not happened?
    The Regional Economist, 2007, (Jul), 10-11

2006

85. The transition to electronic communications networks in the secondary treasury market
    Review, 2006, 88, (Nov), 527-542 View citations (32)
86. What are the odds? option-based forecasts of FOMC target changes
    Review, 2006, 88, (Nov), 543-562 View citations (13)

2005

87. An analysis of recent studies of the effect of foreign exchange intervention
    Review, 2005, 87, (Nov), 685-718 View citations (175)
    See also Working Paper An analysis of recent studies of the effect of foreign exchange intervention, Working Papers (2005) View citations (98) (2005)
88. Unwinding the current account deficit
    International Economic Trends, 2005, (May)
89. Using implied volatility to measure uncertainty about interest rates
    Review, 2005, 87, (May), 407-425 View citations (19)

2004

90. Miscommunication shook up mortgage, bond markets
    The Regional Economist, 2004, (Apr), 4-9 View citations (1)
91. The Federal Reserve responds to crises: September 11th was not the first
    Review, 2004, 86, (Mar), 27-42 View citations (12)
    See also Working Paper The Federal Reserve responds to crises: September 11th was not the first, Working Papers (2003) View citations (6) (2003)

2003

92. Bond market mania
    Monetary Trends, 2003, (Oct) View citations (2)
93. Endogenous realignments in a target zone
    Oxford Economic Papers, 2003, 55, (3), 494-511
94. Global factors in budget deficits
    International Economic Trends, 2003, (Nov) View citations (2)
95. Intraday technical trading in the foreign exchange market
    Journal of International Money and Finance, 2003, 22, (2), 223-237 View citations (63)
    See also Working Paper Intraday technical trading in the foreign exchange market, Working Papers (2001) View citations (12) (2001)
96. Risk-adjusted, ex ante, optimal technical trading rules in equity markets
    International Review of Economics & Finance, 2003, 12, (1), 69-87 View citations (18)
    See also Working Paper Risk-adjusted, ex ante, optimal technical trading rules in equity markets, Working Papers (2001) (2001)

2002

97. How expensive are stocks?
    Monetary Trends, 2002, (Jun) View citations (2)
98. How well do monetary fundamentals forecast exchange rates?
    Review, 2002, 84, (Sep), 51-74 View citations (37)
    See also Working Paper How well do monetary fundamentals forecast exchange rates?, Working Papers (2002) View citations (72) (2002)
99. Options on economic data
    International Economic Trends, 2002, (Nov)
100. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics
     Review, 2002, 84, (May), 43-54 View citations (9)
101. The Fed responds to Sept. 11 attacks
     The Regional Economist, 2002, (Jan.), 12-13
102. 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 (80)
     See also Working Paper The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits, Working Papers (2002) View citations (47) (2002)

2001

103. International interest rate linkages
     International Economic Trends, 2001, (Aug) View citations (3)
104. 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 (45)
105. September 11, 2001
     Monetary Trends, 2001, (Nov)
106. Technical analysis and central bank intervention
     Journal of International Money and Finance, 2001, 20, (7), 949-970 View citations (51)
     See also Working Paper Technical analysis and central bank intervention, Working Papers (2000) View citations (3) (2000)
107. The practice of central bank intervention: looking under the hood
     Review, 2001, 83, (May), 1-10 View citations (73)
     See also Working Paper The practice of central bank intervention: looking under the hood, Working Papers (2000) View citations (80) (2000)

2000

108. Are changes in foreign exchange reserves well correlated with official intervention?
     Review, 2000, 82, (Sep), 17-32 View citations (38)
109. Predictability in International Asset Returns: A Reexamination
     Journal of Financial and Quantitative Analysis, 2000, 35, (4), 601-620 View citations (22)
     See also Working Paper Predictability in international asset returns: a reexamination, Working Papers (1999) View citations (9) (1999)
110. Stock prices and consumption
     Monetary Trends, 2000, (Jul)
111. What is the slope of the yield curve telling us?
     Monetary Trends, 2000, (Aug) View citations (1)

1999

112. An E.U. withholding tax?
     International Economic Trends, 1999, (Nov)
113. An introduction to capital controls
     Review, 1999, 81, (Nov), 13-30 View citations (71)
114. How big is Japan's debt?
     International Economic Trends, 1999, (Feb)
115. Target zones and conditional volatility: The role of realignments
     Journal of Empirical Finance, 1999, 6, (2), 177-192 View citations (37)
     See also Working Paper Target zones and conditional volatility: the role of realignments, Working Papers (1998) View citations (2) (1998)
116. Technical trading rules in the European Monetary System
     Journal of International Money and Finance, 1999, 18, (3), 429-458 View citations (40)
     See also Working Paper Technical trading rules in the European Monetary System, Working Papers (1998) View citations (7) (1998)

1998

117. Technical analysis and the profitability of U.S. foreign exchange intervention
     Review, 1998, (Jul), 3-17 View citations (57)

1997

118. A BENEFIT‐COST ANALYSIS OF DISINFLATION
     Contemporary Economic Policy, 1997, 15, (1), 50-64 View citations (7)
119. Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
     Journal of Financial and Quantitative Analysis, 1997, 32, (4), 405-426 View citations (210)
     See also Working Paper Is technical analysis in the foreign exchange market profitable? a genetic programming approach, Working Papers (1997) View citations (199) (1997)
120. Technical analysis in the foreign exchange market: a layman's guide
     Review, 1997, (Sep), 23-38 View citations (57)

1996

121. The giant sucking sound: did NAFTA devour the Mexican peso?
     Review, 1996, 78, (Jul), 33-48 View citations (9)

1995

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

1994

123. Realignment of target zone exchange rate systems: what do we know?
     Review, 1994, (Sep), 23-34 View citations (7)

Chapters

2013

1. Econometric modeling of exchange rate volatility and jumps
   Chapter 16 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 373-427
   See also Working Paper Econometric modeling of exchange rate volatility and jumps, Federal Reserve Bank of St. Louis (2012) View citations (17) (2012)