Christopher J. Neely

Federal Reserve Bank of St. Louis - Research Division

411 Locust St

Saint Louis, MO 63011

United States

http://research.stlouisfed.org/econ/cneely/sel

SCHOLARLY PAPERS

77

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SSRN CITATIONS
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624

CROSSREF CITATIONS

41

Scholarly Papers (77)

1.

Technical Analysis in the Foreign Exchange Market

Federal Reserve Bank of St. Louis Working Paper No. 2011-001B
Number of pages: 41 Posted: 05 Jan 2011 Last Revised: 26 Jul 2011
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance
Downloads 2,820 (8,866)
Citation 4

Abstract:

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Exchange Rate, Technical Analysis, Technical Trading, Intervention, Efficient Markets Hypothesis, Adaptive Markets Hypothesis

2.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Federal Reserve Bank of St. Louis Working Paper No. 2010-008H
Number of pages: 48 Posted: 11 Mar 2010 Last Revised: 03 Feb 2014
Christopher J. Neely, David Rapach, Jun Tu and Guofu Zhou
Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,035 (14,964)
Citation 41

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equity risk premium predictability, macroeconomic variables, moving-average rules, momentum, volume, sentiment, out-of-sample forecasts, asset allocation, business cycle

3.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014
Christopher J. Neely, David Rapach, Jun Tu and Guofu Zhou
Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,762 (18,770)
Citation 116

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Equity Risk Premium Predictability, Macroeconomic Variables, Moving-Average Rules, Momentum, Volume, Out-of-Sample Forecasts, Asset Allocation

4.

Using Genetic Algorithms to Find Technical Trading Rules: A Comment on Risk Adjustment

Federal Reserve Bank of St. Louis Working Paper No. 99-015A
Number of pages: 17 Posted: 09 Nov 1999
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 1,412 (26,284)
Citation 1

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5.

The Practice of Central Bank Intervention: Looking Under the Hood

FRB of St. Louis Working Paper No. 2000-028A
Number of pages: 24 Posted: 27 Nov 2000
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 1,138 (35,901)
Citation 7

Abstract:

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foreign exchange, intervention, exchange rates, monetary authority, central bank

6.

Responses of International Central Banks to the Covid-19 Crisis

FRB of St. Louis Working Paper No. Forthcoming
Number of pages: 113 Posted: 24 Nov 2020 Last Revised: 14 Oct 2021
Jacob Haas, Christopher J. Neely and William R. Emmons
Federal Reserve Banks - Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Bank of St. Louis - Banking Supervision and Regulation
Downloads 1,023 (41,885)

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Lessons from the Evolution of Foreign Exchange Trading Strategies

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 35 Posted: 15 Sep 2011
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance
Downloads 694 (69,788)

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exchange rate, technical analysis, technical trading, efficient markets hypothesis, adaptive markets hypothesis

Lessons from the Evolution of Foreign Exchange Trading Strategies

Federal Reserve Bank of St. Louis Working Paper No. 2011-021D
Number of pages: 46 Posted: 24 Sep 2011 Last Revised: 11 Apr 2013
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance
Downloads 300 (188,397)
Citation 9

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Exchange rate, Technical analysis, Technical trading, Carry trade, Efficient markets hypothesis, Adaptive markets hypothesis

8.

An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention

FRB of St. Louis Working Paper No. 2005-030B
Number of pages: 41 Posted: 29 Jul 2005
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 906 (49,614)
Citation 28

Abstract:

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Foreign exchange, intervention, identification, event study

9.

Mind Your Language: Market Responses to Central Bank Speeches

Number of pages: 49 Posted: 07 Jun 2023
University of Oxford, IESEG School of Management, Department of Finance, LEM-CNRS 9221, France, University of Oxford, Federal Reserve Bank of St. Louis - Research Division and Rutgers, The State University of New Jersey - Department of Economics
Downloads 898 (50,204)

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Central Bank Communication, Multimodal Machine Learning, Natural Language Processing, Speech Analysis, High-Frequency Data, Volatility, Tail Risk

10.

Intraday Technical Trading in the Foreign Exchange Market

Federal Reserve Bank of St. Louis Working Paper No. 99-016A
Number of pages: 31 Posted: 05 Nov 1999
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance
Downloads 865 (52,859)
Citation 3

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11.

Implied Volatility from Options on Gold Futures: Do Statistical Forecasts Add Value or Simply Paint the Lilly?

Number of pages: 55 Posted: 07 May 2004
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 842 (54,844)
Citation 2

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gold, futures, option, implied volatility, GARCH, long-memory, ARIMA, high frequency

The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market

FRB of St. Louis Working Paper No. 2006-046B
Number of pages: 52 Posted: 08 Aug 2006
Christopher J. Neely, Paul A. Weller, Joshua Ulrich and Joshua Ulrich
Federal Reserve Bank of St. Louis - Research Division, University of Iowa - Department of Finance and Wells Fargo Capital Marketsaffiliation not provided to SSRN
Downloads 721 (66,444)
Citation 33

Abstract:

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technical analysis, foreign exchange, structural break, market efficiency, adaptive markets hypothesis

The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market

Journal of Financial and Quantitative Analysis, Vol. 44, April 2009
Posted: 18 May 2009
Christopher J. Neely, Paul A. Weller, Joshua Ulrich and Joshua Ulrich
Federal Reserve Bank of St. Louis - Research Division, University of Iowa - Department of Finance and Wells Fargo Capital Marketsaffiliation not provided to SSRN

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technical analysis, foreign exchange, structural break, market efficiency, adaptive markets hypothesis

13.

The Microstructure of the U.S. Treasury Market

FRB St. Louis Working Paper No. 2007-052B
Number of pages: 29 Posted: 12 Dec 2007
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 678 (72,996)
Citation 2

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Treasury, microstructure, spreads, order book, announcement

Chinese Foreign Exchange Reserves, Policy Choices, and the U.S. Economy

Review, Vol. 99, Issue 2, pp. 207-231, 2017
Number of pages: 26 Posted: 17 Apr 2017 Last Revised: 15 Oct 2019
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 443 (122,293)
Citation 2

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Chinese Foreign Exchange Reserves, Policy Choices and the U.S. Economy

FRB St. Louis Working Paper No. 2017-1
Number of pages: 45 Posted: 12 Jan 2017 Last Revised: 05 Jan 2019
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 215 (262,650)

Abstract:

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Monetary policy, central banks and their policies, foreign exchange, current account

15.

An Analysis of the Literature on International Unconventional Monetary Policy

FRB St. Louis Working Paper No. 2016-21
Number of pages: 93 Posted: 04 Nov 2016 Last Revised: 21 Feb 2019
Saroj Bhattarai and Christopher J. Neely
University of Texas at Austin - Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 546 (95,867)
Citation 2

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16.
Downloads 534 (98,793)
Citation 6

Technical Analysis and Central Bank Intervention

FRB of St. Louis Working Paper No. 97-002C
Number of pages: 33 Posted: 25 Sep 2000
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance
Downloads 534 (97,666)
Citation 6

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Technical trading rules, genetic programming, exchange rates, central bank intervention

Technical Analysis and Central Bank Intervention

Posted: 05 Jan 2001
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance

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Technical trading rules, genetic programming, exchange rates, central bank intervention

17.

Can Markov Switching Models Predict Excess Foreign Exchange Returns?

FRB of St. Louis Working Paper No. 2001-021F
Number of pages: 30 Posted: 13 Jan 2005
Michael Dueker and Christopher J. Neely
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Bank of St. Louis - Research Division
Downloads 514 (103,281)
Citation 7

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Technical trading rules, Markov switching, exchange rates, excess returns

Technical Trading Rules in the European Monetary System

Working Paper No. 97-015c
Number of pages: 45 Posted: 21 Dec 1998
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance
Downloads 453 (118,793)
Citation 3

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Technical Trading Rules in the European Monetary System

Journal of International Money and Finance, June 1999, pp.429-58
Posted: 22 Dec 1998
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance

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19.

Jumps, Cojumps and Macro Announcements

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 34 Posted: 13 Oct 2008 Last Revised: 26 Aug 2009
Jerome Lahaye, Sébastien Laurent and Christopher J. Neely
Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 445 (122,696)
Citation 20

Abstract:

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exchange rate, futures, bonds, realized volatility, bipower variation, jumps, macroeconomic announcement.

20.

Unconventional Monetary Policy Had Large International Effects

Federal Reserve Bank of St. Louis Working Paper No. 2010-018F
Number of pages: 50 Posted: 07 Jul 2010 Last Revised: 23 Sep 2014
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 408 (135,587)
Citation 103

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Large scale asset purchase, quantitative easing, event study, monetary policy, zero bound

Monetary Policy and Economic Performance Since the Financial Crisis

Number of pages: 58 Posted: 20 Oct 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Dallas - Research Department and Federal Reserve Bank of St. Louis - Research Division
Downloads 128 (410,869)

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Global Financial Crisis 2007–09, monetary policy, effective lower bound, structural changes, forward guidance, balance sheet policies

Monetary Policy and Economic Performance Since the Financial Crisis

FEDS Working Paper No. 2020-65
Number of pages: 56 Posted: 01 Sep 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Dallas - Research Department and Federal Reserve Bank of St. Louis - Research Division
Downloads 108 (467,473)
Citation 2

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Monetary Policy and Economic Performance Since the Financial Crisis

Number of pages: 36 Posted: 21 Oct 2021
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Dallas - Research Department and Federal Reserve Bank of St. Louis - Research Division
Downloads 47 (752,185)
Citation 11

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global financial crisis, macroeconomic performance, dual mandate, forward guidance, balance sheet policies, federal funds rates

Monetary Policy and Economic Performance Since the Financial Crisis

Globalization Institute Working Paper No. 399
Number of pages: 58 Posted: 02 Jun 2021 Last Revised: 11 Jan 2022
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Dallas - Research Department and Federal Reserve Bank of St. Louis - Research Division
Downloads 27 (916,576)

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Monetary Policy and Economic Performance Since the Financial Crisis

FRB St. Louis Working Paper No. 2020-26
Number of pages: 34 Posted: 31 Aug 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Dallas - Research Department and Federal Reserve Bank of St. Louis - Research Division
Downloads 24 (946,138)

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Financial Market Reactions to the Russian Invasion of Ukraine

Federal Reserve Bank of St. Louis REVIEW
Number of pages: 31 Posted: 29 Oct 2022
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 239 (238,318)

Abstract:

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financial markets, Russia, Ukraine, Russian invasion of Ukraine

Financial Market Reactions to the Russian Invasion of Ukraine

FRB St. Louis Working Paper No. 2022-32
Number of pages: 50 Posted: 27 Sep 2022
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 91 (526,163)

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Russia, Ukraine, commodity price, War, oil, capital controls, exchange controls, sanctions, Exchange rate, equity

23.

The Temporal Pattern of Trading Rule Returns and Central Bank Intervention: Intervention Does Not Generate Technical Trading Rule Profits

FRB St. Louis Working Paper No. 2000-018C
Number of pages: 38 Posted: 06 Dec 2000
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 279 (204,280)
Citation 9

Abstract:

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Technical analysis, trading rules, intervention, exchange rates

24.

Price Discovery in the U.S. Treasury Market

FRB of St. Louis Working Paper No. 2005-070C
Number of pages: 32 Posted: 06 Sep 2006
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 261 (218,520)
Citation 1

Abstract:

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price discovery, Treasury market, microstructure, GovPX, futures, information shares

Predictability in International Asset Returns: A Reexamination

FRB of St. Louis Working Paper No. 97-010D
Number of pages: 40 Posted: 25 Sep 2000
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance
Downloads 255 (222,484)

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Vector autoregression, asset price, exchange rate, forecasting

Predictability in International Asset Returns: A Reexamination

Posted: 05 Jan 2001
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance

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Vector autoregression, asset price, exchange rate, forecasting

26.

Is Foreign Exchange Delta Hedging Risk Priced?

FRB of St. Louis Working Paper No. 2004-029A
Number of pages: 47 Posted: 13 Jan 2005
Hui Guo and Christopher J. Neely
University of Cincinnati - Department of Finance - Real Estate and Federal Reserve Bank of St. Louis - Research Division
Downloads 248 (229,911)
Citation 2

Abstract:

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Exchange rate, option, implied volatility, realized volatility, asset pricing

27.

Econometric Modeling of Exchange Rate Volatility and Jumps

Federal Reserve Bank of St. Louis Working Paper No. 2012-008A
Number of pages: 69 Posted: 12 Apr 2012
Deniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely
IESEG School of Management, Department of Finance, LEM-CNRS 9221, France, AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 243 (234,411)
Citation 5

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Foreign exchange volatility, ARCH models, realized volatility, intraday periodicity, jumps, macroeconomic announcements, central bank interventions

28.

International Comovements in Inflation Rates and Country Characteristics

Federal Reserve Bank of St. Louis Working Paper No. 2008-025F
Number of pages: 38 Posted: 03 Aug 2008 Last Revised: 17 Jun 2011
Christopher J. Neely and David Rapach
Federal Reserve Bank of St. Louis - Research Division and Research Department, Federal Reserve Bank of Atlanta
Downloads 227 (250,438)
Citation 31

Abstract:

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Inflation, Dynamic latent factor model, Bayesian estimation

29.

Seasonality in One-Month Libor Derivatives

FRB of St. Louis Working Paper No. 2003-040B
Number of pages: 37 Posted: 13 Jan 2005
Christopher J. Neely and Drew B. Winters
Federal Reserve Bank of St. Louis - Research Division and Texas Tech University
Downloads 215 (263,544)

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30.

Investigating the Intertemporal Risk-Return Relation in International Stock Markets with the Component GARCH Model

Federal Reserve Bank St. Louis Working Paper No. 2006-006
Number of pages: 24 Posted: 31 Jan 2006
Hui Guo and Christopher J. Neely
University of Cincinnati - Department of Finance - Real Estate and Federal Reserve Bank of St. Louis - Research Division
Downloads 209 (270,485)
Citation 7

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GARCH-in-mean, Component GARCH, Risk-return relation, International stock market returns

31.

The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate

Number of pages: 35 Posted: 11 Feb 2008
Nikola Gradojevic and Christopher J. Neely
University of Guelph, Department of Economics and Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 206 (274,139)

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Foreign exchange, Order flow, Market microstructure, Macroeconomic announcements

32.

Is Foreign Exchange Volatility Risk Priced?

FRB of St. Louis Working Paper No. 2004-029C
Number of pages: 42 Posted: 27 May 2006
Hui Guo, Christopher J. Neely and Jason Higbee
University of Cincinnati - Department of Finance - Real Estate, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Bank of St. Louis - Research Division
Downloads 205 (275,392)

Abstract:

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exchange rate, option, implied volatility, realized volatility, asset pricing

33.

Information Shares in the U.S. Treasury Market

FRB of St. Louis Working Paper No. 2005-070E
Number of pages: 33 Posted: 03 Oct 2007
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 194 (289,441)
Citation 22

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information shares, Treasury market, microstructure, GovPX, futures, price discovery

34.

Foreign Exchange Volatility is Priced in Equities

FRB of St. Louis Working Paper No. 2004-029E
Number of pages: 39 Posted: 24 Jul 2006
Hui Guo, Christopher J. Neely and Jason Higbee
University of Cincinnati - Department of Finance - Real Estate, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Bank of St. Louis - Research Division
Downloads 170 (325,277)
Citation 4

Abstract:

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exchange rate, option, implied volatility, realized volatility, asset pricing

35.

Central Bank Intervention and Exchange Rate Volatility, its Continuous and Jump Components

FRB of St. Louis Working Paper No. 2006-031C
Number of pages: 37 Posted: 16 May 2006
University of Luxemburg, Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE, Federal Reserve Bank of St. Louis - Research Division and University of Maastricht - Department of Economics
Downloads 164 (335,540)

Abstract:

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intervention, exchange rate, jumps, bi-power variation, volatility, central bank

36.
Downloads 152 (357,706)
Citation 1

More Stories of Unconventional Monetary Policy

FRB of St. Louis Review
Number of pages: 64 Posted: 14 May 2021
Evan Karson and Christopher J. Neely
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Bank of St. Louis - Research Division
Downloads 80 (570,921)

Abstract:

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More Stories of Unconventional Monetary Policy

FRB St. Louis Working Paper No. 2020-43
Number of pages: 94 Posted: 02 Nov 2020 Last Revised: 19 Jun 2022
Evan Karson and Christopher J. Neely
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Bank of St. Louis - Research Division
Downloads 72 (607,455)

Abstract:

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monetary policy, quantitative easing, central banks, long-term yield

37.

Identifying the Effects of Central Bank Intervention

FRB of St. Louis Working Paper No. 2005-031A
Number of pages: 58 Posted: 29 Jul 2005
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 143 (375,657)
Citation 1

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Foreign exchange, intervention, identification, Tobit, friction model

38.

International Channels of the Fed’s Unconventional Monetary Policy

FRB of St. Louis Working Paper No. 2012-028D, Journal of International Money and Finance, Forthcoming
Number of pages: 45 Posted: 29 Aug 2012 Last Revised: 19 Feb 2014
Michael Bauer and Christopher J. Neely
Federal Reserve Bank of San Francisco and Federal Reserve Bank of St. Louis - Research Division
Downloads 134 (395,307)
Citation 30

Abstract:

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Monetary policy, zero lower bound, LSAP, signaling, portfolio balance, dynamic term structure model

39.

The Dynamic Interaction of Trading Flows, Macroeconomic Announcements and the CAD/USD Exchange Rate: Evidence from Disaggregated Data

Number of pages: 37 Posted: 02 May 2009 Last Revised: 19 Aug 2009
Nikola Gradojevic and Christopher J. Neely
University of Guelph, Department of Economics and Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 129 (407,220)
Citation 5

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Foreign exchange, Order flow, Market microstructure, Macroeconomic announcements

40.

Central Bank Authorities' Beliefs About Foreign Exchange Intervention

FRB of St. Louis Working Paper No. 2006-045C
Number of pages: 45 Posted: 13 Apr 2007
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 121 (427,181)
Citation 27

Abstract:

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Intervention, foreign exchange, survey, central bank

41.

The Case for Foreign Exchange Intervention: The Government as a Long-Term Speculator

FRB of St. Louis Working Paper No. 2004-031A
Number of pages: 33 Posted: 13 Jan 2005
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 119 (432,610)
Citation 3

Abstract:

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Intervention, exchange rate, sterilize, central bank

42.

A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps

FRB of St. Louis Review
Number of pages: 25 Posted: 14 May 2021
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 114 (446,722)
Citation 4

Abstract:

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43.

The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News

FRB St. Louis Working Paper No. 2017-20
Number of pages: 28 Posted: 01 Aug 2017 Last Revised: 13 Mar 2019
Kris Boudt, Christopher J. Neely, Piet Sercu and Marjan Wauters
Ghent University, Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 107 (467,947)

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Foreign exchange exposure, High-frequency data, Macro

44.

Which Continuous-Time Model is Most Appropriate for Exchange Rates?

FRB of St. Louis Working Paper No. 2013-024C
Number of pages: 29 Posted: 18 Aug 2013 Last Revised: 23 Aug 2014
Deniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely
IESEG School of Management, Department of Finance, LEM-CNRS 9221, France, AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 102 (484,089)
Citation 2

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Exchange rates, Brownian motion, Volatility, Jumps, Intraday periodicity, High-frequency data

45.

Identifying the Effects of U.S. Intervention on the Levels of Exchange Rates

FRB of St. Louis Working Paper No. 2005-031C
Number of pages: 45 Posted: 01 Jun 2006
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 92 (517,890)
Citation 1

Abstract:

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intervention, exchange rate, central bank, friction model, identification

46.

Central Bank Intervention With Limited Arbitrage

FRB of St. Louis Working Paper No. 2006-033B
Number of pages: 27 Posted: 16 May 2006
Christopher J. Neely and Paul A. Weller
Federal Reserve Bank of St. Louis - Research Division and University of Iowa - Department of Finance
Downloads 88 (532,497)
Citation 2

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Intervention, foreign exchange, limits to arbitrage, arbitrage, noise trader

Common Fluctuations in OECD Budget Balances

Review, Vol. 97, Issue 2, pp. 109-132, 2015
Number of pages: 24 Posted: 19 Aug 2015 Last Revised: 24 Jul 2019
Christopher J. Neely and David E. Rapach
Federal Reserve Bank of St. Louis - Research Division and Seattle University, Albers School of Business and Economics
Downloads 47 (752,185)

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Common Fluctuations in OECD Budget Balances

Federal Reserve Board of St. Louis Working Paper No. 2009-055A
Number of pages: 31 Posted: 26 Oct 2009
Christopher J. Neely and David E. Rapach
Federal Reserve Bank of St. Louis - Research Division and Seattle University, Albers School of Business and Economics
Downloads 38 (819,734)

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Net lending, Primary balance, Dynamic latent factor model, Business cycle, Equity valuation ratio, Military spending

48.

Authorities' Beliefs About Foreign Exchange Intervention: Getting Back Under the Hood

FRB of St. Louis Working Paper No. 2006-045B
Number of pages: 41 Posted: 20 Jul 2006
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 80 (564,152)
Citation 9

Abstract:

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Intervention, foreign exchange, survey, central bank

49.

Unconventional Monetary Policy and the Behavior of Shorts

FRB St. Louis Working Paper No. 2017-31
Number of pages: 46 Posted: 28 Nov 2017 Last Revised: 08 Dec 2021
Thomas H. McInish, Christopher J. Neely and Jade Planchon
University of Memphis - Fogelman College of Business and Economics, Federal Reserve Bank of St. Louis - Research Division and Rhodes College
Downloads 74 (589,862)
Citation 1

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Quantitative Easing, Treasury bond short interest, Monetary Policy, Large-Scale Asset Purchases (LSAP), Agency securities, Treasury securities, Great Recession

50.

Financial Engineering Versus Cancer

Economic Synopses, Issue 18, 2015
Number of pages: 2 Posted: 19 Aug 2015 Last Revised: 29 Apr 2020
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 70 (608,053)

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Medical research risk, Cancer

51.

How Persistent are Unconventional Monetary Policy Effects?

FRB St. Louis Working Paper No. 2014-4
Number of pages: 48 Posted: 23 Dec 2021 Last Revised: 27 Dec 2021
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 62 (647,542)
Citation 4

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Federal Reserve, monetary policy, quantitative easing, large-scale asset purchases, VAR, forecasting, structural breaks, good deal

52.

How Persistent are Monetary Policy Effects at the Zero Lower Bound?

FRB of St. Louis Working Paper No. 2014-004A
Number of pages: 41 Posted: 14 Feb 2014
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 57 (674,426)
Citation 1

Abstract:

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Federal Reserve, monetary policy, quantitative easing, large-scale asset purcjavascript:%20void(0);hase, VAR, forecasting, structural breaks, good deal

53.

The People's Bank of China Boosts the Yuan

Economic Synopses, Issue 3, pp. 1-2, 2017
Number of pages: 2 Posted: 11 Mar 2017 Last Revised: 03 May 2018
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 54 (691,519)

Abstract:

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54.

Estimation of the Discontinuous Leverage Effect: Evidence from the NASDAQ Order Book

FRB St. Louis Working Paper No. 2017-12
Number of pages: 42 Posted: 28 Apr 2017 Last Revised: 05 Jan 2019
Markus Bibinger, Christopher J. Neely and Lars Winkelmann
University of Mannheim, Federal Reserve Bank of St. Louis - Research Division and Free University of Berlin (FUB)
Downloads 53 (697,348)
Citation 4

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High-frequency data, market microstructure, news impact, market-wide jumps, price jump, volatility jump.

55.

Capital Flows and Japanese Asset Volatility

Federal Reserve Bank of St. Louis Working Paper No. 2011-034B
Number of pages: 37 Posted: 12 Apr 2012
Christopher J. Neely and Brett Fawley
Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Bank of Saint Louis
Downloads 49 (722,276)

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volatility, capital flows, GARCH, exchange rates

56.

The Stock Market'S Wild Ride

Posted: 03 Jun 2021
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 48 (728,532)

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COVID-19

57.

How Much Do Oil Prices Affect Inflation?

Economic Synopses, Issue 10, 2015
Number of pages: 2 Posted: 19 Aug 2015 Last Revised: 29 Apr 2020
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 43 (762,025)

Abstract:

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58.

Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities

Posted: 03 Jun 2021
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 42 (769,025)

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COVID-19

59.

Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements

FRB St. Louis Working Paper No. 2017-11
Number of pages: 49 Posted: 28 Apr 2017 Last Revised: 25 Apr 2022
Kam Fong Chan, Robert G. Bowman and Christopher J. Neely
The University of Western Australia, Independent and Federal Reserve Bank of St. Louis - Research Division
Downloads 41 (776,323)

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Systematic cojumps, Scheduled macroeconomic announcements, Market component portfolios, federal funds rates

60.

Negative U.S. Interest Rates?

Number of pages: 3 Posted: 29 Apr 2020
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 40 (783,614)
Citation 2

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61.

Why are U.S. Bond Yields so High?

Economic Synopses, Issue 18, pp. 1-2, 2018
Number of pages: 2 Posted: 23 Jul 2018 Last Revised: 23 Apr 2020
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 39 (790,912)

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62.

A Foreign Exchange Intervention in an Era of Restraint

FRB of St. Louis Working Paper No. Forthcoming
Number of pages: 22 Posted: 14 May 2021
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 35 (821,466)
Citation 7

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63.

Supply and Demand Shifts of Shorts Before Fed Announcements During Qe1–Qe3

FRB St. Louis Working Paper No. 2020-051
Number of pages: 11 Posted: 23 Dec 2020
Thomas H. McInish, Christopher J. Neely and Jade Planchon
University of Memphis - Fogelman College of Business and Economics, Federal Reserve Bank of St. Louis - Research Division and Rhodes College
Downloads 32 (846,053)

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64.

Supplementary Appendix to: The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News

Number of pages: 3 Posted: 28 Jul 2017
Kris Boudt, Christopher J. Neely, Piet Sercu and Marjan Wauters
Ghent University, Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 32 (846,053)
Citation 3

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foreign exchange exposure, high-frequency data, macroeconomic news

65.

Chinese Foreign Exchange Reserves and the U.S. Economy

Economic Synopses, Issue 9, pp. 1-2, 2016
Number of pages: 2 Posted: 23 May 2016 Last Revised: 29 Apr 2020
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 32 (846,053)

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66.

Central Bank Responses to Covid-19

Number of pages: 5 Posted: 03 Jun 2021
Jacob Haas and Christopher J. Neely
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Bank of St. Louis - Research Division
Downloads 31 (854,436)

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67.

Federal Reserve System International Facilities

Posted: 14 May 2020
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 31 (854,436)
Citation 1

Abstract:

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COVID-19

68.

Overshooting the Inflation Target

Number of pages: 3 Posted: 14 Oct 2021 Last Revised: 15 Oct 2021
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 23 (927,271)

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COVID-19, inflation, personal consumption expenditures (PCE), consumer price index, monetary policy

69.

International Inflation Trends

Economic Synopses, No. 9, 2021
Number of pages: 2 Posted: 17 Jun 2021
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 23 (927,271)

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70.

The Russian Invasion, Oil and Gasoline Prices, and Recession

Economic Synopses, No. 10, 2022
Number of pages: 2 Posted: 29 Apr 2022
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 22 (937,033)

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Russian invasion of Ukraine, commodity prices, oil prices, gasoline prices, Russia, Ukraine

71.

Supporting Small Borrowers: Abs Markets and the Talf

Posted: 03 Jun 2021
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 22 (937,033)

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COVID-19

72.

Can Risk Explain the Profitability of Technical Trading in Currency Markets?

FRB St. Louis Working Paper No. 2014-33
Number of pages: 43 Posted: 01 Nov 2021
affiliation not provided to SSRN, affiliation not provided to SSRN, Federal Reserve Bank of St. Louis - Research Division and affiliation not provided to SSRN
Downloads 18 (977,637)
Citation 2

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Exchange rate, Technical analysis, Technical trading, Efficient markets hypothesis, Risk, Stochastic Discount Factor, Adaptive markets hypothesis, Carry trade

73.

Secondary Market Corporate Credit Facility Supports Main Street

FRB of St. Louis Working Paper No. Forthcoming
Number of pages: 3 Posted: 27 May 2021
Bruce Mizrach and Christopher J. Neely
Rutgers University, Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 18 (977,637)

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74.

A Shutoff of Russian Natural Gas

Economic Synopses, No. 29, 2022
Number of pages: 2 Posted: 19 Nov 2022
Christopher J. Neely and Jason Dunn
Federal Reserve Bank of St. Louis - Research Division and Research Associate
Downloads 10 (1,059,291)

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Russian invasion of Ukraine, Russia, Ukraine, Europe, natural gas

75.

Real Interest Rate Persistence: Evidence and Implications

Posted: 25 Jun 2008
Christopher J. Neely and David Rapach
Federal Reserve Bank of St. Louis - Research Division and Research Department, Federal Reserve Bank of Atlanta

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Real interest rate, Consumption-based asset pricing model, Neoclassical growth model

76.

Identification Failure in the Intertemporal Consumption CAPM

95-002A
Posted: 13 Jul 1998
Christopher J. Neely, Amlan Roy and Charles H. Whiteman
Federal Reserve Bank of St. Louis - Research Division, Queen Mary, University of London - Department of Economics and Pennsylvania State University - Smeal College of Business

Abstract:

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77.

Is Technical Analysis in the Foreign Exchange Market Profitable?: A Genetic Programming Approach

Posted: 20 Nov 1996
Christopher J. Neely, Paul A. Weller and Robert Dittmar
Federal Reserve Bank of St. Louis - Research Division, University of Iowa - Department of Finance and Citigroup, Inc. - CitiMortgage

Abstract:

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