Christopher J. Neely

Federal Reserve Bank of St. Louis - Research Division

411 Locust St

Saint Louis, MO 63011

United States

http://www.stls.frb.org/research/econ/cneely/

SCHOLARLY PAPERS

56

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405

Scholarly Papers (56)

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 1,750 (8,240)
Citation 76

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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, Saint Louis University - Richard A. Chaifetz School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,454 (11,098)
Citation 10

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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.

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 1,211 (14,815)

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4.

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 918 (22,520)
Citation 44

Abstract:

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

5.

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, Saint Louis University - Richard A. Chaifetz School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 828 (26,142)
Citation 5

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

6.

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

EFMA 2004 Basel Meetings Paper; FRB of St. Louis Working Paper No. 2003-018C
Number of pages: 55 Posted: 07 May 2004
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 806 (27,199)
Citation 1

Abstract:

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

7.

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 783 (28,275)
Citation 26

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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 481 (53,129)

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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 203 (138,967)

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

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 and Joshua Ulrich
Federal Reserve Bank of St. Louis - Research Division, University of Iowa - Department of Finance and affiliation not provided to SSRN
Downloads 605 (39,448)
Citation 20

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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 and Joshua Ulrich
Federal Reserve Bank of St. Louis - Research Division, University of Iowa - Department of Finance and affiliation not provided to SSRN

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

10.

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 521 (48,571)
Citation 6

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Treasury, microstructure, spreads, order book, announcement

11.

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 492 (52,189)
Citation 28

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Foreign exchange, intervention, identification, event study

12.
Downloads 490 ( 52,439)
Citation 22

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 490 (51,855)
Citation 22

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

Technical Analysis and Central Bank Intervention

Journal of International Money and Finance
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

13.

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
Russell Investments and Federal Reserve Bank of St. Louis - Research Division
Downloads 453 (57,868)
Citation 16

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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 372 (72,611)
Citation 21

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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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15.

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), French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM) and Federal Reserve Bank of St. Louis - Research Division
Downloads 363 (75,371)
Citation 16

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

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
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 187 (150,235)

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

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: 23 Nov 2017
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 136 (197,760)

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17.

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 304 (92,191)

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

18.

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 251 (113,038)
Citation 37

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Technical analysis, trading rules, intervention, exchange rates

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 229 (123,582)
Citation 11

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Vector autoregression, asset price, exchange rate, forecasting

Predictability in International Asset Returns: A Reexamination

Journal of Financial and Quantitative Analysis, Vol. 35, No. 4, December 2000
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

20.

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 209 (135,432)
Citation 3

Abstract:

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

21.

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 201 (140,479)
Citation 2

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

22.

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 and CNRS - France, French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM) and Federal Reserve Bank of St. Louis - Research Division
Downloads 180 (155,584)

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

23.

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 Saint Louis University - Richard A. Chaifetz School of Business
Downloads 179 (156,364)
Citation 2

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Inflation, Dynamic latent factor model, Bayesian estimation

24.

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 177 (157,906)
Citation 1

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25.

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 173 (161,165)
Citation 2

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

26.

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 169 (164,493)
Citation 4

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

27.

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 148 (184,121)
Citation 6

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

28.

A Survey of the Empirical Literature on U.S. Unconventional Monetary Policy

FRB St. Louis Working Paper No. 2016-21
Number of pages: 49 Posted: 04 Nov 2016
Saroj Bhattarai and Christopher J. Neely
University of Texas at Austin - Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 135 (198,320)

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Quantitative easing, event study, unconventional monetary policy, zero lower bound

29.

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 134 (199,480)
Citation 2

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Foreign exchange, Order flow, Market microstructure, Macroeconomic announcements

30.

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 133 (200,631)
Citation 2

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

31.

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), French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM), Federal Reserve Bank of St. Louis - Research Division and University of Maastricht - Department of Economics
Downloads 129 (205,663)
Citation 10

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

32.

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 113 (227,174)
Citation 8

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Foreign exchange, intervention, identification, Tobit, friction model

33.

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 95 (256,063)
Citation 2

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Intervention, exchange rate, sterilize, central bank

34.

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 82 (280,673)
Citation 13

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Intervention, foreign exchange, survey, central bank

35.

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 75 (295,804)
Citation 1

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Foreign exchange, Order flow, Market microstructure, Macroeconomic announcements

36.

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 D. Bauer and Christopher J. Neely
Federal Reserve Bank of San Francisco and Federal Reserve Bank of St. Louis - Research Division
Downloads 70 (307,563)
Citation 2

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

37.

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 69 (309,988)

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

38.

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 64 (322,587)
Citation 4

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

39.

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

FRB St. Louis Working Paper No. 2017-20
Number of pages: 41 Posted: 01 Aug 2017
Kris Boudt, Christopher J. Neely, Piet Sercu and Marjan Wauters
Vrije Universiteit Brussel (VUB), Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 58 (338,780)

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Foreign exchange exposure, High-frequency data, Macro

40.

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 57 (341,613)

Abstract:

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Intervention, foreign exchange, survey, central bank

41.

Financial Engineering Versus Cancer

Economic Synopses, Issue 18, 2015
Number of pages: 2 Posted: 19 Aug 2015 Last Revised: 04 May 2018
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 46 (375,917)

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Medical research risk, Cancer

42.

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 and CNRS - France, French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM) and Federal Reserve Bank of St. Louis - Research Division
Downloads 36 (412,299)

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

Common Fluctuations in OECD Budget Balances

Review, Vol. 97, Issue 2, pp. 109-132, 2015
Number of pages: 24 Posted: 19 Aug 2015
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 20 (505,316)

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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 16 (529,523)

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

44.

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 26 (456,501)

Abstract:

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

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 25 (475,289)

Abstract:

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volatility, capital flows, GARCH, exchange rates

Capital Flows and Japanese Asset Volatility

Pacific Economic Review, Vol. 17, Issue 3, pp. 391-414, 2012
Number of pages: 24 Posted: 23 Aug 2012
Christopher J. Neely and Brett Fawley
Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Bank of Saint Louis
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46.

How Much Do Oil Prices Affect Inflation?

Economic Synopses, Issue 10, 2015
Number of pages: 2 Posted: 19 Aug 2015 Last Revised: 04 May 2018
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 21 (483,173)

Abstract:

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47.

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: 18 Aug 2018
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 19 (494,169)

Abstract:

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48.

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: 20 Dec 2017
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 19 (494,169)

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

49.

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
Kam Fong Chan, Robert G. Bowman and Christopher J. Neely
University of Queensland - Faculty of Business, Economics and Law, University of Auckland - Department of Accounting and Finance and Federal Reserve Bank of St. Louis - Research Division
Downloads 18 (499,556)

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Systematic cojumps, Scheduled macroeconomic announcements, Market component portfolios, Federal Funds rate.

50.

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: 04 May 2018
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 14 (521,559)

Abstract:

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51.

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 9 (549,083)

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52.

Unconventional Monetary Policy and Long Yields During Qe1: Learning from the Shorts

FRB St. Louis Working Paper No. 2017-31
Number of pages: 46 Posted: 28 Nov 2017
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 affiliation not provided to SSRN
Downloads 8 (554,546)

Abstract:

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53.

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
Vrije Universiteit Brussel (VUB), Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 5 (570,643)

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foreign exchange exposure, high-frequency data, macroeconomic news

54.

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 Saint Louis University - Richard A. Chaifetz School of Business

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

55.

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

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56.

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

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