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

72

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19,007

SSRN CITATIONS
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Top 3,592

in Total Papers Citations

340

CROSSREF CITATIONS

40

Scholarly Papers (72)

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 2,372 (7,612)
Citation 1

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, David Rapach, Jun Tu and Guofu Zhou
Federal Reserve Bank of St. Louis - Research Division, Washington University in St. LouisSaint Louis University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,774 (12,193)
Citation 21

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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 1,267 (20,454)
Citation 1

Abstract:

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4.

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, David Rapach, Jun Tu and Guofu Zhou
Federal Reserve Bank of St. Louis - Research Division, Washington University in St. LouisSaint Louis University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,082 (25,811)
Citation 50

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

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 1,014 (28,335)
Citation 7

Abstract:

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

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 601 (56,924)

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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 258 (151,235)
Citation 9

Abstract:

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

7.

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 819 (38,185)
Citation 3

Abstract:

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

8.

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 819 (38,185)
Citation 3

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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 669 (49,496)
Citation 20

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

Abstract:

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

10.

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 598 (57,955)
Citation 28

Abstract:

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Foreign exchange, intervention, identification, event study

11.

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 577 (60,591)
Citation 2

Abstract:

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Treasury, microstructure, spreads, order book, announcement

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 507 (70,564)
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

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

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 300 (129,279)
Citation 2

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

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 196 (197,030)

Abstract:

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

14.

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 475 (77,223)
Citation 7

Abstract:

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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 412 (90,524)
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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16.

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 401 (94,222)
Citation 20

Abstract:

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

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 365 (104,885)
Citation 71

Abstract:

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

18.

An Analysis of the Literature on International Unconventional Monetary Policy

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 279 (140,181)
Citation 2

Abstract:

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19.

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 261 (150,056)
Citation 9

Abstract:

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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 234 (166,508)

Abstract:

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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

Abstract:

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Vector autoregression, asset price, exchange rate, forecasting

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 228 (171,208)
Citation 1

Abstract:

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

22.

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 223 (174,905)
Citation 2

Abstract:

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

23.

Responses of International Central Banks to the Covid-19 Crisis

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 210 (185,851)

Abstract:

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24.

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, LEM-CNRS 9221, France, AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 202 (191,816)
Citation 5

Abstract:

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

25.

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, David Rapach and David Rapach
Federal Reserve Bank of St. Louis - Research Division and Washington University in St. LouisSaint Louis University
Downloads 197 (196,203)
Citation 24

Abstract:

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Inflation, Dynamic latent factor model, Bayesian estimation

26.

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 186 (206,565)

Abstract:

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27.

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 185 (207,593)
Citation 7

Abstract:

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

28.

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 179 (213,654)

Abstract:

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

29.

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 169 (224,319)
Citation 12

Abstract:

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

30.

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 149 (249,219)

Abstract:

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Foreign exchange, Order flow, Market microstructure, Macroeconomic announcements

31.

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 141 (260,434)
Citation 4

Abstract:

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

32.

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 139 (263,478)

Abstract:

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

Monetary Policy and Economic Performance Since the Financial Crisis

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 Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of St. Louis - Research Division
Downloads 78 (392,684)
Citation 2

Abstract:

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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 17 (694,588)
Citation 1

Abstract:

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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

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 16 (702,728)

Abstract:

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

Monetary Policy and Economic Performance Since the Financial Crisis

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 Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of St. Louis - Research Division
Downloads 10 (753,589)

Abstract:

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Monetary Policy and Economic Performance Since the Financial Crisis

Number of pages: 58 Posted: 02 Jun 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 5 (796,500)

Abstract:

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34.

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 120 (294,266)
Citation 1

Abstract:

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Foreign exchange, intervention, identification, Tobit, friction model

35.

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 104 (325,076)
Citation 3

Abstract:

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Intervention, exchange rate, sterilize, central bank

36.

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 95 (344,694)
Citation 5

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Foreign exchange, Order flow, Market microstructure, Macroeconomic announcements

37.

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 94 (346,998)
Citation 23

Abstract:

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Intervention, foreign exchange, survey, central bank

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
Universität Hamburg and Federal Reserve Bank of St. Louis - Research Division
Downloads 86 (366,870)
Citation 30

Abstract:

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

39.

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

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 76 (394,441)

Abstract:

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Foreign exchange exposure, High-frequency data, Macro

40.

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 72 (406,499)
Citation 1

Abstract:

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

41.

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 71 (409,603)
Citation 2

Abstract:

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

42.

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 62 (439,607)
Citation 9

Abstract:

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Intervention, foreign exchange, survey, central bank

43.

Financial Engineering Versus Cancer

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 56 (461,504)

Abstract:

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Medical research risk, Cancer

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, LEM-CNRS 9221, France, AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 46 (502,421)
Citation 2

Abstract:

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

Common Fluctuations in OECD Budget Balances

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 27 (618,406)

Abstract:

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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 19 (678,836)

Abstract:

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

More Stories of Unconventional Monetary Policy

Number of pages: 94 Posted: 02 Nov 2020
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 21 (663,124)

Abstract:

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

More Stories of Unconventional Monetary Policy

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 19 (686,720)

Abstract:

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47.

Unconventional Monetary Policy and the Behavior of Shorts

Number of pages: 46 Posted: 28 Nov 2017 Last Revised: 23 Nov 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 38 (539,941)

Abstract:

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

48.

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 38 (539,941)
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

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 29 (604,905)

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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50.

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

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 28 (595,224)
Citation 1

Abstract:

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

51.

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 27 (601,432)

Abstract:

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COVID-19

52.

How Much Do Oil Prices Affect Inflation?

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 27 (601,432)

Abstract:

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53.

A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps

Number of pages: 25 Posted: 14 May 2021
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 25 (614,574)
Citation 2

Abstract:

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54.

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 25 (614,574)
Citation 3

Abstract:

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55.

Why are U.S. Bond Yields so High?

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 25 (614,574)

Abstract:

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56.

Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements

Number of pages: 49 Posted: 28 Apr 2017 Last Revised: 06 Mar 2019
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 25 (614,574)

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

57.

Chinese Foreign Exchange Reserves and the U.S. Economy

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 17 (671,097)

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 16 (678,475)

Abstract:

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COVID-19

59.

The People's Bank of China Boosts the Yuan

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 14 (693,722)

Abstract:

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60.

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 13 (701,504)

Abstract:

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61.

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 13 (701,504)

Abstract:

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COVID-19

62.

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

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
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63.

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 11 (717,204)
Citation 2

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foreign exchange exposure, high-frequency data, macroeconomic news

64.

Overshooting the Inflation Target

Economic Synopses, No. 24, 2021
Number of pages: 3 Posted: 14 Oct 2021
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
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COVID-19, inflation, personal consumption expenditures, consumer price index, monetary policy

65.

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
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COVID-19

66.

International Inflation Trends

Number of pages: 2 Posted: 17 Jun 2021
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 8 (740,965)

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67.

Secondary Market Corporate Credit Facility Supports Main Street

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 7 (748,916)

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68.

A Foreign Exchange Intervention in an Era of Restraint

Number of pages: 22 Posted: 14 May 2021
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division
Downloads 7 (748,916)
Citation 2

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69.

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

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

70.

Real Interest Rate Persistence: Evidence and Implications

Posted: 25 Jun 2008
Christopher J. Neely, David Rapach and David Rapach
Federal Reserve Bank of St. Louis - Research Division and Washington University in St. LouisSaint Louis University

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

71.

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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72.

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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