Christopher Neely

Names

Contact

Affiliations

• Federal Reserve Bank of St. Louis → Research Division
  • website
  • location: St. Louis, Missouri (United States)

Research profile

author of:

• Endogenous Realignments and the Sustainability of a Target Zone
  by Corbae, P. Dean & Neely, Christopher J. & Weller, Paul
• Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
  by Dittmar, Robert & Neely, Christopher J. & Weller, Paul
• Testing asset pricing models with Euler equations: it's worse than you think
  by Christopher J. Neely
• The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits
  by Christopher J. Neely
• The practice of central bank intervention: looking under the hood
  by Christopher J. Neely
• Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics
  by Christopher J. Neely & Paul A. Weller
• Can Markov switching models predict excess foreign exchange returns?
  by Michael J. Dueker & Christopher J. Neely
• How well do monetary fundamentals forecast exchange rates?
  by Christopher J. Neely & Lucio Sarno
• Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?
  by Christopher J. Neely
• Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?
  by Christopher J. Neely
• Risk Aversion versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model.
  by Neely, Christopher J. & Roy, Amlan & Whiteman, Charles H.
• How big is Japan's debt?
  by Christopher J. Neely
• The Fed responds to Sept. 11 attacks
  by Christopher J. Neely
• Realignment of target zone exchange rate systems: what do we know?
  by Christopher J. Neely
• Deflation and real economic activity under the gold standard
  by Christopher J. Neely & Geoffrey E. Wood
• Technical analysis in the foreign exchange market: a layman's guide
  by Christopher J. Neely
• Technical analysis and the profitability of U.S. foreign exchange intervention
  by Christopher J. Neely
• An introduction to capital controls
  by Christopher J. Neely
• Are changes in foreign exchange reserves well correlated with official intervention?
  by Christopher J. Neely
• Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics
  by Christopher J. Neely & Paul A. Weller
• How well do monetary fundamentals forecast exchange rates?
  by Christopher J. Neely & Lucio Sarno
• Endogenous realignments in a target zone
  by Christopher J. Neely & Paul A. Weller & Dean Corbae
• Target zones and conditional volatility: The role of realignments
  by Neely, Christopher J.
• Technical trading rules in the European Monetary System
  by Neely, Christopher J. & Weller, Paul A.
• Year-end seasonality in one-month LIBOR derivatives
  by Christopher J. Neely & Drew B. Winters
• Miscommunication shook up mortgage, bond markets
  by Christopher J. Neely
• Intraday technical trading in the foreign exchange market
  by Neely, C. J. & Weller, P. A.
• Technical analysis and central bank intervention
  by Neely, Christopher J. & Weller, Paul A.
• The Federal Reserve responds to crises: September 11th was not the first
  by Christopher J. Neely
• Risk-adjusted, ex ante, optimal technical trading rules in equity markets
  by Neely, Christopher J.
• The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits
  by Neely, Christopher J.
• The Federal Reserve responds to crises: September 11th was not the first
  by Christopher J. Neely
• Unwinding the current account deficit
  by Christopher J. Neely
• The case for foreign exchange intervention: the government as an active reserve manager
  by Christopher J. Neely
• Using implied volatility to measure uncertainty about interest rates
  by Christopher J. Neely
• Foreign exchange volatility is priced in equities
  by Hui Guo & Jason Higbee & Christopher J. Neely
• An analysis of recent studies of the effect of foreign exchange intervention
  by Christopher J. Neely
• Identifying the effects of U.S. intervention on the levels of exchange rates
  by Christopher J. Neely
• An E.U. withholding tax?
  by Christopher J. Neely
• September 11, 2001
  by Christopher J. Neely
• What is the slope of the yield curve telling us?
  by Christopher J. Neely
• International interest rate linkages
  by Christopher J. Neely
• Bond market mania
  by Christopher J. Neely
• Global factors in budget deficits
  by Christopher J. Neely
• How expensive are stocks?
  by Christopher J. Neely
• Options on economic data
  by Christopher J. Neely
• Stock prices and consumption
  by Christopher J. Neely
• Information shares in the U.S. treasury market
  by Bruce Mizrach & Christopher J. Neely
• An analysis of recent studies of the effect of foreign exchange intervention
  by Christopher J. Neely
• Risk Aversion vs. Intertemporal Substitution: Identification Failure in the Intertemporal Consumption CAPM
  by Neely, C. J. & Roy, A. & Whiteman, C. H.
• Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
  by Hui Guo & Christopher J. Neely
• The giant sucking sound: did NAFTA devour the Mexican peso?
  by Christopher J. Neely
• Is technical analysis in the foreign exchange market profitable? a genetic programming approach
  by Robert Dittmar & Christopher J. Neely & Paul A. Weller
• Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM
  by Christopher J. Neely & Amlan Roy & Charles H. Whiteman
• Central bank intervention and exchange rate volatility, its continuous and jump components
  by Michel Beine & Jerome Lahaye & Sebastien Laurent & Christopher J. Neely & Franz C. Palm
• Target zones and conditional volatility: the role of realignments
  by Christopher J. Neely
• Technical trading rules in the European Monetary System
  by Christopher J. Neely & Paul A. Weller
• Realignments of target zone exchange systems: what do we know?
  by Christopher J. Neely
• Technical analysis and central bank intervention
  by Christopher J. Neely & Paul A. Weller
• Risk-adjusted, ex ante, optimal technical trading rules in equity markets
  by Christopher J. Neely
• Intraday technical trading in the foreign exchange market
  by Christopher J. Neely & Paul A. Weller
• A reconsideration of the properties of the generalized method moments in asset pricing models
  by Christopher J. Neely
• Central bank intervention with limited arbitrage
  by Christopher J. Neely & Paul A. Weller
• Predictability in international asset returns: a reexamination
  by Christopher J. Neely & Paul A. Weller
• Endogenous realignments and the sustainability of a target
  by Dean Corbae & Christopher J. Neely & Paul A. Weller
• Central bank authorities’ beliefs about foreign exchange intervention
  by Christopher J. Neely
• The Transition to Electronic Trading in the Secondary Treasury Market
  by Bruce Mizrach & Chris Neely
• The adaptive markets hypothesis: evidence from the foreign exchange market
  by Christopher J. Neely & Joshua M. Ulrich & Paul A. Weller
• What are the odds? option-based forecasts of FOMC target changes
  by William R. Emmons & Aeimit K. Lakdawala & Christopher J. Neely
• The transition to electronic communications networks in the secondary treasury market
  by Bruce Mizrach & Christopher J. Neely
• China's strategic petroleum reserve: a drop in the bucket
  by Christopher J. Neely
• Asian nations driving world oil prices
  by Justin P. Hauke & Christopher J. Neely
• Can Markov switching models predict excess foreign exchange returns?
  by Dueker, Michael & Neely, Christopher J.
• Central bank intervention and exchange rate volatility, its continuous and jump components
  by Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm
• Exchange rate intervention
  by Christopher J. Neely & Mark P. Taylor
• Central bank intervention with limited arbitrage
  by Christopher J. Neely & Paul A. Weller
• Why do gasoline prices react to things that have not happened?
  by William R. Emmons & Christopher J. Neely
• Jumps, cojumps and macro announcements
  by Jerome Lahaye & Sebastien Laurent & Christopher J. Neely
• One dollar = one loonie
  by Christopher J. Neely
• The microstructure of the U.S. treasury market
  by Bruce Mizrach & Christopher J. Neely
• The dynamic interaction of order flows and the CAD/USD exchange rate
  by Nikola Gradojevic & Christopher J. Neely
• Central bank authorities' beliefs about foreign exchange intervention
  by Neely, Christopher J.
• The sovereign wealth funds of nations
  by Christopher J. Neely
• Real interest rate persistence: evidence and implications
  by Christopher J. Neely & David E. Rapach
• Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
  by Guo, Hui & Neely, Christopher J.
• Information shares in the US Treasury market
  by Mizrach, Bruce & Neely, Christopher J.
• Is inflation an international phenomenon?
  by Christopher J. Neely & David E. Rapach
• Real interest rate persistence: evidence and implications
  by Christopher J. Neely & David E. Rapach
• Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?
  by Neely, Christopher J.
• Markets worry more about sovereign debt
  by Christopher J. Neely
• Predictability in International Asset Returns: A Reexamination
  by Neely, Christopher J. & Weller, Paul
• Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
  by Neely, Christopher & Weller, Paul & Dittmar, Rob
• A BENEFIT‐COST ANALYSIS OF DISINFLATION
  by CHRISTOPHER J. NEELY & CHRISTOPHER J. WALLER
• The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
  by Neely, Christopher J. & Weller, Paul A. & Ulrich, Joshua M.
• Systemic risk and the financial crisis: a primer
  by James B. Bullard & Christopher J. Neely & David C. Wheelock
• Common fluctuations in OECD budget balances
  by Christopher J. Neely & David E. Rapach
• Okun's law: output and unemployment
  by Christopher J. Neely
• Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules
  by Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou
• \\"How central should the central bank be?\\" a comment
  by Christopher J. Neely
• Central Bank intervention and exchange rate volatility: its continuous and jump components
  by Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher Neely & Franz Palm
• The large scale asset purchases had large international effects
  by Christopher J. Neely
• A survey of announcement effects on foreign exchange returns
  by S. Rubun Dey & Christopher J. Neely
• The effects of large-scale asset purchases on TIPS inflation expectations
  by Massimo Guidolin & Christopher J. Neely
• U.S. historical experience with deflation
  by Christopher J. Neely
• Foreign Exchange Volatility Is Priced in Equities
  by Hui Guo & Christopher J. Neely & Jason Higbee
• Technical analysis in the foreign exchange market
  by Christopher J. Neely & Paul A. Weller
• Fiscal policy and expected inflation
  by Christopher J. Neely
• The difference between currency manipulation and monetary policy
  by Christopher J. Neely
• The great foreign exchange intervention of 2011
  by Christopher J. Neely
• A survey of announcement effects on foreign exchange volatility and jumps
  by Christopher J. Neely
• A foreign exchange intervention in an era of restraint
  by Christopher J. Neely
• Lessons from the evolution of foreign exchange trading strategies
  by Christopher J. Neely & Paul A. Weller
• Capital flows and Japanese asset volatility
  by Brett W. Fawley & Christopher J. Neely
• Jumps, cojumps and macro announcements
  by Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely
• The mysterious Greek yield curve
  by Christopher J. Neely
• Econometric modeling of exchange rate volatility and jumps
  by Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely
• International comovements in inflation rates and country characteristics
  by Neely, Christopher J. & Rapach, David E.
• International channels of the Fed’s unconventional monetary policy
  by Michael D. Bauer & Christopher J. Neely
• CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY
  by CHRISTOPHER J. NEELY & BRETT W. FAWLEY
• International channels of the Fed’s unconventional monetary policy
  by Michael D. Bauer & Christopher J. Neely
• Four stories of quantitative easing
  by Brett W. Fawley & Christopher J. Neely
• Political pressure on the bank of Japan: interference or accountability?
  by Christopher J. Neely
• Would it help to eliminate interest on reserves?
  by Christopher J. Neely
• The practice of central bank intervention: looking under the hood
  by Christopher J. Neely
• Which continuous-time model is most appropriate for exchange rates?
  by Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely
• Forecasting the Equity Risk Premium: The Role of Technical Indicators
  by Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou
• How Persistent Are Unconventional Monetary Policy Effects?
  by Christopher J. Neely
• Lessons from the evolution of foreign exchange trading strategies
  by Neely, Christopher J. & Weller, Paul A.
• Lessons from the taper tantrum
  by Christopher J. Neely
• The evolution of Federal Reserve policy and the impact of monetary policy surprises on asset prices
  by Brett W. Fawley & Christopher J. Neely
• Comparing international bond yields
  by Christopher J. Neely
• Can risk explain the profitability of technical trading in currency markets?
  by Yuliya Ivanova & Christopher J. Neely & Paul A. Weller
• The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
  by Jerome Lahaye & Christopher J. Neely
• International channels of the Fed's unconventional monetary policy
  by Bauer, Michael D. & Neely, Christopher J.
• Optimal discrete hedging in the Heston Stochastic Volatility Model
  by Daglish, Toby & Neely, Chris
• Unconventional monetary policy had large international effects
  by Neely, Christopher J.
• How Much Do Oil Prices Affect Inflation?
  by Christopher J. Neely
• Common Fluctuations in OECD Budget Balances
  by Christopher J. Neely & David E. Rapach
• Financial Engineering Versus Cancer
  by Christopher J. Neely
• Jumps, cojumps and macro announcements
  by LAHAYE, Jérôme & LAURENT, Sébastien & NEELY, Christopher J.
• Which continuous-time model is most appropriate for exchange rates?
  by Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J.
• Chinese Foreign Exchange Reserves and the U.S. Economy
  by Christopher J. Neely
• An Analysis of the Literature on International Unconventional Monetary Policy
  by Saroj Bhattarai & Christopher J. Neely
• Forecasting the Equity Risk Premium: The Role of Technical Indicators
  by Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou
• Chinese Foreign Exchange Reserves, Policy Choices and the U.S. Economy
  by Christopher J. Neely
• The People’s Bank of China Boosts the Yuan
  by Christopher J. Neely
• Chinese Foreign Exchange Reserves, Policy Choices, and the U.S. Economy
  by Christopher J. Neely
• Which continuous-time model is most appropriate for exchange rates?
  by Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely
• Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements
  by Robert G. Bowman & Kam Fong Chan & Christopher J. Neely
• Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
  by Markus Bibinger & Christopher J. Neely & Lars Winkelmann
• The response of multinationals’ foreign exchange rate exposure to macroeconomic news
  by Kris Boudt & Christopher J. Neely & Piet Sercu & Marjan Wauters
• Econometric modeling of exchange rate volatility and jumps
  by Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely
  edited by
• Unconventional monetary policy and the behavior of shorts
  by Thomas McInish & Christopher J. Neely & Jade Planchon
• Systematic cojumps, market component portfolios and scheduled macroeconomic announcements
  by Chan, Kam Fong & Bowman, Robert G. & Neely, Christopher J.
• Why Are U.S. Bond Yields So High?
  by Christopher J. Neely
• Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
  by Bibinger, Markus & Neely, Christopher & Winkelmann, Lars
• The response of multinationals’ foreign exchange rate exposure to macroeconomic news
  by Boudt, Kris & Neely, Christopher J. & Sercu, Piet & Wauters, Marjan
• What to Expect from Quantitative Tightening
  by Christopher J. Neely
• The Asset Holdings of the Bank of Japan
  by Christopher J. Neely
• Negative U.S. Interest Rates?
  by Christopher J. Neely
• The Stock Market's Wild Ride
  by Bruce Mizrach & Christopher J. Neely
• Secondary Market Corporate Credit Facility Supports Main Street
  by Bruce Mizrach & Christopher J. Neely
• Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities
  by Bruce Mizrach & Christopher J. Neely
• Supporting Small Borrowers: ABS Markets and the TALF
  by Bruce Mizrach & Christopher J. Neely
• Central Bank Responses to COVID-19
  by Jacob Haas & Christopher J. Neely
• Federal Reserve System International Facilities
  by Bruce Mizrach & Christopher J. Neely
• The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
  by JÃrÃme Lahaye & Christopher Neely