Christopher J. Neely

Standard Vita

Long Vita

IDEAS

Education

Ph.D. Economics
University of Iowa
1993

B.S.F.S.
International Economics
Georgetown University
Washington, DC
1988

Contact Info

Phone: (314) 444-8568
Fax: (314) 444-8731
Email: neely@stls.frb.org

Research Division
Federal Reserve Bank of St. Louis
P.O. Box 442
St. Louis, MO 63166-0442

For media inquiries contact:
Adam Allington
mediainquiries@stls.frb.org
Office: (314) 444-8783
Cell: (314) 313-3783

Christopher J. Neely

Assistant Vice President

Welcome to my web page. I do empirical research in international finance, with an emphasis on issues of market efficiency. Almost all my working papers and early versions of published papers are available through this page in Adobe Acrobat format (PDF). You may download a free Acrobat reader from Adobe's web site. If you experience difficulties with the PDF files, you probably need a more recent version of Acrobat reader.

Please feel free to contact me with comments, questions, or requests for hard copies of these papers by e-mail neely@stls.frb.org, phone (314-444-8568), fax (314-444-8731), or postal mail at the address above. Please include your name, mailing address, and the title of the paper requested.

Most Recent Published Papers

"International Channels of the Fed’s Unconventional Monetary Policy"
with Michael D. Bauer
FORTHCOMING: Journal of International Money and Finance.

"Forecasting the Equity Risk Premium: The Role of Technical Indicators"
with David E. Rapach, Jun Tu, and Guofu Zhou
FORTHCOMING: Management Science.

"Lessons from the Evolution of Foreign Exchange Trading Strategies"
with Paul A. Weller
Journal of Banking and Finance, October 2013, 37(10), pp. 3783-3798.

"Capital Flows and Japanese Asset Volatility"
with Brett W. Fawley
Pacific Economic Review, August 2012, 17(3), pp. 391-414.

"International Comovements in Inflation Rates and Country Characteristics"
with David E. Rapach
Journal of International Money and Finance, November 2011, 7(30), pp. 1471-90.

"Jumps, Cojumps and Macro Announcements"
with Jérôme Lahaye and Sébastien Laurent
Journal of Applied Econometrics, September/October 2011, 26(6), pp. 893-921.

"The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market"
with Paul A. Weller and Joshua M. Ulrich
Journal of Financial and Quantitative Analysis, April 2009, 44(2), pp. 467-88.

"Forecasting Foreign Exchange Volatility: Why Is Implied Volatility Biased and Inefficient? And Does It Matter?"
Journal of International Financial Markets, Institutions and Money, February 2009, 19(1), pp. 188-205.

 

Selected Published Papers

"The Temporal Pattern of Trading Rule Returns and Exchange Rate Intervention: Intervention Does Not Generate Technical Trading Rule Profits"
Journal of International Economics, October 2002, 58(1), pp. 211-32.

"Risk Aversion Versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model"
with Amlan Roy and Charles Whiteman
Journal of Business and Economic Statistics, October 2001, 19(4), pp. 395-403.

"Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach"
with Paul Weller and Robert Dittmar
Journal of Financial and Quantitative Analysis, December 1997, 32(4), pp. 405-26.

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Most Recent Working Papers

"How Persistent are Monetary Policy Effects at the Zero Lower Bound?"
Working Paper 2014-004A, posted February 2014.

"Which continuous-time model is most appropriate for exchange rates?"
with Deniz Erdemlioglu and Sébastien Laurent
Working Paper 2013-024A, posted August 2013.

"Unconventional Monetary Policy Had Large International Effects"
Working Paper 2010-018E, posted July 2010, updated August 2013.

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Most Recent Review Articles

"The Evolution of Federal Reserve Policy and the Impact of Monetary Policy Surprises on Asset Prices"
with Brett Fawley
Federal Reserve Bank of St. Louis Review, First Quarter 2014, 96(1), pp. 73-109.

"Four Stories of Quantitative Easing"
with Brett Fawley
Federal Reserve Bank of St. Louis Review, January/February 2013, 95(1), pp. 51-88.

"A Foreign Exchange Intervention in an Era of Restraint"
Federal Reserve Bank of St. Louis Review, September/October 2011, 93(5), pp. 303-324.

"A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps"
Federal Reserve Bank of St. Louis Review, September/October 2011, 93(5), pp. 361-385.
Appendix

"A Survey of Announcement Effects on Foreign Exchange Returns"
with S. Rubun Dey
Federal Reserve Bank of St. Louis Review, September/October 2010, 92(5), pp. 417-63.
Appendix

"Systemic Risk and the Financial Crisis: A Primer"
with James Bullard and David C. Wheelock
Federal Reserve Bank of St. Louis Review, September/October 2009, 91(5, Part 1), pp. 403-17.

"Real Interest Rate Persistence: Evidence and Implications"
with David E. Rapach
Federal Reserve Bank of St. Louis Review, November/December 2008, 90(6), pp. 609-41.

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Most Recent Regional Economist Articles

"Reader Exchange: Why are economists unconcerned about foreign investment in the United States?"
Federal Reserve Bank of St. Louis The Regional Economist, April 2008, p. 23.

"Why Do Gasoline Prices React to Things That Have Not Happened?"
with William Emmons
Federal Reserve Bank of St. Louis The Regional Economist, July 2007, pp. 10-11.

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Other Publications, Book Reviews and Edited Volumes

"Econometric Modeling of Exchange Rate Volatility and Jumps"
with Deniz Erdemlioglu, and Sébastien Laurent
in Adrian R. Bell, Chris Brooks, Marcel Prokopczuk, eds., Handbook of Research Methods and Applications in Empirical Finance, 2013, Cheltenham: Edward Elgar. Part V(16), pp. 373-427.

"Technical Analysis in the Foreign Exchange Market"
with Paul A. Weller
Wiley Handbook of Exchange Rates, June 2012, pp. 343-374.

"The Microstructure of the U.S. Treasury Market"
with
Bruce Mizrach
in Robert A. Meyers, ed., Encyclopedia of Complexity and Systems Science, 2009, New York: Springer-Verlag.

Review of The Crisis of Global Capitalism by George Soros,
The Journal of Finance, October 1999, pp. 1923-27.

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Editorial Activities

Associate Editor, Journal of International Financial Markets, Institutions and Money, 1999-2002.

Associate Editor, Quantitative Finance, 2000-present.

Associate Editor, Applied Economics, 2001-present.

Co-editor, Journal of International Financial Markets, Institutions and Money, 2003-2008.

Editor, International Economic Trends of the Federal Reserve Bank of St. Louis, 2003-2011.

Associate Editor, Annals of Financial Economics, 2004-present

Special Issue Editor, International Journal of Finance and Economics, Special Issue on Foreign Exchange Intervention, April 2007.

Associate Editor, Journal of Financial Research, 2011-present

Associate Editor, Journal of Banking and Finance, 2014-present

 

Most Recent Cover Pages and Commentary

"Would It Help To Eliminate Interest on Reserves?"
Federal Reserve Bank of St. Louis Economic Synopses, 2013, No. 8.

"Political Pressure on the Bank of Japan: Interference or Accountability?"
Federal Reserve Bank of St. Louis Economic Synopses, 2013, No. 7.

"The Mysterious Greek Yield Curve"
Federal Reserve Bank of St. Louis Economic Synopses, 2012, No. 6.

"The Great Foreign Exchange Intervention of 2011"
Federal Reserve Bank of St. Louis Economic Synopses, 2011, No. 23.

"Fiscal Policy and Expected Inflation"
Federal Reserve Bank of St. Louis Monetary Trends, March 2011.

"Fiscal Policy and Expected Inflation"
Federal Reserve Bank of St. Louis Economic Synopses, 2011, No. 8.

"The Difference Between Currency Manipulation and Monetary Policy"
Federal Reserve Bank of St. Louis Economic Synopses, 2011, No. 5.

"U.S. Historical Experience with Deflation"
Federal Reserve Bank of St. Louis National Economic Trends, October 2010.

"The Effects of Large-Scale Asset Purchases on TIPS Inflation Expectations"
with Massimo Guidolin
Federal Reserve Bank of St. Louis National Economic Trends, September 2010.

"'How Central Should the Central Bank Be?' A Comment"
Federal Reserve Bank of St. Louis Economic Synopses, 2010, No. 10.

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Most Recent Workshops and Presentations

All the workshops and presentations listed below are available in HTML, PDF and/or PowerPoint formats

"The US Fiscal Situation, October 2013"

"European Debt Crisis and US Implications, September 2012"

"Central Banks and Alternative Monetary Systems, October 2011"

"Exchange Rates, October 2011"

"Economic Outlook, August 2011"

"The Origins of the Financial Crisis"

The US Fiscal Situation, March 2011"

"European Debt Crisis and US Implications"

"Financial Intermediation"

"Unemployment"

"Exchange Rates and the Current Account"

"Economic Outlook"

"Prosperity in a Challenging Global Economy"

More Workshops and Presentations

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