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:
Laura Girresch
mediainquiries@stls.frb.org
Office: (314) 444-6166
Cell: (314) 348-3639

Christopher J. Neely

Published Papers

"Forecasting the Equity Risk Premium: The Role of Technical Indicators"
with David E. Rapach, Jun Tu, and Guofu Zhou
Management Science, July 2014, 60(7), pp. 1772-1791.

"International Channels of the Fed’s Unconventional Monetary Policy"
with Michael D. Bauer
Journal of International Money and Finance, June 2014, 44, pp. 24-46.

"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.

"Foreign Exchange Volatility is Priced in Equities"
with Hui Guo and Jason Higbee
Financial Management, Winter 2008, 37(4), pp. 769-90.

"Information Shares in the U.S. Treasury Market"
with Bruce Mizrach
Journal of Banking and Finance, July 2008, 32(7), pp. 1221-33.

"Investigating the Intertemporal Risk-Return Relation in International Stock Markets with the Component GARCH Model"
with Hui Guo
Economics Letters, May 2008, 99(2), pp. 371-74.

"Central Bank Authorities’ Beliefs about Foreign Exchange Intervention"
Journal of International Money and Finance, February 2008, 27(1), pp. 1-25.

"Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components"
with Michel Beine, Jérôme Lahaye, Sébastien Laurent, and Franz C. Palm
International Journal of Finance and Economics, April 2007, 12(2), pp. 201-23.

"Central Bank Intervention with Limited Arbitrage"
with Paul A. Weller
International Journal of Finance and Economics, April 2007, 12(2), pp. 249-60.

"Can Markov Switching Models Predict Excess Foreign Exchange Returns?"
with Michael J. Dueker
Journal of Banking and Finance, February 2007, 31(2), pp. 279-96.

"Year-End Seasonality in One-Month LIBOR Derivatives"
with Drew B. Winters
Journal of Derivatives, Spring 2006, 13(3), pp. 47-65.

"Endogenous Realignments and the Sustainability of a Target Zone."
with Paul A. Weller and Dean Corbae
Oxford Economic Papers, July 2003, 55(3), pp. 494-511.

"Intraday Technical Trading in the Foreign Exchange Market"
with Paul A. Weller
Journal of International Money and Finance, 2003, 22(2), pp. 223-237.

"Risk-Adjusted, Ex Ante, Optimal, Technical Trading Rules in Equity Markets"
International Review of Economics and Finance, Spring 2003, 12(1), pp. 69-87.

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

"Technical Analysis and Central Bank Intervention"
with Paul A. Weller
Journal of International Money and Finance, December 2001, 20(7), pp. 949-70.

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

"Predictability in International Asset Returns: A Reexamination"
with Paul A. Weller
Journal of Financial and Quantitative Analysis, December 2000, 35-(4), pp. 601-20.

"Technical Trading Rules in the European Monetary System"
with Paul A. Weller
Journal of International Money and Finance, June 1999, 18(3), pp. 429-58.

"Target Zones and Conditional Volatility: The Role of Realignments."
Journal of Empirical Finance, April 1999, 6(2), pp. 177-92.

"Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach"
with Paul A. Weller and Robert Dittmar
Journal of Financial and Quantitative Analysis, December 1997.

"A Benefit-Cost Analysis of Disinflation"
with Christopher J. Waller
Contemporary Economic Policy, January 1997, 5(1), pp. 50-64.


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