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Information about:
Christopher J. Neely

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Personal Details

First Name: Christopher
Middle Name: J.
Last Name: Neely
Suffix:

RePEc Short-ID: pne3

Email:
Homepage: http://www.stls.frb.org/research/econ/cneely/
Postal Address: Chris Neely 411 Locust St. St. Louis, MO 63102 United States
Phone:

Affiliation

(in no particular order)

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This author is among the top 5% authors according to these criteria:
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Works

| Working papers | Articles | Editor | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Christopher J. Neely & David E. Rapach, 2008. "Is inflation an international phenomenon?," Working Papers 2008-025, Federal Reserve Bank of St. Louis. [Downloadable!]

  2. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  3. Nikola Gradojevic & Christopher J. Neely, 2008. "The dynamic interaction of order flows and the CAD/USD exchange rate," Working Papers 2008-006, Federal Reserve Bank of St. Louis. [Downloadable!]

  4. Christopher J. Neely & Paul A. Weller, 2007. "Central bank intervention with limited arbitrage," Working Papers 2006-033, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  5. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  6. Christopher J. Neely & Paul A. Weller & Joshua M. Ulrich, 2007. "The adaptive markets hypothesis: evidence from the foreign exchange market," Working Papers 2006-046, Federal Reserve Bank of St. Louis. [Downloadable!]

  7. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis. [Downloadable!]

  8. Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm, 2007. "Central bank intervention and exchange rate volatility, its continuous and jump components," Working Papers 2006-031, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  9. Christopher J. Neely, 2007. "Central bank authorities’ beliefs about foreign exchange intervention," Working Papers 2006-045, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  10. Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2007. "Jumps, cojumps and macro announcements," Working Papers 2007-032, Federal Reserve Bank of St. Louis. [Downloadable!]

  11. Hui Guo & Christopher J. Neely, 2006. "Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model," Working Papers 2006-006, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  12. Christopher J. Neely, 2006. "Identifying the effects of U.S. intervention on the levels of exchange rates," Working Papers 2005-031, Federal Reserve Bank of St. Louis. [Downloadable!]

  13. Michael Dueker & Christopher J. Neely, 2006. "Can Markov switching models predict excess foreign exchange returns?," Working Papers 2001-021, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  14. Hui Guo & Christopher J. Neely & Jason Higbee, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis. [Downloadable!]

  15. Bruce Mizrach & Chris Neely, 2006. "The Transition to Electronic Trading in the Secondary Treasury Market," Departmental Working Papers 200603, Rutgers University, Department of Economics.

  16. Christopher J. Neely, 2005. "The case for foreign exchange intervention: the government as an active reserve manager," Working Papers 2004-031, Federal Reserve Bank of St. Louis. [Downloadable!]

  17. Christopher J. Neely & Drew B. Winters, 2005. "Year-end seasonality in one-month LIBOR derivatives," Working Papers 2003-040, Federal Reserve Bank of St. Louis. [Downloadable!]

  18. Christopher J. Neely, 2005. "An analysis of recent studies of the effect of foreign exchange intervention," Working Papers 2005-030, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  19. Christopher J. Neely, 2004. "Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?," Working Papers 2002-017, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  20. Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis. [Downloadable!]

  21. Christopher J. Neely, 2003. "The Federal Reserve responds to crises: September 11th was not the first," Working Papers 2003-034, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  22. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  23. Christopher J. Neely, 2002. "The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits," Working Papers 2000-018, Federal Reserve Bank of St. Louis. [Downloadable!]

  24. Christopher J. Neely & Paul A. Weller, 2001. "Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics," Working Papers 2001-009, Federal Reserve Bank of St. Louis. [Downloadable!]

  25. Christopher J. Neely, 2001. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," Working Papers 1999-015, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  26. Christopher J. Neely & Paul A. Weller, 2001. "Intraday technical trading in the foreign exchange market," Working Papers 1999-016, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
    Published as:

  27. Christopher Neely & Paul Weller, 2000. "Technical analysis and central bank intervention," Working Papers 1997-002, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
    Published as:

  28. Christopher J. Neely, 2000. "The practice of central bank intervention: looking under the hood," Working Papers 2000-028, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  29. Christopher Neely & Paul Weller, 1999. "Predictability in international asset returns: a reexamination," Working Papers 1997-010, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
    Published as:

  30. Neely, C.J. & Roy, A. & Whiteman, C.H., 1998. "Risk Aversion vs. Intertemporal Substitution: Identification Failure in the Intertemporal Consumption CAPM," Working Papers 98-08, University of Iowa, Department of Economics.
    Other versions:

  31. Christopher J. Neely, 1998. "Target zones and conditional volatility: the role of realignments," Working Papers 1994-008, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  32. Christopher Neely & Paul Weller, 1998. "Technical trading rules in the European Monetary System," Working Papers 1997-015, Federal Reserve Bank of St. Louis. [Downloadable!]
    Published as:

  33. Dean Corbae & Chris Neely & Paul Weller, 1998. "Endogenous realignments and the sustainability of a target," Working Papers 1994-009, Federal Reserve Bank of St. Louis. [Downloadable!]

  34. Dittmar, Robert & Neely, Christopher J & Weller, Paul, 1996. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," CEPR Discussion Papers 1480, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
    Published as:

  35. Christopher J. Neely, 1995. "Testing asset pricing models with Euler equations: it's worse than you think," Working Papers 1995-018, Federal Reserve Bank of St. Louis. [Downloadable!]

  36. Corbae, P Dean & Neely, Christopher J & Weller, Paul, 1995. "Endogenous Realignments and the Sustainability of a Target Zone," CEPR Discussion Papers 1253, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  37. Christopher J. Neely, 1994. "A reconsideration of the properties of the generalized method moments in asset pricing models," Working Papers 1994-010, Federal Reserve Bank of St. Louis. [Downloadable!]

  38. Christopher J. Neely, 1994. "Realignments of target zone exchange systems: what do we know?," Working Papers 1994-020, Federal Reserve Bank of St. Louis. [Downloadable!]

Articles

  1. Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February. [Downloadable!] (restricted)
    Other versions:

  2. Christopher J. Neely, 2009. "Markets worry more about sovereign debt," International Economic Trends, Federal Reserve Bank of St. Louis, issue Feb. [Downloadable!]

  3. Christopher J. Neely, 2008. "The sovereign wealth funds of nations," International Economic Trends, Federal Reserve Bank of St. Louis, issue May. [Downloadable!]

  4. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 609-642. [Downloadable!]
    Other versions:

  5. Mizrach, Bruce & Neely, Christopher J., 2008. "Information shares in the US Treasury market," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1221-1233, July. [Downloadable!] (restricted)
    Other versions:

  6. Neely, Christopher J., 2008. "Central bank authorities' beliefs about foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 1-25, February. [Downloadable!] (restricted)
    Other versions:

  7. Guo, Hui & Neely, Christopher J., 2008. "Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model," Economics Letters, Elsevier, vol. 99(2), pages 371-374, May. [Downloadable!] (restricted)
    Other versions:

  8. Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm, 2007. "Central bank intervention and exchange rate volatility, its continuous and jump components," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 201-223. [Downloadable!]
    Other versions:

  9. Justin P. Hauke & Christopher J. Neely, 2007. "Asian nations driving world oil prices," The Regional Economist, Federal Reserve Bank of St. Louis, issue Apr, pages 12-13. [Downloadable!]

  10. Christopher J. Neely, 2007. "One dollar = one loonie," International Economic Trends, Federal Reserve Bank of St. Louis, issue Nov. [Downloadable!]

  11. Dueker, Michael & Neely, Christopher J., 2007. "Can Markov switching models predict excess foreign exchange returns?," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 279-296, February. [Downloadable!] (restricted)
    Other versions:

  12. Christopher J. Neely & Paul A. Weller, 2007. "Central bank intervention with limited arbitrage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 249-260. [Downloadable!]
    Other versions:

  13. Christopher J. Neely, 2007. "China's strategic petroleum reserve: a drop in the bucket," National Economic Trends, Federal Reserve Bank of St. Louis, issue Jan. [Downloadable!]

  14. Christopher J. Neely & Mark P. Taylor, 2007. "Exchange rate intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 107-108. [Downloadable!]

  15. William Emmons & Christopher J. Neely, 2007. "Why do gasoline prices react to things that have not happened?," The Regional Economist, Federal Reserve Bank of St. Louis, issue Jul, pages 10-11. [Downloadable!]

  16. Christopher J. Neely, 2006. "The puzzling convergence in foreign exchange volatility," International Economic Trends, Federal Reserve Bank of St. Louis, issue Jul. [Downloadable!]

  17. William R. Emmons & Aeimit K. Lakdawala & Christopher J. Neely, 2006. "What are the odds? option-based forecasts of FOMC target changes," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 543-562. [Downloadable!]

  18. Bruce Mizrach & Christopher J. Neely, 2006. "The transition to electronic communications networks in the secondary treasury market," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 527-542. [Downloadable!]

  19. Christopher J. Neely, 2005. "Using implied volatility to measure uncertainty about interest rates," Review, Federal Reserve Bank of St. Louis, issue May, pages 407-425. [Downloadable!]

  20. Christopher J. Neely, 2005. "Unwinding the current account deficit," International Economic Trends, Federal Reserve Bank of St. Louis, issue May. [Downloadable!]

  21. Christopher J. Neely, 2005. "An analysis of recent studies of the effect of foreign exchange intervention," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 685-718. [Downloadable!]
    Other versions:

  22. Christopher J. Neely, 2004. "The Federal Reserve responds to crises: September 11th was not the first," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 27-42. [Downloadable!]
    Other versions:

  23. Christopher J. Neely, 2004. "Will oil prices choke growth?," International Economic Trends, Federal Reserve Bank of St. Louis, issue Jul. [Downloadable!]

  24. Christopher J. Neely, 2004. "Miscommunication shook up mortgage, bond markets," The Regional Economist, Federal Reserve Bank of St. Louis, issue Apr, pages 4-9. [Downloadable!]

  25. Neely, Christopher J., 2003. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 69-87. [Downloadable!] (restricted)
    Other versions:

  26. Neely, C. J. & Weller, P. A., 2003. "Intraday technical trading in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 223-237, April. [Downloadable!] (restricted)
    Other versions:

  27. Christopher J. Neely, 2003. "Global factors in budget deficits," International Economic Trends, Federal Reserve Bank of St. Louis, issue Nov. [Downloadable!]

  28. Christopher J. Neely & Paul A. Weller & Dean Corbae, 2003. "Endogenous realignments in a target zone," Oxford Economic Papers, Oxford University Press, vol. 55(3), pages 494-511, July.

  29. Christopher J. Neely, 2003. "Bond market mania," Monetary Trends, Federal Reserve Bank of St. Louis, issue Oct. [Downloadable!]

  30. Christopher J. Neely & Paul A. Weller, 2002. "Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics," Review, Federal Reserve Bank of St. Louis, issue May, pages 43-54. [Downloadable!]

  31. Christopher J. Neely, 2002. "How expensive are stocks?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jun. [Downloadable!]

  32. Christopher J. Neely, 2002. "The Fed responds to Sept. 11 attacks," The Regional Economist, Federal Reserve Bank of St. Louis, issue Jan., pages 12-13. [Downloadable!]

  33. Neely, Christopher J., 2002. "The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits," Journal of International Economics, Elsevier, vol. 58(1), pages 211-232, October. [Downloadable!] (restricted)

  34. Christopher J. Neely, 2002. "Options on economic data," International Economic Trends, Federal Reserve Bank of St. Louis, issue Nov. [Downloadable!]

  35. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 51-74. [Downloadable!]
    Other versions:

  36. Christopher J. Neely, 2001. "International interest rate linkages," International Economic Trends, Federal Reserve Bank of St. Louis, issue Aug. [Downloadable!]

  37. Neely, Christopher J. & Weller, Paul A., 2001. "Technical analysis and central bank intervention," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 949-970, December. [Downloadable!] (restricted)
    Other versions:

  38. Neely, Christopher J & Roy, Amlan & Whiteman, Charles H, 2001. "Risk Aversion versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 395-403, October.

  39. Christopher J. Neely, 2001. "The practice of central bank intervention: looking under the hood," The Regional Economist, Federal Reserve Bank of St. Louis, issue May, pages 1-10. [Downloadable!]
    Other versions:

  40. Christopher J. Neely, 2001. "September 11, 2001," Monetary Trends, Federal Reserve Bank of St. Louis, issue Nov. [Downloadable!]

  41. Christopher J. Neely, 2000. "Are changes in foreign exchange reserves well correlated with official intervention?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 17-32. [Downloadable!]

  42. Neely, Christopher J. & Weller, Paul, 2000. "Predictability in International Asset Returns: A Reexamination," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(04), pages 601-620, December. [Downloadable!]
    Other versions:

  43. Christopher J. Neely, 2000. "Stock prices and consumption," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jul. [Downloadable!]

  44. Christopher J. Neely, 2000. "What is the slope of the yield curve telling us?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Aug. [Downloadable!]

  45. Christopher J. Neely, 1999. "An introduction to capital controls," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 13-30. [Downloadable!]

  46. Christopher J. Neely, 1999. "An E.U. withholding tax?," International Economic Trends, Federal Reserve Bank of St. Louis, issue Nov. [Downloadable!]

  47. Neely, Christopher J. & Weller, Paul A., 1999. "Technical trading rules in the European Monetary System," Journal of International Money and Finance, Elsevier, vol. 18(3), pages 429-458. [Downloadable!] (restricted)
    Other versions:

  48. Christopher J. Neely, 1999. "How big is Japan's debt?," International Economic Trends, Federal Reserve Bank of St. Louis, issue Feb. [Downloadable!]

  49. Neely, Christopher J., 1999. "Target zones and conditional volatility: The role of realignments," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 177-192, April. [Downloadable!] (restricted)
    Other versions:

  50. Christopher J. Neely, 1998. "Technical analysis and the profitability of U.S. foreign exchange intervention," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 3-17. [Downloadable!]

  51. Christopher J. Neely & Christopher J. Waller, 1997. "A Benefit-Cost Analysis Of Disinflation," Contemporary Economic Policy, Western Economic Association International, vol. 15(1), pages 50-64, 01. [Downloadable!] (restricted)

  52. Neely, Christopher & Weller, Paul & Dittmar, Rob, 1997. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(04), pages 405-426, December. [Downloadable!]
    Other versions:

  53. Christopher J. Neely, 1997. "Technical analysis in the foreign exchange market: a layman's guide," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 23-38. [Downloadable!]

  54. Christopher J. Neely, 1996. "The giant sucking sound: did NAFTA devour the Mexican peso?," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 33-48. [Downloadable!]

  55. Christopher J. Neely & Geoffrey E. Wood, 1995. "Deflation and real economic activity under the gold standard," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 27-37. [Downloadable!]

  56. Christopher J. Neely, 1994. "Realignment of target zone exchange rate systems: what do we know?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 23-34. [Downloadable!]

Editor

  1. Journal of International Financial Markets, Institutions and Money, Elsevier.

NEP Fields

19 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2006-03-18
  2. NEP-CBA: Central Banking (8) 2002-11-04 2006-05-27 2006-05-27 2006-08-05 2006-09-16 2008-02-16 2008-07-14 2008-08-14 Author is listed
  3. NEP-CMP: Computational Economics (1) 2006-09-16
  4. NEP-ECM: Econometrics (2) 2002-11-04 2003-09-24
  5. NEP-ETS: Econometric Time Series (4) 2002-11-04 2003-09-24 2004-08-09 2006-03-18
  6. NEP-FIN: Finance (6) 2002-11-04 2003-09-24 2004-02-29 2004-08-09 2005-05-23 2005-12-01 Author is listed
  7. NEP-FMK: Financial Markets (9) 2002-11-04 2004-02-29 2005-12-01 2006-03-18 2006-05-27 2006-05-27 2006-08-05 2006-09-16 2008-01-05 Author is listed
  8. NEP-HIS: Business, Economic & Financial History (1) 2004-01-18
  9. NEP-IFN: International Finance (9) 2002-11-04 2004-01-18 2004-08-09 2005-05-23 2005-07-11 2006-05-27 2006-08-05 2006-09-16 2008-02-16 Author is listed
  10. NEP-MAC: Macroeconomics (5) 2004-01-18 2004-02-29 2006-05-27 2008-07-14 2008-08-14 Author is listed
  11. NEP-MON: Monetary Economics (8) 2005-05-23 2005-07-11 2006-05-27 2006-05-27 2006-08-05 2006-09-16 2008-07-14 2008-08-14 Author is listed
  12. NEP-MST: Market Microstructure (3) 2007-09-16 2008-01-05 2008-02-16
  13. NEP-RMG: Risk Management (6) 2002-11-04 2004-01-18 2005-05-23 2006-03-18 2006-09-16 2007-09-16 Author is listed
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This page was last updated on 2009-7-2.

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