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Home > Economists > Christopher Neely
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Assistant Vice President |
Research Division
Federal Reserve Bank of St. Louis
P.O. Box 442
St. Louis, MO 63166-0442 |
(314) 444-8568
(314) 444-8731
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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 ,
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.
"Jumps, Cojumps and Macro Announcements"
with Jérôme Lahaye and Sébastien Laurent
FORTHCOMING: Journal of Applied Econometrics
Abstract | Full Text (PDF)
"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.
Abstract | Full Text (PDF)
"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.
Abstract | Full Text (PDF)
"Foreign Exchange Volatility is Priced in Equities"
with Hui Guo and Jason Higbee
Financial Management, Winter 2008, 37(4), pp. 769-90.
Abstract | Full Text (PDF)
"Information Shares in the U.S. Treasury Market"
with Bruce Mizrach
Journal of Banking and Finance, July 2008, 32(7), pp. 1221-33.
Abstract | Full Text (PDF)
"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.
Abstract | Full Text (PDF)
"Central Bank Authorities' Beliefs about Foreign Exchange Intervention"
Journal of International Money and Finance, February 2008, 27(1), pp. 1-25.
Abstract | Full Text (PDF)
"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.
Abstract | Full Text (PDF)
"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.
Abstract | Full Text (PDF)
"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.
Abstract | Full Text (PDF)
All Published Papers
2009-055D "Common Fluctuations in OECD Budget Balances" - October 2009
with David E. Rapach
Abstract | Full Text (PDF)
2008-025D "International Comovements in Inflation Rates and Country Characteristics" - August 2008, Revised September 2009
with David E. Rapach
Abstract | Full Text (PDF)
2008-006C "The Dynamic Interaction of Trading Flows, Macroeconomic Announcements and the CAD/USD Exchange Rate:
Evidence from Disaggregated Data" - February 2008, Revised August 2009
with Nikola Gradojevic
Abstract |
Full Text (PDF) |
Data Appendix
All Working Papers
Notify me of updates to working papers by Christopher J. Neely
"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.
"The Transition to Electronic Communications Networks in the Secondary Treasury Market"
with Bruce Mizrach
Federal Reserve Bank of St. Louis Review, November/December 2006, 88(6), pp. 527-41.
All Review 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.
All Regional Economist Articles
"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.
Abstract | Full Text (PDF)
Review of The Crisis of Global Capitalism by George Soros,
The Journal of Finance, October 1999, pp. 1923-27.
All Other Publications
Editor, International Economic Trends, January 2003-present.
Co-Editor, Journal of International Financial Markets, Institutions and Money, 2003-present.
Associate Editor, Journal of International Financial Markets, Institutions and Money, 1999-2003.
Associate Editor, Quantitative Finance, 2000-present.
Associate Editor, Applied Economics, 2001-present.
"Markets Worry More about Sovereign Debt"
Federal Reserve Bank of St. Louis International Economic Trends, February 2009.
"The Sovereign Wealth Funds of Nations"
Federal Reserve Bank of St. Louis International Economic Trends, May 2008.
"One Dollar = One Loonie"
Federal Reserve Bank of St. Louis International Economic Trends, November 2007.
All Cover Page Articles
All the workshops and presentations listed below are available in HTML, PDF and/or PowerPoint formats
"Prosperity in a Challenging Global Economy"
"Monetary Policy at the Zero Bound: The Fed's Response to the Financial Crisis"
"The Financial Crisis of 2007-2008"
All Workshops and Presentations
| Degree |
Field |
Institution |
Degree Awarded |
| Ph.D. |
Economics |
University of Iowa |
1993 |
| M.A. |
Economics |
University of Iowa |
1991 |
| B.S.F.S. |
International Economics |
Georgetown University
Washington, DC |
1988 |
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