Standard Vita
Ph.D. Economics B.S.F.S. Phone: (314) 444-8568 Research Division For media inquiries contact:Education
University of Iowa
1993
International Economics
Georgetown University
Washington, DC
1988Contact Info
Fax: (314) 444-8731
Email: neely@stls.frb.org
Federal Reserve Bank of St. Louis
P.O. Box 442
St. Louis, MO 63166-0442
Ben C. Hardaway
mediainquiries@stls.frb.org
Office: (314) 444-8783
Cell: (314) 341-2714
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
"Capital Flows and Japanese Asset Volatility"
with Brett W. Fawley
FORTHCOMING: Pacific Economic Review
"Technical Analysis in the Foreign Exchange Market"
with Paul A. Weller
FORTHCOMING: Wiley Handbook of Exchange Rates
"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.
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.
Most Recent Working Papers
"Capital Flows and Japanese Asset Volatility"
with Brett W. Fawley
Working Paper 2011-034B posted October 2011, updated January 2012
"Lessons from the Evolution of Foreign Exchange Trading Strategies"
with Paul A. Weller
Working Paper 2011-021A posted September 2011
"The Large-Scale Asset Purchases Had Large International Effects"
Working Paper 2010-018C posted July 2010, updated January 2011
Most Recent Review Articles
"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.
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.
Other Publications, Book Reviews and Edited Volumes
"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.
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
Most Recent Cover Pages and Commentary
"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.
"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.
Most Recent Workshops and Presentations
All the workshops and presentations listed below are available in HTML, PDF and/or PowerPoint formats
"Central Banks and Alternative Monetary Systems, October 2011"
"Exchange Rates, October 2011"
"Economic Outlook, August 2011"
"The Origins of the Financial Crisis"
"European Debt Crisis and US Implications"
"Exchange Rates and the Current Account"
"Prosperity in a Challenging Global Economy"