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Christopher J. Neely, Working 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

2005-031C "Identifying the Effects of U.S. Intervention on the Levels of Exchange Rates" - May 2005, Revised May 2006
Abstract | Full Text (PDF)
Originally submitted as "Identifying the Effects of Central Bank Intervention"

2004-031B "The Case for Foreign Exchange Intervention: The Government as an Active Reserve Manager" - November 2004, Revised July 2005
Abstract | Full Text (PDF)
Originally submitted as "The Case for Foreign Exchange Intervention: The Government as a Long-term Speculator"

2003-018C "Implied Volatility from Options on Gold Futures: Do Econometric Forecasts Add Value or Simply Paint the Lilly?" - July 2003, Revised June 2004
Abstract | Full Text (PDF)

"Testing Asset Pricing Models with Euler Equations: It's Far Worse Than You Think"
Originally submitted as "A Reconsideration of the Properties of the Generalized Method of Moments in Asset Pricing Models" Working Paper Number 94-010A
Abstract | Full Text (PDF)