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Christopher J. Neely, Working Papers

2008-018A "Real Interest Rate Persistence: Evidence and Implications" - June 2008
with David E. Rapach
Abstract | Full Text (PDF)

2008-006A "The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate" - February 2008
with Nikola Gradojevic
Abstract | Full Text (PDF)

2007-032A "Jumps, Cojumps and Macro Announcements" - August 2007
with Jérôme Lahaye and Sébastien Laurent
Abstract | Full Text (PDF)

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)