Home > Economists > Christopher Neely

Christopher J. Neely Assistant Vice President

Mailing Address: Research Division Federal Reserve Bank of St. Louis P.O. Box 442 St. Louis, MO 63166-0442

Phone: (314) 444-8568 Fax: (314) 444-8731 Email:

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.

Vitae

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Most Recent Published Papers

"Forecasting Foreign Exchange Volatility: Why Is Implied Volatility Biased and Inefficient? And Does It Matter?"
FORTHCOMING: Journal of International Financial Markets, Institutions and Money
Abstract | Full Text (PDF)

"Information Shares in the U.S. Treasury Market"
with Bruce Mizrach
FORTHCOMING: Journal of Banking and Finance
Abstract | Full Text (PDF)

"Investigating the Intertemporal Risk-Return Relation in International Stock Markets with the Component GARCH Model"
with Hui Guo
FORTHCOMING: Economics Letters
Abstract | Full Text (PDF)

"The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market"
with Paul A. Weller and Joshua M. Ulrich
FORTHCOMING: Journal of Financial and Quantitative Analysis
Abstract | Full Text (PDF)

"Foreign Exchange Volatility is Priced in Equities"
with Hui Guo and Jason Higbee
FORTHCOMING: Financial Management
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)

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.
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

Most Recent Working Papers

2007-052B "The Microstructure of the U.S. Treasury Market" - December 2007, Revised April 2008
with Bruce Mizrach
Abstract | Full Text (PDF)

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

All Working Papers

Most Recent Review Articles

"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.

"What Are the Odds? Option-Based Forecasts of FOMC Target Changes"
with William R. Emmons and Aeimit K. Lakdawala
Federal Reserve Bank of St. Louis Review, November/December 2006, 88(6), pp. 543-61.

"An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention"
Federal Reserve Bank of St. Louis Review, November/December 2005, 87(6), pp. 685-717.

All Review Articles

Most Recent Regional Economist Articles

"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.

"Asian Nations Driving World Oil Prices"
with Justin P. Hauke
Federal Reserve Bank of St. Louis The Regional Economist, April 2007, pp. 12-13.

All Regional Economist Articles

Other Publications, Book Reviews and Edited Volumes

Review of The Crisis of Global Capitalism by George Soros,
The Journal of Finance, October 1999, pp. 1923-27.

All Other Publications

Editorial Activities

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.

Most Recent Cover Pages

"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.

"China's Strategic Petroleum Reserve: A Drop in the Bucket"
Federal Reserve Bank of St. Louis National Economic Trends, January 2007.

All Cover Page Articles

Most Recent Workshops and Presentations

All the workshops and presentations listed below are available in HTML, PDF and/or PowerPoint formats

"An Academic Perspective on Technical Analysis"

"The World Market"

"The Current Account Deficit"

All Workshops and Presentations

Education

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