#2008-025A "Is Inflation an International Phenomenon?"
by Christopher J. Neely, and David E. Rapach
August 2008

Common shocks, similarities in central bank reaction functions, and international trade potentially produce common components in international inflation rates. More...

#2008-018A "Real Interest Rate Persistence: Evidence and Implications"
by Christopher J. Neely, and David E. Rapach
June 2008

The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. We selectively survey the empirical literature that examines the time-series properties of real interest rates. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, November/December 2008, 90(6), pp. 609-41

#2008-006A "The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate"
by Nikola Gradojevic, and Christopher J. Neely
February 2008

We explore the relationship between disaggregated order flow, the Canada/U.S. dollar (CAD/USD) market and U.S. macroeconomic announcements. Three types of CAD order flow and the CAD/USD are cointegrated. More...

#2007-052B "The Microstructure of the U.S. Treasury Market"
by Bruce Mizrach, and Christopher J. Neely
December 2007
Revised April 2008

This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. More...

FORTHCOMING: Encyclopedia of Complexity and Systems Science

#2007-032B "Jumps, Cojumps and Macro Announcements"
by Jérôme Lahaye, Sébastien Laurent, and Christopher J. Neely
August 2007
Revised October 2008

We analyze and assess the impact of macroeconomic announcements on the discontinuities in many assets: stock index futures, bond futures, exchange rates, and gold. We use bi-power variation and the recently proposed non-parametric techniques of Lee and Mykland (2006) to extract jumps. More...

#2006-046B "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market"
by Christopher J. Neely, Paul A. Weller, and Joshua M. Ulrich
August 2006
Revised March 2007

We analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously studied rules. More...

FORTHCOMING: Journal of Financial and Quantitative Analysis

#2006-045C "Central Bank Authorities’ Beliefs about Foreign Exchange Intervention"
by Christopher J. Neely
July 2006
Revised April 2007

This paper presents the results of a survey of monetary authorities with respect to foreign exchange intervention. More...

PUBLISHED: Journal of International Money and Finance, February 2008, 27(1), pp. 1-25

#2006-033B "Central Bank Intervention with Limited Arbitrage"
by Christopher J. Neely, and Paul A. Weller
May 2006
Revised February 2007

Shleifer and Vishny (1997) pointed out some of the practical and theoretical problems associated with assuming that rational risk-arbitrage would quickly drive asset prices back to long-run equilibrium. More...

PUBLISHED: International Journal of Finance and Economics, April 2007, 12(2), pp. 249-60

#2006-031C "Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components"
by Michel Beine, Jérôme Lahaye, Sébastien Laurent, Christopher J. Neely, and Franz C. Palm
May 2006
Revised February 2007

We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. More...

PUBLISHED: International Journal of Finance and Economics, April 2007, 12(2), pp. 201-23

#2006-012B "The Transition to Electronic Communications Networks in the Secondary Treasury Market"
by Bruce Mizrach, and Christopher J. Neely
March 2006
Revised April 2006

This article reviews the history of the recent shift to electronic trading in equity, foreign exchange,
and fixed-income markets. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, November/December 2006, 88(6), pp. 527-542