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Christopher J. Neely

Vice President

Education

Ph.D. Economics
University of Iowa
1993

B.S.F.S International Economics
Georgetown University, Washington DC
1988

Contact Info

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

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

For media inquiries, contact:
Shera Dalin
mediainquiries@stls.frb.org
Phone: (314) 444-3911




Forthcoming Publications

"An Analysis of the Literature on International Unconventional Monetary Policy"
with  Saroj Bhattarai
Journal of Economic Literature


Journal Publications

"Supply and demand shifts of shorts before Fed announcements during QE1–QE3"
with  Thomas McInish and  Jade Planchon
Economics Letters, 3/1/2021, Vol. 200, 109718
Working Paper
https://doi.org/10.1016/j.econlet.2020.109718

"Can risk explain the profitability of technical trading in currency markets?"
with  Matthew Famiglietti,  Yuliya Ivanova, and Paul A. Weller
Journal of International Money and Finance, 2/1/2021, Vol. 110, No. NA, 102285, pp. NA
Working Paper
Online appendices

"The role of jumps in volatility spillovers in foreign exchange markets: meteor showers and heat waves revisited"
with Jérôme Lahaye
Journal of Business & Economic Statistics, April 2020, Vol. 38, No. 2, pp. 410-427
Working Paper
Appendices
https://doi.org/10.1080/07350015.2018.1512865

"The response of multinationals’ foreign exchange rate exposure to macroeconomic news"
with  Kris Boudt,  Piet Sercu, and  Marjan Wauters
Journal of International Money and Finance, 06/01/2019, Vol. 94, pp. 32-47
Working Paper
https://doi.org/10.1016/j.jimonfin.2019.01.009

"Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book"
with  Markus Bibinger and  Lars Winkelmann
Journal of Econometrics, 04/01/2019, Vol. 209, No. 2, pp. 158-184
Working Paper
https://doi.org/10.1016/j.jeconom.2019.01.001

"Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements,"
with  Robert G. Bowman and  Kam Chan
Journal of Empirical Finance, September 2017, Vol. 43, pp. 43-58
Working Paper
https://doi.org/10.1016/j.jempfin.2017.05.003

"Which Continuous-time Model Is Most Appropriate For Exchange Rates?"
with  Deniz Erdemlioglu and  Sébastien Laurent
Journal of Banking & Finance, December 2015, Vol. 61, pp. S256-S268
Working Paper
https://doi.org/10.1016/j.jbankfin.2015.09.014

"Unconventional monetary policy had large international effects"
Journal of Banking & Finance, March 2015, Vol. 52, pp. 101-111
Working Paper
https://doi.org/10.1016/j.jbankfin.2014.11.019

"Forecasting The Equity Risk Premium: The Role Of Technical Indicators,"
with  David E. Rapach,  Jun Tu, and  Guofu Zhou
Management Science, July 2014, Vol. 60, No. 7, pp. 1772-1791
Working Paper
https://doi.org/10.1287/mnsc.2013.1838

"International Channels of the Fed’s Unconventional Monetary Policy,"
with  Michael D. Bauer
Journal of International Money and Finance, June 2014, Vol. 44, pp. 24-46
Working Paper
https://doi.org/10.1016/j.jimonfin.2013.12.007

"Lessons from the Evolution of Foreign Exchange Trading Strategies,"
with Paul A. Weller
Journal of Banking & Finance, October 2013, Vol. 37, No. 10, pp. 3783-3798
Working Paper
https://doi.org/10.1016/j.jbankfin.2013.05.029

"Capital Flows and Japanese Asset Volatility,"
with  Brett W. Fawley
Pacific Economic Review, August 2012, Vol. 17, No. 3, pp. 391-414
Working Paper
https://doi.org/10.1111/j.1468-0106.2012.00590.x

"International Comovements in Inflation Rates and Country Characteristics"
with  David E. Rapach
Journal of International Money and Finance, November 2011, Vol. 30, No. 7, pp. 1471-90
https://doi.org/10.1016/j.jimonfin.2011.07.009

"Jumps, Cojumps and Macro Announcements,"
with Jérôme Lahaye and  Sébastien Laurent
Journal of Applied Econometrics, September/Ocotober 2011, Vol. 26, No. 6, pp. 893-921
Working Paper
https://doi.org/10.1002/jae.1149

"The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market,"
with  Joshua Ulrich and Paul A. Weller
Journal of Financial and Quantitative Analysis, April 2009, Vol. 44, No. 2, pp. 467-488
Working Paper
https://doi.org/10.1017/s0022109009090103

"Forecasting Foreign Exchange Volatility: Why Is Implied Volatility Biased and Inefficient? And Does It Matter?"
Journal of International Financial Markets, Institutions & Money, February 2009, Vol. 19, No. 1, pp. 188-205
Working Paper
https://doi.org/10.1016/j.intfin.2007.11.002

"Foreign Exchange Volatility is Priced in Equities,"
with  Hui Guo and  Jason Higbee
Financial Management, Winter 2008, Vol. 37, No. 4, pp. 769-90
Working Paper
https://doi.org/10.1111/j.1755-053X.2008.00034.x

"Information Shares in the U.S. Treasury Market,"
with Bruce Mizrach
Journal of Banking & Finance, July 2008, Vol. 32, No. 7, pp. 1221-33
Working Paper
https://doi.org/10.1016/j.jbankfin.2007.10.007

"Investigating the Intertemporal Risk-Return Relation in International Stock Markets with the Component GARCH Model,"
with  Hui Guo
Economics Letters, May 2008, Vol. 99, No. 2, pp. 371-374
Working Paper
https://doi.org/10.1016/j.econlet.2007.09.001

"Central Bank Authorities' Beliefs about Foreign Exchange Intervention,"
Journal of International Money and Finance, February 2008, Vol. 27, No. 1, pp. 1-25
Working Paper
https://doi.org/10.1016/j.jimonfin.2007.04.012

"Central Bank Intervention With Limited Arbitrage,"
with Paul A. Weller
International Journal of Finance and Economics, April 2007, Vol. 12, No. 2, pp. 249-260
Working Paper
https://doi.org/10.2139/ssrn.901452

"Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components,"
with  Michel Beine, Jérôme Lahaye,  Sébastien Laurent, and Franz C. Palm
International Journal of Finance and Economics, April 2007, Vol. 12, No. 2, pp. 201-223
Working Paper
https://doi.org/10.1002/ijfe.330

"Can Markov Switching Models Predict Excess Foreign Exchange Returns?"
with  Michael J. Dueker
Journal of Banking & Finance, February 2007, Vol. 31, No. 2, pp. 279-296
Working Paper
https://doi.org/10.1016/j.jbankfin.2006.03.002

"Year-End Seasonality in One-Month LIBOR Derivatives,"
with Drew B. Winters
Journal of Derivatives, Spring 2006, Vol. 13, No. 3, pp. 47-65
Working Paper
https://doi.org/10.3905/jod.2006.616867

"Intraday Technical Trading in the Foreign Exchange Market"
with Paul A. Weller
Journal of International Money and Finance, April 2003, Vol. 22, No. 2, pp. 223-237
Working Paper
https://doi.org/10.1016/S0261-5606(02)00101-8

"Endogenous Realignments and the Sustainability of a Target Zone,"
with Dean Corbae and Paul A. Weller
Oxford Economic Papers, July 2003, Vol. 55, No. 3, pp. 494-511
Working Paper
https://doi.org/10.1093/oep/55.3.494

"Risk-Adjusted, Ex Ante, Optimal, Technical Trading Rules in Equity Markets,"
International Review of Economics & Finance, Spring 2003, Vol. 12, No. 1, pp. 69-87
Working Paper
https://doi.org/10.1016/S0261-5606(02)00101-8

"The Temporal Pattern of Trading Rule Returns and Central Bank Intervention: Intervention Does Not Generate Technical Trading Rule Profits,"
Journal of International Economics, October 2002, Vol. 58, No. 1, pp. 211-32
Working Paper
https://doi.org/10.1016/S0022-1996(01)00163-5

"Technical Analysis and Central Bank Intervention,"
with Paul A. Weller
Journal of International Money and Finance, December 2001, Vol. 20, No. 7, pp. 949-70
Working Paper
https://doi.org/10.1016/S0261-5606(01)00033-X

"Risk Aversion Versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption,"
with Amlan Roy and Charles Whiteman
Journal of Business & Economic Statistics, October 2001, Vol. 19, No. 4, pp. 395-403
Working Paper
https://doi.org/10.1198/07350010152596646

"Predictability in International Asset Returns: A Reexamination,"
with Paul A. Weller
Journal of Financial and Quantitative Analysis, December 2000, Vol. 35, No. 4, pp. 601-20
Working Paper
https://doi.org/10.2307/2676257

"Technical Trading Rules in the European Monetary System,"
with Paul A. Weller
Journal of International Money and Finance, June 1999, Vol. 18, No. 3, pp. 429-58
Working Paper
https://doi.org/10.1016/S0261-5606(99)85005-0

"Target Zones and Conditional Volatility: The Role of Realignments,"
Journal of Empirical Finance, April 1999, Vol. 6, No. 2, pp. 177-92
Working Paper
https://doi.org/10.1016/S0927-5398(98)00015-2

"Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach,"
with  Robert D. Dittmar and Paul A. Weller
Journal of Financial and Quantitative Analysis, December 1997, Vol. 32, No. 4, pp. 405-426
Working Paper
https://doi.org/10.2307/2331231

"A Benefit-Cost Analysis of Disinflation"
with Christopher J. Waller
Contemporary Economic Policy, January 1997, Vol. 15, No. 1, pp. 50-64
https://doi.org/10.1111/j.1465-7287.1997.tb00454.x