Christopher J. Neely - Central Bank Research Hub

Papers by year: All | 2017 | 2016 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004

Title Other author(s)

The response of multinationals foreign exchange rate exposure to macroeconomic news

St Louis Fed Working Papers [View] (Paper: 2017-020, 22.07.2017)

JEL: E3, F3, F44, G14

Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book

St Louis Fed Working Papers [View] (Paper: 2017-012, 25.04.2017)

Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements

St Louis Fed Working Papers [View] (Paper: 2017-011, 20.04.2017)

JEL: C1, E44, G11, G12

Chinese Foreign Exchange Reserves, Policy Choices and the U.S. Economy

St Louis Fed Working Papers [View] (Paper: 2017-001, 09.01.2017)

JEL: E52, E58, F31, F32

A Survey of the Empirical Literature on U.S. Unconventional Monetary Policy

St Louis Fed Working Papers [View] (Paper: 2016-021, 01.11.2016)

JEL: E51, E58, E61, F31, G12

The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited

St Louis Fed Working Papers [View] (Paper: 2014-034, 31.10.2014)

JEL: C13, C14, C32, C58, F31, F37, F65, G15

How Persistent are Monetary Policy Effects at the Zero Lower Bound?

St Louis Fed Working Papers [View] (Paper: 2014-004, 13.02.2014)

Which continuous-time model is most appropriate for exchange rates?

St Louis Fed Working Papers [View] (Paper: 2013-024, 17.08.2013)

International Channels of the Fed's Unconventional Monetary Policy

San Francisco Fed Working Papers [View] (Paper: 2012-12, 07.09.2012)

Econometric Modeling of Exchange Rate Volatility and Jumps

St Louis Fed Working Papers [View] (Paper: 2012-008, 04.04.2012)

JEL: C13, C14, C58, F31

Capital Flows and Japanese Asset Volatility

St Louis Fed Working Papers [View] (Paper: 2011-034, 26.10.2011)

Lessons from the Evolution of Foreign Exchange Trading Strategies

St Louis Fed Working Papers [View] (Paper: 2011-021, 21.09.2011)

Technical Analysis in the Foreign Exchange Market

St Louis Fed Working Papers [View] (Paper: 2011-001, 22.02.2011)

The Large Scale Asset Purchases Had Large International Effects

St Louis Fed Working Papers [View] (Paper: 2010-018, 07.07.2010)

Out-of-Sample Equity Premium Prediction: Economic Fundamentals vs. Moving-Average Rules

St Louis Fed Working Papers [View] (Paper: 2010-008, 11.03.2010)

Common Fluctuations in OECD Budget Balances

St Louis Fed Working Papers [View] (Paper: 2009-055, 26.10.2009)

Is Inflation an International Phenomenon?

St Louis Fed Working Papers [View] (Paper: 2008-025, 02.08.2008)

JEL: C32, E31, E52, F42

Real Interest Rate Persistence: Evidence and Implications

St Louis Fed Working Papers [View] (Paper: 2008-018, 04.07.2008)

JEL: C22, E21, E44, E52, E62, G12

The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate

St Louis Fed Working Papers [View] (Paper: 2008-006, 02.04.2008)

JEL: C32, F31, F37

The Microstructure of the U.S. Treasury Market

St Louis Fed Working Papers [View] (Paper: 2007-052, 12.12.2007)

JEL: D53, E43, E44, G12

Jumps, Cojumps and Macro Announcements

St Louis Fed Working Papers [View] (Paper: 2007-032, 29.08.2007)

The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market

St Louis Fed Working Papers [View] (Paper: 2006-046, 05.08.2006)

JEL: F31, G11, G14

Authorities¿ Beliefs about Foreign Exchange Intervention: Getting Back Under the Hood

St Louis Fed Working Papers [View] (Paper: 2006-045, 17.07.2006)

JEL: E58, F31, F42

Central Bank Intervention with Limited Arbitrage

St Louis Fed Working Papers [View] (Paper: 2006-033, 10.05.2006)

JEL: E58, F3, F31

Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components

St Louis Fed Working Papers [View] (Paper: 2006-031, 09.05.2006)

The Transition to Electronic Trading in the Secondary Treasury Market

St Louis Fed Working Papers [View] (Paper: 2006-012, 04.03.2006)

JEL: C32, D4, G12, G14

Investigating the Intertemporal Risk-Return Relation in International Stock Markets with the Component GARCH Model

St Louis Fed Working Papers [View] (Paper: 2006-006, 03.03.2006)

The Microstructure of Bond Market Tatonnement

St Louis Fed Working Papers [View] (Paper: 2005-070, 07.11.2005)

JEL: C32, D4, G12, G14

The Case for Foreign Exchange Intervention: The Government as a Long-term Speculator

St Louis Fed Working Papers [View] (Paper: 2004-031, 10.11.2004)

Is Foreign Exchange Delta Hedging Risk Priced?

St Louis Fed Working Papers [View] (Paper: 2004-029, 05.11.2004)

JEL: F31, G15

Papers by year: All | 2017 | 2016 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004