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Journal Article
The practice of central bank intervention: looking under the hood
Neely, Christopher J. (2001-05)
This article first reviews methods of foreign exchange intervention and then presents evidence?focusing on survey results?on the mechanics of such intervention. Types of intervention, instruments, timing, amounts, motivation, secrecy, and perceptions of efficacy are discussed.
Review , Volume 83 , Issue May , Pages 1-10

Journal Article
Global factors in budget deficits
Neely, Christopher J. (2003-11)
International Economic Trends , Issue Nov

Working Paper
Risk-adjusted, ex ante, optimal technical trading rules in equity markets
Neely, Christopher J. (2001)
Allen and Karjalainen (1999) used genetic programming to develop optimal ex ante trading rules for the S&P 500 index. They found no evidence that the returns to these rules were higher than buy-and-hold returns but some evidence that the rules had predictive ability. This comment investigates the risk-adjusted usefulness of such rules and more fully characterizes their predictive content. These results extend Allen and Karjalainen's (1999) conclusion by showing that although the rules' relative performance improves, there is no evidence that the rules significantly outperform the buy-and-hold ...
Working Papers , Paper 1999-015

Journal Article
Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities
Neely, Christopher J.; Mizrach, Bruce (2020-04-25)
All the announced MBS purchases are designed to provide liquidity and facilitate trading of agency MBS during a period of disruption associated with the coronavirus.
Economic Synopses , Issue 19

Journal Article
An E.U. withholding tax?
Neely, Christopher J. (1999-11)
International Economic Trends , Issue Nov

Journal Article
An analysis of recent studies of the effect of foreign exchange intervention
Neely, Christopher J. (2005-11)
Two recent strands of research have contributed to our understanding of the effects of foreign exchange intervention: (i) the use of high-frequency data and (ii) the use of event studies to evaluate the effects of intervention. This article surveys recent empirical studies of the effect of foreign exchange intervention and analyzes the implicit assumptions and limitations of such work. After explicitly detailing such drawbacks, the paper suggests ways to better investigate the effects of intervention.
Review , Volume 87 , Issue Nov

Journal Article
Would it help to eliminate interest on reserves?
Neely, Christopher J. (2013)
Although we can?t be certain of the size of the effect, the ECB?s recent experience suggests that eliminating interest paid on reserves held with the Federal Reserve would not substantially increase bank lending and money growth.
Economic Synopses

What Is the Probability of a Recession? The Message from Yield Spreads
Neely, Christopher J. (2023-09-07)
Statistical models using yield spreads can provide estimated odds of a future contraction. How do the odds change when using real vs. nominal interest rates?
On the Economy

Journal Article
A foreign exchange intervention in an era of restraint
Neely, Christopher J. (2011-09)
The Japanese yen appreciated strongly and rapidly against other major currencies in the wake of the massive March 11, 2011, Tohoku earthquake. High volatility and disorder in financial markets prompted the G-7 authorities to jointly intervene to weaken the yen. This episode resembled the two most recent G-7 coordinated interventions: the June 1998 effort to strengthen the yen and the September 2000 effort to strengthen the euro. Exchange rates reacted strongly and quickly to these three interventions, moving 3 to 4 percent in the desired direction within 30 minutes of the announcement and ...
Review , Volume 93 , Issue Sep , Pages 303-324

Working Paper
International channels of the Fed’s unconventional monetary policy
Bauer, Michael D.; Neely, Christopher J. (2012)
Previous research has established that the Federal Reserve large scale asset purchases (LSAPs) significantly influenced international bond yields. This paper analyzes the channels through which these effects occurred. We use dynamic term structure models to decompose international yield changes into changes in term premia and expected short rates. The conclusions for most countries are model dependent. Models that impose a unit root tend to imply large signaling effects for Australia, Canada, Germany and the United States. Models that do not restrict persistence imply negligible signaling ...
Working Papers , Paper 2012-028

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