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Working Paper
Can risk explain the profitability of technical trading in currency markets?
Famiglietti, Matthew; Ivanova, Yuliya; Neely, Christopher J.; Weller, Paul A. (2020-06-12)
Academic studies show that technical trading rules would have earned substantial excess returns over long periods in foreign exchange markets. However, the approach to risk adjustment has typically been rather cursory. We examine the ability of a wide range of models: CAPM, quadratic CAPM, downside risk CAPM, Carhart’s 4-factor model, the C-CAPM, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) carry-trade factor model, and models including macroeconomic factors, and foreign exchange volatility, skewness and liquidity, to explain these technical trading returns. No model ...
Working Papers , Paper 2014-033

Working Paper
Predictability in international asset returns: a reexamination
Weller, Paul A.; Neely, Christopher J. (1999)
This paper argues that inferring long-horizon asset-return predictability from the properties of vector autoregressive (VAR) models on relatively short spans of data is potentially unreliable. We illustrate the problems that can arise by re-examining the findings of Bekaert and Hodrick (1992), who detected evidence of in-sample predictability in international equity and foreign exchange markets using VAR methodology for a variety of countries over the period 1981-1989. The VAR predictions are significantly biased in most out-of-sample forecasts and are conclusively outperformed by a simple ...
Working Papers , Paper 1997-010

Journal Article
Why Price Controls Should Stay in the History Books
Neely, Christopher J. (2022-03-24)
Prices allocate scarce resources. Price controls distort those signals, leading to the inefficient allocation of goods and services.
The Regional Economist

Working Paper
Intraday technical trading in the foreign exchange market
Weller, Paul A.; Neely, Christopher J. (2001)
This paper examines the out-of-sample performance of intraday technical trading strategies selected using two methodologies, a genetic program and an optimized linear forecasting model. When realistic transaction costs and trading hours are taken into account, we find no evidence of excess returns to the trading rules derived with either methodology. Thus, our results are consistent with market efficiency. We do, however, find that the trading rules discover some remarkably stable patterns in the data.
Working Papers , Paper 1999-016

Journal Article
Financial Engineering Versus Cancer
Neely, Christopher J. (2015)
If financial engineering can distribute the pecuniary risk of medical research, then it can play a role in curing cancer.
Economic Synopses , Issue 18

What Happens to Expected Stock Volatility around Election Day?
Neely, Christopher J. (2024-12-02)
Presidential elections create uncertainty about future economic policy that translates into volatility in asset prices. How has the VIX performed around U.S. elections since 1988?
On the Economy

Journal Article
The Rise and Fall of M2
Neely, Christopher J. (2023-05-23)
Inflation followed M2 and monetary base growth up over the past three years, and now M2 and base growth are negative.
Economic Synopses

Working Paper
The microstructure of the U.S. treasury market
Neely, Christopher J.; Mizrach, Bruce (2007)
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. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury issues; stages of the Treasury market; the major players, including the role of the Federal Reserve Bank of New York and the interdealer brokers; the structure of both the spot and futures markets; the ...
Working Papers , Paper 2007-052

Journal Article
The mysterious Greek yield curve
Neely, Christopher J. (2012)
The hump in the Greek yield curve exists because the calculated yields assume that the bonds will pay off at their full value but market prices incorporate expectations that the payoff will be much lower.>
Economic Synopses

Journal Article
Deflation and real economic activity under the gold standard
Wood, Geoffrey E.; Neely, Christopher J. (1995-09)
Review , Issue Sep , Pages 27-37

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