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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

Journal Article
The transition to electronic communications networks in the secondary treasury market
Neely, Christopher J.; Mizrach, Bruce (2006-11)
This article reviews the history of the recent shift to electronic trading in equity, foreign exchange, and fixed-income markets. The authors analyze a new data set: the eSpeed electronic Treasury network. They contrast the market microstructure of the eSpeed trading platform with the traditional voice-assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads, and a lower estimated trade impact than the voice market (GovPX). ; Appeared earlier as Working Paper 2006-012
Review , Volume 88 , Issue Nov , Pages 527-542

Journal Article
Comparing international bond yields
Neely, Christopher J. (2014)
Spanish and Italian government bond yields are not directly comparable to those of U.S. Treasuries because the bonds are paid in different currencies.
Economic Synopses , Issue 19

Journal Article
Miscommunication shook up mortgage, bond markets
Neely, Christopher J. (2004-04)
What the Fed said last year it could do if deflation surfaced was one thing. What the markets heard was another. The result was mania in the bond and mortgage markets.
The Regional Economist , Issue Apr , Pages 4-9

Reviewing the Impact of Energy Sanctions on Russia
Neely, Christopher J.; Dunn, Jason (2023-02-16)
So far, Western sanctions on Russian oil and gas exports appear to be working. But in the longer term, Russia may find ways to evade the price cap imposed on its oil sales.
On the Economy

Journal Article
Why do gasoline prices react to things that have not happened?
Neely, Christopher J.; Emmons, William R. (2007-07)
Some people complain they are being gouged at the pump, but raising prices now in anticipation of what might happen helps ensure an adequate gas supply.
The Regional Economist , Issue Jul , Pages 10-11

Journal Article
Overshooting the Inflation Target
Neely, Christopher J. (2021-10-07)
Although transitory factors have largely driven the recent rise in inflation, expansionary policy to relieve unusual economic conditions also played a role.
Economic Synopses , Issue 24 , Pages 1-3

Russia’s Invasion of Ukraine and Its Impact on Stock Prices
Neely, Christopher J.; Jordan-Wood, Samuel (2022-06-30)
Since the two countries are global suppliers of raw materials, Russia’s invasion of Ukraine triggered a commodity price shock. Which stocks were most sensitive to it?
On the Economy

Working Paper
How Persistent Are Unconventional Monetary Policy Effects?
Neely, Christopher J. (2020-11-08)
This paper argues that one cannot precisely estimate the persistence of unconventional monetary policy (UMP) effects, especially with short samples and few observations. To make this point, we illustrate that the most influential model on the topic exhibits structural instability, and sensitivity to specification and outliers that render the conclusions unreliable. Restricted models that respect more plausible asset return predictability are more stable and imply that UMP shocks were persistent. Estimates of the dynamic effects of shocks should respect the limited predictability in asset ...
Working Papers , Paper 2014-04

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

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