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Author:Neely, Christopher J. 

Journal Article
The practice of central bank intervention: looking under the hood

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

International Economic Trends , Issue Nov

Working Paper
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps

Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to better approximate the true common jumps in related stock prices.
Working Papers , Paper 2024-006

Working Paper
Risk-adjusted, ex ante, optimal technical trading rules in equity markets

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

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?

International Economic Trends , Issue Nov

Journal Article
An analysis of recent studies of the effect of foreign exchange intervention

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?

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

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

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

An extensive empirical literature documents a generally negative correlation, named the ?leverage effect,? between asset returns and changes of volatility. It is more challenging to establish such a return-volatility relationship for jumps in high-frequency data. We propose new nonparametric methods to assess and test for a discontinuous leverage effect ? i.e. a relation between contemporaneous jumps in prices and volatility ? in high-frequency data with market microstructure noise. We present local tests and estimators for price jumps and volatility jumps. Five years of transaction data from ...
Working Papers , Paper 2017-12

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