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Journal Article
The Russian Invasion, Oil and Gasoline Prices, and Recession
Neely, Christopher J. (2022-04-27)
The Russian invasion of Ukraine has substantially increased commodity prices, increasing risk to global economic activity.
Economic Synopses , Issue 10 , Pages 1-2

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

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
How expensive are stocks?
Neely, Christopher J. (2002-06)
Monetary Trends , Issue Jun

Journal Article
What are the odds? option-based forecasts of FOMC target changes
Lakdawala, Aeimit K.; Neely, Christopher J.; Emmons, William R. (2006-11)
This article uses probability forecasts derived from options to assess evolving market uncertainty about Federal Reserve monetary policy actions in a variety of recent events and episodes. Options on federal funds futures contracts reveal a complete probability density function over possible Federal Reserve target rates, thus augmenting the expectations provided by federal funds futures contracts. Option-based forecasts are most useful when more than two federal funds target outcomes are plausible at an upcoming policy meeting.
Review , Volume 88 , Issue Nov , Pages 543-562

Working Paper
Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
Winkelmann, Lars; Neely, Christopher J.; Bibinger, Markus (2017-04-26)
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

Journal Article
Political pressure on the bank of Japan: interference or accountability?
Neely, Christopher J. (2013)
Markets have come to believe that the Bank of Japan can and will raise Japan?s inflation rate to meet its new target.
Economic Synopses

Journal Article
International interest rate linkages
Neely, Christopher J. (2001-08)
International Economic Trends , Issue Aug

Working Paper
An Analysis of the Literature on International Unconventional Monetary Policy
Bhattarai, Saroj; Neely, Christopher J. (2016-11-28)
This paper critically evaluates the literature on international unconventional monetary policies. We begin by reviewing the theories of how such heterogeneous policies could work. Empirically, event studies provide compelling evidence that international asset purchase announcements have strongly influenced international bond yields, exchange rates, and equity prices in the desired manner and curtailed market perceptions of extreme events. Calibrated modeling and vector autoregressive (VAR) exercises imply that these policies significantly improved macroeconomic outcomes, raising output and ...
Working Papers , Paper 2016-21

Working Paper
Real interest rate persistence: evidence and implications
Rapach, David E.; Neely, Christopher J. (2008)
The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. We selectively survey the empirical literature that examines the time-series properties of real interest rates. A key stylized fact is that postwar real interest rates exhibit substantial persistence, shown by extended periods of time where the real interest rate is substantially above or below the sample mean. The finding of persistence in real interest rates is ...
Working Papers , Paper 2008-018

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