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Journal Article
Chinese Foreign Exchange Reserves and the U.S. Economy
Neely, Christopher J. (2016)
China?s very substantial foreign exchange reserves have declined precipitously and the Chinese policy corrections may impact the U.S. economy.
Economic Synopses , Issue 9 , Pages 1-2

Working Paper
Supply and demand shifts of shorts before Fed announcements during QE1–QE3
Planchon, Jade; McInish, Thomas H.; Neely, Christopher J. (2020-12-17)
Cohen, Diether, and Malloy (Journal of Finance, 2007), find that shifts in the demand curve predict negative stock returns. We use their approach to examine changes in supply and demand at the time of FOMC announcements. We show that shifts in the demand for borrowing Treasuries and agencies predict quantitative easing. A reduction in the quantity demanded at all points along the demand curve predicts expansionary quantitative easing announcements.
Working Papers , Paper 2020-051

Working Paper
Monetary Policy and Economic Performance since the Financial Crisis
Caldara, Dario; Gagnon, Etienne; Martinez-Garcia, Enrique; Neely, Christopher J. (2020-08-27)
We review macroeconomic performance over the period since the Global Financial Crisis and the challenges in the pursuit of the Federal Reserve’s dual mandate. We characterize the use of forward guidance and balance sheet policies after the federal funds rate reached the effective lower bound. We also review the evidence on the efficacy of these tools and consider whether policymakers might have used them more forcefully. Finally, we examine the post-crisis experience of other major central banks with these policy tools.
Finance and Economics Discussion Series , Paper 2020-065

Working Paper
Is inflation an international phenomenon?
Rapach, David E.; Neely, Christopher J. (2008)
Common shocks, similarities in central bank reaction functions, and international trade potentially produce common components in international inflation rates. This paper characterizes such links in international inflation rates with a dynamic latent factor model that decomposes inflation for 65 countries into world, regional, and idiosyncratic components. The world component accounts for 34% of inflation variability on average across countries, although the importance of this global factor differs substantially across countries. Variables that reflect policy as well as economic and financial ...
Working Papers , Paper 2008-025

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

Journal Article
Unwinding the current account deficit
Neely, Christopher J. (2005-05)
International Economic Trends , Issue May

Journal Article
The Asset Holdings of the Bank of Japan
Neely, Christopher J. (2019-07-15)
The Bank of Japan purchases large amounts of Japanese government bonds, enabling it to control long-term bond yields.
Economic Synopses , Issue 17

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

Working Paper
Target zones and conditional volatility: the role of realignments
Neely, Christopher J. (1998)
This paper examines the relationship between the conditional volatility of target zone exchange rates and realignments of the system. To investigate this question, modified jump diffusion Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and absolute value GARCH models are fit to six exchange rates of the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS). Time-varying jump probability and absolute value GARCH models are effective in improving the fit of jump-diffusion models on target zone data. There is some evidence that conditional volatility is higher ...
Working Papers , Paper 1994-008

Working Paper
Monetary Policy and Economic Performance Since the Financial Crisis
Caldara, Dario; Gagnon, Etienne; Martinez-Garcia, Enrique; Neely, Christopher J. (2020-08-28)
We review the macroeconomic performance over the period since the Global Financial Crisis and the challenges in the pursuit of the Federal Reserve’s dual mandate. We characterize the use of forward guidance and balance sheet policies after the federal funds rate reached the effective lower bound. We also review the evidence on the efficacy of these tools and consider whether policymakers might have used them more forcefully. Finally, we examine the post-crisis experience of other major central banks with these policy tools.
Globalization Institute Working Papers , Paper 399

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