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Author:Neely, Christopher J. 

Journal Article
How Much Do Oil Prices Affect Inflation?

It is puzzling why large monthly or quarterly oil price changes predict very small changes in the CPI but daily oil prices predict large changes in breakeven inflation.
Economic Synopses , Issue 10

Journal Article
The evolution of Federal Reserve policy and the impact of monetary policy surprises on asset prices

This article describes the joint evolution of Federal Reserve policy and the study of the impact of monetary policy surprises on high-frequency asset prices. Since the 1970s, the Federal Open Market Committee has clarified its objectives and modified its procedures to become more transparent and predictable. Researchers have had to account for these changes to procedures and perceived objectives in developing methods to study the effects of monetary surprises. Unexpected changes to the Committee?s federal funds target and postmeeting statements strongly and consistently affect asset prices, ...
Review , Volume 96 , Issue 1 , Pages 73-109

Working Paper
How Persistent Are Unconventional Monetary Policy Effects?

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
A reconsideration of the properties of the generalized method moments in asset pricing models

This paper tests the small sample properties of Hansen's (1982) Generalized Method of Moments (GMM) on simulated data from a consumption based asset pricing model. In finite samples the estimates of the coefficient of relative risk aversion and the discount parameter are strongly biased due to the unusual shape of the GMM criterion function for the model and the GMM test statistics perform poorly. In fact, the finite sample properties of the test statistics suggest the rejection results achieved by applying GMM to representative agent asset pricing models with real data (Hansen and Singleton ...
Working Papers , Paper 1994-010

Journal Article
The Stock Market's Wild Ride

Quick action by the Fed to smooth the functioning of financial markets appears to have encouraged investors and stopped the historic downturn in the stock market.
Economic Synopses , Issue 15

Journal Article
Why do gasoline prices react to things that have not happened?

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

Working Paper
Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM

Is the risk aversion parameter in the simple intertemporal consumption CAPM ?small? as in Hansen and Singleton (1982,1983), or is it that its reciprocal, the intertemporal elasticity of substitution, is small, as in Hall (1988)? This paper attributes the disparate estimates of this fundamental parameter not only to failures of instrument admissibility as do Hall (1988) and Hansen-Singleton (1996), but rather to failures of instrument relevance. That is, the disparate estimates reflect near nonidentification due to the unpredictability of asset returns and consumption growth. One natural ...
Working Papers , Paper 1995-002

Inflation and the Real Value of Debt: A Double-edged Sword

The recent bout of inflation will immediately reduce the real value of existing debts, but it will also tend to raise expected inflation. This could raise future borrowing costs.
On the Economy

Journal Article
September 11, 2001

Monetary Trends , Issue Nov

Journal Article
The Federal Reserve responds to crises: September 11th was not the first

A primary purpose of the Federal Reserve Act of 1913 was to prevent banking panics by establishing the Federal Reserve System to function as a lender of last resort. Other types of financial crisis require a similar response, however, and the Federal Reserve has repeatedly used its capacity to generate liquidity to insulate the economy from crises in financial markets. The Fed?s response to the terrorist attacks of September 11, 2001, is the most recent example of this. This paper reviews the Fed?s responses to crises and potential crises in financial markets: the stock market crash of 1987, ...
Review , Volume 86 , Issue Mar , Pages 27-42


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