Search Results

Showing results 1 to 10 of approximately 143.

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Journal Article
The practice of central bank intervention: looking under the hood
Neely, Christopher J. (2001-05)
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
An introduction to capital controls
Neely, Christopher J. (1999-11)
The relatively recent resumption of large international capital flows and the Asian crisis have revived interest in capital controls - taxes or restrictions on international transactions in assets like stocks or bonds. For many years economists considered capital controls to be obviously detrimental to the allocation of productive resources; they have been gradually phased out in the developed world during the last 50 years. This Review article introduces readers to the debate on capital controls, explains the purposes and costs of various types of controls and why some advocate their ...
Review , Volume 81 , Issue Nov , Pages 13-30

Working Paper
The dynamic interaction of order flows and the CAD/USD exchange rate
Gradojevic, Nikola; Neely, Christopher J. (2008)
We explore the relationship between disaggregated order flow, the Canada/U.S. dollar (CAD/USD) market and U.S. macroeconomic announcements. Three types of CAD order flow and the CAD/USD are cointegrated. Financial order flow appears to contemporaneously drive the CAD/USD while commercial order flow seems to contemporaneously respond to exchange rate movements. Past order flow and lagged exchange rates strongly explain most types of order flow. Despite this predictability and the contemporaneous correlation of order flow with exchange rate returns, exchange rate returns are not predictable by ...
Working Papers , Paper 2008-006

Journal Article
Federal Reserve System International Facilities
Neely, Christopher J.; Mizrach, Bruce (2020-05-08)
Fed lending to foreign central banks for them to provide emergency lending aids the U.S. economy by stabilizing international financial markets.
Economic Synopses , Issue 29

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

Journal Article
Are changes in foreign exchange reserves well correlated with official intervention?
Neely, Christopher J. (2000-09)
Review , Volume 82 , Issue Sep , Pages 17-32

Journal Article
Markets worry more about sovereign debt
Neely, Christopher J. (2009-02)
International Economic Trends , Issue Feb

Journal Article
How well do monetary fundamentals forecast exchange rates?
Sarno, Lucio; Neely, Christopher J. (2002-09)
For many years after the seminal work of Meese and Rogoff (1983a), conventional wisdom held that exchange rates could not be forecast from monetary fundamentals. Monetary models of exchange rate determination were generally unable to beat even a nave no-change model in out-of-sample forecasting. More recently, the use of sophisticated econometric techniques, panel data, and long spans of data has convinced some researchers (Mark and Sul, 2001) that monetary models can forecast a small, but statistically significant part of the variation in exchange rates. Others remain skeptical, however ...
Review , Volume 84 , Issue Sep , Pages 51-74

Journal Article
Using implied volatility to measure uncertainty about interest rates
Neely, Christopher J. (2005-05)
Option prices can be used to infer the level of uncertainty about future asset prices. The first two parts of this article explain such measures (implied volatility) and how they can differ from the market's true expectation of uncertainty. The third then estimates the implied volatility of three-month eurodollar interest rates from 1985 to 2001 and evaluates its ability to predict realized volatility. Implied volatility shows that uncertainty about short-term interest rates has been falling for almost 20 years, as the levels of interest rates and inflation have fallen. And changes in implied ...
Review , Volume 87 , Issue May , Pages 407-425

Working Paper
Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
Neely, Christopher J.; Guo, Hui (2006)
We revisit the risk-return relation using the component GARCH model and international daily MSCI stock market data. In contrast with the previous evidence obtained from weekly and monthly data, daily data show that the relation is positive in almost all markets and often statistically significant. Likelihood ratio tests reject the standard GARCH model in favor of the component GARCH model, which strengthens the evidence for a positive risk-return tradeoff. Consistent with U.S. evidence, the long-run component of volatility is a more important determinant of the conditional equity premium than ...
Working Papers , Paper 2006-006

show more (33)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords