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

Journal Article
Real interest rate persistence: evidence and implications
Rapach, David E.; Neely, Christopher J. (2008-11)
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. The authors 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 when the real interest rate is substantially above or below the sample mean. The finding of persistence in real interest rates is ...
Review , Volume 90 , Issue Nov , Pages 609-642

Journal Article
\\"How central should the central bank be?\\" a comment
Neely, Christopher J. (2010)
The Reserve Bank presidents are fully accountable to our democratic institutions and the decentralized structure promotes healthy debate on monetary policy and regulatory issues.
Economic Synopses

Working Paper
The adaptive markets hypothesis: evidence from the foreign exchange market
Neely, Christopher J.; Ulrich, Joshua M.; Weller, Paul A. (2007)
We analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously studied rules. The excess returns of the 1970s and 1980s were genuine and not just the result of data mining. But these profit opportunities had disappeared by the early 1990s for filter and moving average rules. Returns to less-studied rules also have declined but have probably not completely disappeared. High volatility prevents precise estimation of mean returns. These regularities are consistent with the Adaptive Markets ...
Working Papers , Paper 2006-046

Working Paper
Monetary Policy and Economic Performance since the Financial Crisis
Martinez-Garcia, Enrique; Gagnon, Etienne; Caldara, Dario; Neely, Christopher J. (2020-08)
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.
Working Papers , Paper 2020-026

Journal Article
Asian nations driving world oil prices
Hauke, Justin P.; Neely, Christopher J. (2007-04)
The rapid growth in China and India has led to an increase in demand for oil, which, in turn, has driven up prices. After adjusting for inflation, a barrel of oil today costs about what it did during the 1979 oil shock.
The Regional Economist , Issue Apr , Pages 12-13

Journal Article
Negative U.S. Interest Rates?
Neely, Christopher J. (2020-02-28)
Negative rates have many of the same effects as cuts in positive rates but put pressure on banks’ financial conditions, which has restrained their use.
Economic Synopses , Issue 4

Working Paper
Unconventional monetary policy and the behavior of shorts
Planchon, Jade; McInish, Thomas H.; Neely, Christopher J. (2017-10-27)
In November 2008, the Federal Reserve announced the first of a series of unconventional monetary policies, which would include asset purchases and forward guidance, to reduce long-term interest rates. We investigate the behavior of shorts, considered sophisticated investors, before and after a set of these unconventional monetary policy announcements that spot bond markets did not fully anticipate. Short interest in agency securities systematically predicts bond price changes and other asset returns on the days of monetary announcements, particularly when growth or monetary news is released, ...
Working Papers , Paper 2017-31

Journal Article
Supporting Small Borrowers: ABS Markets and the TALF
Neely, Christopher J.; Mizrach, Bruce (2020-04-16)
On March 23, the Federal Reserve established the Term Asset-Backed Securities Loan Facility (TALF) to support consumer and small business lending.
Economic Synopses , Issue 20

Working Paper
Central bank authorities’ beliefs about foreign exchange intervention
Neely, Christopher J. (2007)
This paper presents the results of a survey of monetary authorities with respect to foreign exchange intervention. The survey offers evidence on new issues that would otherwise be difficult to investigate, such as response times, non-foreign exchange factors in intervention and profitability. The survey also reveals new evidence on previously studied issues, such as channels of effectiveness. Respondents disagreed with predominant views on intervention and volatility and common arguments against intervention. Exchange rate regimes explain central bank beliefs about important aspects of ...
Working Papers , Paper 2006-045

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