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Journal Article
Miscommunication shook up mortgage, bond markets
Neely, Christopher J. (2004-04)
What the Fed said last year it could do if deflation surfaced was one thing. What the markets heard was another. The result was mania in the bond and mortgage markets.
The Regional Economist , Issue Apr , Pages 4-9

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
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
Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
Guo, Hui; Neely, Christopher J. (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

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

Journal Article
Modeling Professional Recession Forecasts
Neely, Christopher J. (2023-10-10)
Professional forecasters use a wealth of information, including their own experience, to predict economic variables. But can a few publicly available series replicate their recession forecasts?
Economic Synopses , Issue 21 , Pages 3 pages

Journal Article
The FDIC Studies “Options for Deposit Insurance Reform”
Neely, Christopher J. (2023-06-08)
The FDIC favors targeted coverage of large accounts used for business payments when considering deposit insurance reform.
Economic Synopses , Issue 14 , Pages 2 pages

Working Paper
Foreign exchange volatility is priced in equities
Higbee, Jason; Guo, Hui; Neely, Christopher J. (2006)
This paper finds that standard asset pricing models fail to explain the significantly positive delta hedging errors from writing options on foreign exchange futures. Foreign exchange volatility does influence stock returns, however. The volatility of the JPY/USD exchange rate predicts the time series of stock returns and is priced in the cross-section of stock returns. Foreign exchange volatility risk might be priced because of its relation to foreign exchange level risk. ; Earlier title: Is foreign exchange delta hedging risk priced?
Working Papers , Paper 2004-029

Working Paper
The response of multinationals’ foreign exchange rate exposure to macroeconomic news
Neely, Christopher J.; Wauters, Marjan; Boudt, Kris; Sercu, Piet (2017-07-31)
We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms? foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a transitory and a persistent component. For example, a positive domestic demand surprise, as reflected in higher-than-expected nonfarm payroll, increases the value of the low-exposure domestic activities and results in a persistent decrease in foreign exchange exposure.
Working Papers , Paper 2017-20

Journal Article
The Economic Effects of a Potential Armed Conflict Over Taiwan
Neely, Christopher J. (2025-02-26)
This article examines the likely economic effects of a Chinese invasion or blockade of Taiwan for the U.S. and the world by considering historical precedents. Such a conflict would likely produce a flight-to-safety in the asset market, huge disruptions in international trade, and banking problems, and it would greatly exacerbate existing fiscal pressures. The authorities of the People’s Republic of China would probably try to sell U.S. and other western securities prior to a conflict to avoid sanctions on those assets. Such sales would be temporarily disruptive but would likely have only ...
Review , Volume 107 , Issue 3 , Pages 1-23

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