Christopher Neely : Citation Profile


Are you Christopher Neely?

Federal Reserve Bank of St. Louis

27

H index

42

i10 index

2462

Citations

RESEARCH PRODUCTION:

102

Articles

63

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1994 - 2020). See details.
   Cites by year: 94
   Journals where Christopher Neely has often published
   Relations with other researchers
   Recent citing documents: 355.    Total self citations: 74 (2.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pne3
   Updated: 2020-08-01    RAS profile: 2020-06-05    
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Relations with other researchers


Works with:

Mizrach, Bruce (5)

Laurent, Sébastien (2)

Erdemlioglu, Deniz (2)

Boudt, Kris (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christopher Neely.

Is cited by:

Menkhoff, Lukas (71)

Taylor, Mark (56)

Fatum, Rasmus (35)

Humpage, Owen (34)

Beine, Michel (33)

Sarno, Lucio (32)

Reitz, Stefan (31)

Schrimpf, Andreas (26)

Dungey, Mardi (24)

Schmeling, Maik (23)

GUPTA, RANGAN (23)

Cites to:

Bollerslev, Tim (64)

Andersen, Torben (33)

Laurent, Sébastien (30)

Diebold, Francis (29)

Fatum, Rasmus (25)

Taylor, Mark (23)

Engel, Charles (20)

Lyons, Richard (18)

Sarno, Lucio (18)

Hutchison, Michael (17)

Svensson, Lars (16)

Main data


Where Christopher Neely has published?


Journals with more than one article published# docs
Economic Synopses26
Review24
International Economic Trends9
Journal of International Money and Finance7
Journal of Banking & Finance5
Monetary Trends5
The Regional Economist4
International Journal of Finance & Economics3
Journal of Financial and Quantitative Analysis3
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis54

Recent works citing Christopher Neely (2020 and 2019)


YearTitle of citing document
2019MACROECONOMIC UNCERTAINTY AND THE COMOVEMENT IN BUYING VERSUS RENTING IN THE USA. (2019). GUPTA, RANGAN ; Aye, Goodness C. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:3:p:93-121.

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2019Confidence in future monetary policy as a way to overcome the liquidity trap. (2019). Pekarski, Sergey ; Merzlyakov, Sergey ; Kuznetsova, Olga. In: Russian Journal of Economics. RePEc:arh:jrujec:v:5:y:2019:i:2:p:117-135.

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2018Do Predictive Power of Fibonacci Retracements Help the Investor to Predict Future? A Study of Pakistan Stock Exchange. (2018). Shaker, Rana Zafarullah ; Zulfiqar, Nabeeha ; Asad, Muzaffar. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:159-164.

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2019Monetary Policy: Is the Dual Mandate of the Fed Maximizing the Social Welfare?. (2019). Kania, J ; Kallianiotis, Ioannis N. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2019:p:112-142.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1707.05552.

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2019A Mathematical Analysis of Technical Analysis. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1710.09476.

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2018Thresholded ConvNet Ensembles: Neural Networks for Technical Forecasting. (2018). Roberts, Stephen J ; Ghoshal, Sid . In: Papers. RePEc:arx:papers:1807.03192.

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2019Top performing stocks recommendation strategy for portfolio. (2019). Chatterjee, Niladri ; Gupta, Kartikay. In: Papers. RePEc:arx:papers:1901.11013.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Nonlinear price dynamics of S&P 100 stocks. (2019). Desantis, Mark ; Caginalp, Gunduz. In: Papers. RePEc:arx:papers:1907.04422.

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2019A Rational Finance Explanation of the Stock Predictability Puzzle. (2019). Fabozzi, Frank J ; Rachev, Svetlozar T ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1911.02194.

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2019Monetary Policy and Wealth Inequalities in Great Britain: Assessing the role of unconventional policies for a decade of household data. (2019). Fasianos, Apostolos ; Evgenidis, Anastasios. In: Papers. RePEc:arx:papers:1912.09702.

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2020Decision-Making, Sub-Additive Recursive Matching Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Preferences. (2020). Nwogugu, Michael C. In: Papers. RePEc:arx:papers:2005.01708.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020Deeply Equal-Weighted Subset Portfolios. (2020). Il, Sang. In: Papers. RePEc:arx:papers:2006.14402.

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2019Spillover Effects from the ECBs Unconventional Monetary Policies: The Case of Denmark, Norway and Sweden. (2019). Korus, Arthur . In: Athens Journal of Business & Economics. RePEc:ate:journl:ajbev5i1-3.

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2018Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds Alphas?. (2018). Guidolin, Massimo ; Pedio, Manuela ; Berglund, Alexander. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1884.

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2018Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data. (2018). Wohlfarth, Paul. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1803.

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2018Could a Higher Inflation Target Enhance Macroeconomic Stability?. (2018). Mendes, Rhys ; Lepetyuk, Vadym ; Labelle, Nicholas ; Dorich, Jose. In: Staff Working Papers. RePEc:bca:bocawp:18-17.

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2018Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing. (2018). Yang, Jing ; Witmer, Jonathan ; Goldstein, Itay. In: Staff Working Papers. RePEc:bca:bocawp:18-33.

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2018Monetary Policy Uncertainty: A Tale of Two Tails. (2018). Sekhposyan, Tatevik ; Dahlhaus, Tatjana. In: Staff Working Papers. RePEc:bca:bocawp:18-50.

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2019The Distributional Effects of Conventional Monetary Policy and Quantitative Easing: Evidence from an Estimated DSGE Model. (2019). Vogel, Lukas ; Priftis, Romanos ; Hohberger, Stefan. In: Staff Working Papers. RePEc:bca:bocawp:19-6.

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2018Banks holdings of and trading in government bonds. (2018). Manna, Michele ; Nobili, Stefano. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1166_18.

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2019Do the ECB’s monetary policies benefit emerging market economies? A GVAR analysis on the crisis and post-crisis period. (2019). Colabella, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1207_19.

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2019Effectiveness of FX Intervention and the Flimsiness of Exchange rate Expectations. (2019). Villamizar-Villegas, mauricio ; Vargas-Herrera, Hernando. In: Borradores de Economia. RePEc:bdr:borrec:1070.

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2020Forward Guidance and Household Expectations. (2020). Weber, Michael ; Gorodnichenko, Yuriy ; Coibion, Olivier ; Georgarakos, Dimitris. In: Working Papers. RePEc:bfi:wpaper:2020-07.

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2020Unconventional Monetary Policies: A Stock-Taking Exercise. (2020). Sahuc, Jean-Guillaume ; Pfister, Christian. In: Working papers. RePEc:bfr:banfra:761.

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2018The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates. (2018). Rossi, Barbara ; Inoue, Atsushi. In: Working Papers. RePEc:bge:wpaper:1078.

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2018Monetary Policy at the Effective Lower Bound: Less Potent? More International? More Sticky?. (2018). Forbes, Kristin. In: Brookings Papers on Economic Activity. RePEc:bin:bpeajo:v:49:y:2018:i:2018-02:p:521-541.

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2018Measuring the importance of global factors in determining inflation in Israel. (2018). Baudot-Trajtenberg, Nadine ; Caspi, Itamar. In: BIS Papers chapters. RePEc:bis:bisbpc:100-12.

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2018Discussion of David Cook and Nikhil Patel’s paper. (2018). Wang, Jian. In: BIS Papers chapters. RePEc:bis:bisbpc:96-12.

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2018Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination. (2018). Agenor, Pierre-Richard ; Pereira, Luiz Awazu. In: BIS Papers. RePEc:bis:bisbps:97.

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2018Could a higher inflation target enhance macroeconomic stability?. (2018). Mendes, Rhys ; Lepetyuk, Vadym ; St-Pierre, Nicholas Labelle ; Dorich, Jose. In: BIS Working Papers. RePEc:bis:biswps:720.

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2018Euro area unconventional monetary policy and bank resilience. (2018). mamatzakis, emmanuel ; Avalos, Fernando. In: BIS Working Papers. RePEc:bis:biswps:754.

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2018Explaining Monetary Spillovers: The Matrix Reloaded. (2018). Schrimpf, Andreas ; Kearns, Jonathan ; Xia, Dora. In: BIS Working Papers. RePEc:bis:biswps:757.

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2018Non-monetary news in central bank communication. (2018). Schrimpf, Andreas ; Cieslak, Anna. In: BIS Working Papers. RePEc:bis:biswps:761.

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2019On the global Impact of risk-off shocks and policy-put frameworks. (2019). Kamber, Gunes ; Caballero, Ricardo. In: BIS Working Papers. RePEc:bis:biswps:772.

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2019Do sterilized foreign exchange interventions create money?. (2019). Ponomarenko, Alexey. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps40.

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2019The role of global relative price changes in international comovement of inflation. (2019). Zhivaykina, Aleksandra ; Kiselev, Aleksei. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps53.

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2018MONETARY POLICY SHOCKS, EXPECTATIONS, AND INFORMATION RIGIDITIES. (2018). Czudaj, Robert ; Beckmann, Joscha. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:4:p:2158-2176.

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2019QUANTITATIVE EASING AND THE UK STOCK MARKET: DOES THE BANK OF ENGLAND INFORMATION DISSEMINATION STRATEGY MATTER?. (2019). Chortareas, Georgios ; Noikokyris, Emmanouil ; Karanasos, Menelaos. In: Economic Inquiry. RePEc:bla:ecinqu:v:57:y:2019:i:1:p:569-583.

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2019Higher Moments and Exchange Rate Behavior. (2019). Sharma, Susan ; Khademalomoom, Siroos ; Narayan, Paresh Kumar. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:201-229.

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2017Timing the Market with a Combination of Moving Averages. (2017). Glabadanidis, Paskalis. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:353-394.

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2019Do Exchange Rate Shocks Have Asymmetric Effects on Reserve Accumulation? Evidence from Emerging Markets. (2019). Chen, Shiu-Sheng ; Lin, Tzuyu. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:121:y:2019:i:4:p:1561-1586.

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2018Unconventional monetary policy and the portfolio choice of international mutual funds. (2018). Cenedese, Gino ; Elard, Ilaf. In: Bank of England working papers. RePEc:boe:boeewp:0705.

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2018Monetary policy spillovers in the first age of financial globalisation: a narrative VAR approach 1884–1913. (2018). Green, Georgina. In: Bank of England working papers. RePEc:boe:boeewp:0718.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2018Risk perceptions and fundamental effects on sovereign spreads. (2018). Migiakis, Petros ; Georgoutsos, Dimitris. In: Working Papers. RePEc:bog:wpaper:250.

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2018Quantitative easing and sovereign bond yields: a global perspective. (2018). Migiakis, Petros ; Malliaropulos, Dimitrios. In: Working Papers. RePEc:bog:wpaper:253.

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2019Measuring Monetary Policy Surprises Using Text Mining: The Case of Korea. (2019). Park, Ki Young ; Kim, Soohyon ; Lee, Young Joon. In: Working Papers. RePEc:bok:wpaper:1911.

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2018The International Transmission of Monetary Policy. (2018). Hills, Robert ; Bussiere, Matthieu ; Goldberg, Linda ; Buch, Claudia M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7155.

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2019Monetary Policy Communications and their Effects on Household Inflation Expectations. (2019). Weber, Michael ; Gorodnichenko, Yuriy ; Coibion, Olivier. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7464.

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2019The Effective Rate of Interest on Target Balances. (2019). Sinn, Hans-Werner ; Mult, H C. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7878.

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2020Forward Guidance and Household Expectations. (2020). Weber, Michael ; Gorodnichenko, Yuriy ; Coibion, Olivier ; Georgarakos, Dimitris. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8118.

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2019Impacto de las decisiones de política monetaria de la FED en indicadores de la economía colombiana durante el periodo 2007-2015. (2019). Barrios, Alberto Parra. In: Revista Finanzas y Política Económica. RePEc:col:000443:017779.

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2019Global Dimensions of U.S. Monetary Policy. (2019). Obstfeld, Maurice. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13887.

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2019Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?. (2019). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14064.

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2019The Role of Global and Domestic Shocks for Inflation Dynamics: Evidence from Asia. (2019). Tillmann, Peter ; PeterTillmann, ; Finck, David. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_022.

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2017FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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2018Identification- and Singularity-Robust Inference for Moment Condition. (2018). Guggenberger, Patrik. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1978r.

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2019Identification- and Singularity-Robust Inference for Moment Condition. (2019). Guggenberger, Patrik. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1978r2.

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2020The Dynamic Impact of FX Interventions on Financial Markets. (2020). Rieth, Malte ; Menkhoff, Lukas ; Stohr, Tobias. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1854.

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2019Inflation in the euro area since the Global Financial Crisis. (2019). Samarina, Anna ; Galati, Gabriele ; Bonam, Dennis ; Stanga, Irina ; Hoeberichts, Marco ; Hindrayanto, Irma. In: DNB Occasional Studies. RePEc:dnb:dnbocs:1703.

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2018Quantitative easing and preferred habitat investors in the euro area bond market. (2018). Vermeulen, Robert ; Boermans, Martijn. In: DNB Working Papers. RePEc:dnb:dnbwpp:586.

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2018The impact of the ECB asset purchases on the European bond market structure: Granular evidence on ownership concentration. (2018). Boermans, Martijn ; Keshkov, Viacheslav. In: DNB Working Papers. RePEc:dnb:dnbwpp:590.

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2018Les interventions de crise de la FED et de la BCE diffèrent-elles ?. (2018). RIEU-FOUCAULT, Anne-Marie. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-31.

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2020Unconventional Monetary Policies: A Stock-Taking Exercise. (2020). Sahuc, Jean-Guillaume ; Pfister, Christian. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-3.

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2019Medium term treatment and side effects of quantitative easing: international evidence. (2019). Stracca, Livio ; Duca, Ioana A ; Beck, Roland. In: Working Paper Series. RePEc:ecb:ecbwps:20192229.

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2020International capital flows at the security level: evidence from the ECB’s Asset Purchase Programme. (2020). Fidora, Michael ; Bergant, Katharina ; Schmitz, Martin. In: Working Paper Series. RePEc:ecb:ecbwps:20202388.

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2018Non-Conventional Monetary Policy: The Case of Bolivia. (2018). Banegas Rivero, Roger ; del Rio, Sacnicte Valdez ; Nuez, Marco Alberto. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-8.

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2018Do European Central Bank Asset Purchase Programmes Matter for the Euro-area Stock Markets and Brent Crude Market?. (2018). Lin, Yih-Bey ; Lee, Nicholas ; Leung, Yu-Hin ; Chang, Fu-Min. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-17.

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2018Econometric Analysis of Effect of Oil Price Change, Trade Balance and Other Variables on Inflation. (2018). Ydyrys, Serikbay ; Temirbayeva, Guldana ; Mukhambetova, Lyazzat ; Munasipova, Malika. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-04-17.

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2018Effects of Retailing Selling Prices of Petrol and Diesel on Food Prices. (2018). Hussain, Nor Ermawati ; Chau, Diana Nabila ; Shaari, Mohd Shahidan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-04-4.

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2017An integrated approach to optimize moving average rules in the EUA futures market based on particle swarm optimization and genetic algorithms. (2017). An, Haizhong ; Jia, Xiaoliang ; Wang, Lijun ; Liu, Xiaojia. In: Applied Energy. RePEc:eee:appene:v:185:y:2017:i:p2:p:1778-1787.

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2020Exchange rate movements in emerging economies - Global vs regional factors in Asia. (2020). Chiappini, Raphaël ; Lahet, Delphine. In: China Economic Review. RePEc:eee:chieco:v:60:y:2020:i:c:s1043951x19301476.

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2019Incomplete credit markets and monetary policy. (2019). Suda, Jacek ; Singh, Aarti ; Bullard, James ; Azariadis, Costas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:83-101.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2018Inflation as a global phenomenon—Some implications for inflation modeling and forecasting. (2018). Martínez García, Enrique ; Kabukçuoğlu, Ayşe ; Martinez-Garcia, Enrique ; Kabukuolu, Aye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:46-73.

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2018Systemic risk in the US: Interconnectedness as a circuit breaker. (2018). Dungey, Mardi ; Veredas, David ; Luciani, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:305-315.

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2019Intraday momentum and stock return predictability: Evidence from China. (2019). Zhang, Yaojie ; Zhu, BO ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:319-329.

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2019Spillovers from Japans Unconventional Monetary Policy: A global VAR Approach. (2019). Ganelli, Giovanni ; Tawk, Nour . In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:147-163.

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2019Dynamics of monetary policy spillover: The role of exchange rate regimes. (2019). Dash, Pradyumna ; Rohit, Abhishek Kumar. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:276-288.

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2019Exchange rates and fundamentals: A bootstrap panel data analysis. (2019). Chen, Shyh-Wei ; Xie, Zixiong. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:209-224.

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2019Forecasting stock returns: Do less powerful predictors help?. (2019). Shi, Benshan ; Ma, Feng ; Zeng, Qing ; Zhang, Yaojie. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:32-39.

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2019Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test. (2019). Pan, Zhiyuan ; Bu, Ruijun ; Liu, LI ; Xu, Yuhua. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:124-135.

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2019Anticipating individual bank rescues. (2019). Poblacion, Javier ; Dubiel-Teleszynski, Tomasz ; Correia, Ricardo. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:345-360.

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2020Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65.

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2020More effective than we thought: Central bank independence and inflation in developing countries. (2020). Garriga, Ana Carolina ; Rodriguez, Cesar M. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:87-105.

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2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

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2018The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market. (2018). della Chang, Jui-Chuan . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:15-28.

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2019The role of leverage in quantitative easing decisions: Evidence from the UK. (2019). Philippas, Dionisis ; Tomuleasa, Iuliana ; Papadamou, Stephanos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:308-324.

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2019Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study. (2019). Wang, Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:235-251.

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2019ECB’s unconventional monetary policy and cross-financial-market correlation dynamics. (2019). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Drakonaki, Emmanouela. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304856.

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2019Firm characteristics and jump dynamics in stock prices around earnings announcements. (2019). Qi, John ; Zhou, Haigang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980.

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2020Joint dynamic modeling and option pricing in incomplete derivative-security market. (2020). Chen, Jun-Home ; Lian, Yu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081730325x.

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2020Testing the performance of technical analysis and sentiment-TAR trading rules in the Malaysian stock market. (2020). Chong, Lee-Lee ; Tey, Eng-Xin ; Lai, Ming-Ming ; Tan, Siow-Hooi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302250.

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2020“Global factors, international spillovers, and the term structure of interest rates: New evidence for Asian Countries”. (2020). Tronzano, Marco ; Guerello, Chiara. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300166.

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2020Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?. (2020). Fong, Tom ; Wu, Shui Tang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300932.

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2020Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280.

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More than 100 citations found, this list is not complete...

Works by Christopher Neely:


YearTitleTypeCited
2001Risk Aversion versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model. In: Journal of Business & Economic Statistics.
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article39
1997A BENEFIT‐COST ANALYSIS OF DISINFLATION In: Contemporary Economic Policy.
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2008Foreign Exchange Volatility Is Priced in Equities In: Financial Management.
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2006Foreign exchange volatility is priced in equities.(2006) In: Working Papers.
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2012CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY In: Pacific Economic Review.
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2011Capital flows and Japanese asset volatility.(2011) In: Working Papers.
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2011Jumps, cojumps and macro announcements In: CORE Discussion Papers RP.
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2007Jumps, cojumps and macro announcements.(2007) In: Working Papers.
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paper
2011Jumps, cojumps and macro announcements.(2011) In: Journal of Applied Econometrics.
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1995Endogenous Realignments and the Sustainability of a Target Zone In: CEPR Discussion Papers.
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1996Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach In: CEPR Discussion Papers.
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paper169
1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach.(1997) In: Journal of Financial and Quantitative Analysis.
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1997Is technical analysis in the foreign exchange market profitable? a genetic programming approach.(1997) In: Working Papers.
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2000Predictability in International Asset Returns: A Reexamination In: Journal of Financial and Quantitative Analysis.
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1999Predictability in international asset returns: a reexamination.(1999) In: Working Papers.
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2009The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market In: Journal of Financial and Quantitative Analysis.
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2007The adaptive markets hypothesis: evidence from the foreign exchange market.(2007) In: Working Papers.
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2008Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model In: Economics Letters.
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2006Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model.(2006) In: Working Papers.
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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book In: Journal of Econometrics.
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2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book.(2017) In: Working Papers.
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2017Systematic cojumps, market component portfolios and scheduled macroeconomic announcements In: Journal of Empirical Finance.
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2017Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements.(2017) In: Working Papers.
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1999Target zones and conditional volatility: The role of realignments In: Journal of Empirical Finance.
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article29
1998Target zones and conditional volatility: the role of realignments.(1998) In: Working Papers.
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2002The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits In: Journal of International Economics.
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2002The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits.(2002) In: Working Papers.
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2009Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter? In: Journal of International Financial Markets, Institutions and Money.
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2004Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?.(2004) In: Working Papers.
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2007Can Markov switching models predict excess foreign exchange returns? In: Journal of Banking & Finance.
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2006Can Markov switching models predict excess foreign exchange returns?.(2006) In: Working Papers.
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2008Information shares in the US Treasury market In: Journal of Banking & Finance.
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2007Information shares in the U.S. treasury market.(2007) In: Working Papers.
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2013Lessons from the evolution of foreign exchange trading strategies In: Journal of Banking & Finance.
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2011Lessons from the evolution of foreign exchange trading strategies.(2011) In: Working Papers.
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2015Unconventional monetary policy had large international effects In: Journal of Banking & Finance.
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article279
2010The large scale asset purchases had large international effects.(2010) In: Working Papers.
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2015Which continuous-time model is most appropriate for exchange rates? In: Journal of Banking & Finance.
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2013Which continuous-time model is most appropriate for exchange rates?.(2013) In: Working Papers.
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2015Which continuous-time model is most appropriate for exchange rates?.(2015) In: Post-Print.
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1999Technical trading rules in the European Monetary System In: Journal of International Money and Finance.
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1998Technical trading rules in the European Monetary System.(1998) In: Working Papers.
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2001Technical analysis and central bank intervention In: Journal of International Money and Finance.
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article38
2000Technical analysis and central bank intervention.(2000) In: Working Papers.
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2003Intraday technical trading in the foreign exchange market In: Journal of International Money and Finance.
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article55
2001Intraday technical trading in the foreign exchange market.(2001) In: Working Papers.
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2008Central bank authorities beliefs about foreign exchange intervention In: Journal of International Money and Finance.
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article60
2007Central bank authorities’ beliefs about foreign exchange intervention.(2007) In: Working Papers.
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2011International comovements in inflation rates and country characteristics In: Journal of International Money and Finance.
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2014International channels of the Feds unconventional monetary policy In: Journal of International Money and Finance.
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2012International channels of the Fed’s unconventional monetary policy.(2012) In: Working Paper Series.
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2012International channels of the Fed’s unconventional monetary policy.(2012) In: Working Papers.
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2019The response of multinationals’ foreign exchange rate exposure to macroeconomic news In: Journal of International Money and Finance.
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2019The response of multinationals’ foreign exchange rate exposure to macroeconomic news.(2019) In: Working Papers.
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2003Risk-adjusted, ex ante, optimal technical trading rules in equity markets In: International Review of Economics & Finance.
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2001Risk-adjusted, ex ante, optimal technical trading rules in equity markets.(2001) In: Working Papers.
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2013Econometric modeling of exchange rate volatility and jumps In: Chapters.
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2012Econometric modeling of exchange rate volatility and jumps.(2012) In: Working Papers.
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2014Lessons from the taper tantrum In: Economic Synopses.
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2014Comparing international bond yields In: Economic Synopses.
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2015How Much Do Oil Prices Affect Inflation? In: Economic Synopses.
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article8
2015Financial Engineering Versus Cancer In: Economic Synopses.
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2016Chinese Foreign Exchange Reserves and the U.S. Economy In: Economic Synopses.
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2017The People’s Bank of China Boosts the Yuan In: Economic Synopses.
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article1
2018Why Are U.S. Bond Yields So High? In: Economic Synopses.
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2019What to Expect from Quantitative Tightening In: Economic Synopses.
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2019The Asset Holdings of the Bank of Japan In: Economic Synopses.
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2020Negative U.S. Interest Rates? In: Economic Synopses.
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2020The Stock Markets Wild Ride In: Economic Synopses.
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2020Secondary Market Corporate Credit Facility Supports Main Street In: Economic Synopses.
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2020Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities In: Economic Synopses.
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2020Supporting Small Borrowers: ABS Markets and the TALF In: Economic Synopses.
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2020Central Bank Responses to COVID-19 In: Economic Synopses.
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2020Federal Reserve System International Facilities In: Economic Synopses.
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2010\\How central should the central bank be?\\ a comment In: Economic Synopses.
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2010The effects of large-scale asset purchases on TIPS inflation expectations In: Economic Synopses.
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2010U.S. historical experience with deflation In: Economic Synopses.
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2010Okuns law: output and unemployment In: Economic Synopses.
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2011The great foreign exchange intervention of 2011 In: Economic Synopses.
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2011The difference between currency manipulation and monetary policy In: Economic Synopses.
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2011Fiscal policy and expected inflation In: Economic Synopses.
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2012The mysterious Greek yield curve In: Economic Synopses.
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2013Political pressure on the bank of Japan: interference or accountability? In: Economic Synopses.
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article2
2013Would it help to eliminate interest on reserves? In: Economic Synopses.
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1999How big is Japans debt? In: International Economic Trends.
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1999An E.U. withholding tax? In: International Economic Trends.
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2001International interest rate linkages In: International Economic Trends.
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2002Options on economic data In: International Economic Trends.
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2003Global factors in budget deficits In: International Economic Trends.
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2005Unwinding the current account deficit In: International Economic Trends.
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2007One dollar = one loonie In: International Economic Trends.
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2008The sovereign wealth funds of nations In: International Economic Trends.
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2009Markets worry more about sovereign debt In: International Economic Trends.
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2000What is the slope of the yield curve telling us? In: Monetary Trends.
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article0
2000Stock prices and consumption In: Monetary Trends.
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2001September 11, 2001 In: Monetary Trends.
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2002How expensive are stocks? In: Monetary Trends.
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2003Bond market mania In: Monetary Trends.
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2007Chinas strategic petroleum reserve: a drop in the bucket In: National Economic Trends.
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2002The Fed responds to Sept. 11 attacks In: The Regional Economist.
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2004Miscommunication shook up mortgage, bond markets In: The Regional Economist.
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2007Asian nations driving world oil prices In: The Regional Economist.
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2007Why do gasoline prices react to things that have not happened? In: The Regional Economist.
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2014The evolution of Federal Reserve policy and the impact of monetary policy surprises on asset prices In: Review.
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2015Common Fluctuations in OECD Budget Balances In: Review.
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2009Common fluctuations in OECD budget balances.(2009) In: Working Papers.
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2017Chinese Foreign Exchange Reserves, Policy Choices, and the U.S. Economy In: Review.
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2017Chinese Foreign Exchange Reserves, Policy Choices and the U.S. Economy.(2017) In: Working Papers.
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1994Realignment of target zone exchange rate systems: what do we know? In: Review.
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1995Deflation and real economic activity under the gold standard In: Review.
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article0
1996The giant sucking sound: did NAFTA devour the Mexican peso? In: Review.
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1997Technical analysis in the foreign exchange market: a laymans guide In: Review.
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article47
1998Technical analysis and the profitability of U.S. foreign exchange intervention In: Review.
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1999An introduction to capital controls In: Review.
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2000Are changes in foreign exchange reserves well correlated with official intervention? In: Review.
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2001The practice of central bank intervention: looking under the hood In: Review.
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2000The practice of central bank intervention: looking under the hood.(2000) In: Working Papers.
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2002Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics In: Review.
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2002How well do monetary fundamentals forecast exchange rates? In: Review.
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2002How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers.
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2004The Federal Reserve responds to crises: September 11th was not the first In: Review.
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2003The Federal Reserve responds to crises: September 11th was not the first.(2003) In: Working Papers.
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2005Using implied volatility to measure uncertainty about interest rates In: Review.
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2005An analysis of recent studies of the effect of foreign exchange intervention In: Review.
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2005An analysis of recent studies of the effect of foreign exchange intervention.(2005) In: Working Papers.
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2006The transition to electronic communications networks in the secondary treasury market In: Review.
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2006What are the odds? option-based forecasts of FOMC target changes In: Review.
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2008Real interest rate persistence: evidence and implications In: Review.
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2008Real interest rate persistence: evidence and implications.(2008) In: Working Papers.
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2009Systemic risk and the financial crisis: a primer In: Review.
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2010A survey of announcement effects on foreign exchange returns In: Review.
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2011A foreign exchange intervention in an era of restraint In: Review.
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2011A survey of announcement effects on foreign exchange volatility and jumps In: Review.
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2013Four stories of quantitative easing In: Review.
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1998Endogenous realignments and the sustainability of a target In: Working Papers.
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1994A reconsideration of the properties of the generalized method moments in asset pricing models In: Working Papers.
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1994Realignments of target zone exchange systems: what do we know? In: Working Papers.
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1999Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM In: Working Papers.
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1998Risk Aversion vs. Intertemporal Substitution: Identification Failure in the Intertemporal Consumption CAPM.(1998) In: Working Papers.
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1995Testing asset pricing models with Euler equations: its worse than you think In: Working Papers.
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2001Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics In: Working Papers.
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2004Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly? In: Working Papers.
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2005Year-end seasonality in one-month LIBOR derivatives In: Working Papers.
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2005The case for foreign exchange intervention: the government as an active reserve manager In: Working Papers.
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2006Identifying the effects of U.S. intervention on the levels of exchange rates In: Working Papers.
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2007Central bank intervention and exchange rate volatility, its continuous and jump components In: Working Papers.
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2007Central bank intervention and exchange rate volatility, its continuous and jump components.(2007) In: International Journal of Finance & Economics.
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2007Central Bank intervention and exchange rate volatility: its continuous and jump components.(2007) In: ULB Institutional Repository.
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2007Central bank intervention with limited arbitrage In: Working Papers.
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2007Central bank intervention with limited arbitrage.(2007) In: International Journal of Finance & Economics.
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2007The microstructure of the U.S. treasury market In: Working Papers.
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2008The dynamic interaction of order flows and the CAD/USD exchange rate In: Working Papers.
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2008Is inflation an international phenomenon? In: Working Papers.
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2010Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers.
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2014Forecasting the Equity Risk Premium: The Role of Technical Indicators.(2014) In: Management Science.
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2011Technical analysis in the foreign exchange market In: Working Papers.
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2015How Persistent Are Unconventional Monetary Policy Effects? In: Working Papers.
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2020Can risk explain the profitability of technical trading in currency markets? In: Working Papers.
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2014The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited In: Working Papers.
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2020The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited.(2020) In: Journal of Business & Economic Statistics.
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2020An Analysis of the Literature on International Unconventional Monetary Policy In: Working Papers.
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2019Unconventional monetary policy and the behavior of shorts In: Working Papers.
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2007Exchange rate intervention In: International Journal of Finance & Economics.
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2003Endogenous realignments in a target zone In: Oxford Economic Papers.
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2006The Transition to Electronic Trading in the Secondary Treasury Market In: Departmental Working Papers.
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2008Optimal discrete hedging in the Heston Stochastic Volatility Model In: Working Paper Series.
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