Andreas Schrimpf
Personal Details
First Name: | Andreas |
Middle Name: | |
Last Name: | Schrimpf |
Suffix: | |
RePEc Short-ID: | psc349 |
[This author has chosen not to make the email address public] | |
Affiliation
Bank for International Settlements (BIS)
Basel, Switzerlandhttp://www.bis.org/
RePEc:edi:bisssch (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Matteo Aquilina & Jon Frost & Andreas Schrimpf, 2023. "Addressing the risks in crypto: laying out the options," BIS Bulletins 66, Bank for International Settlements.
- Maik Schmeling & Andreas Schrimpf & Karamfil Todorov, 2023. "Crypto carry," BIS Working Papers 1087, Bank for International Settlements.
- Wenqian Huang & Angelo Ranaldo & Andreas Schrimpf & Fabricius Somogyi, 2023.
"Constrained liquidity provision in currency markets,"
BIS Working Papers
1073, Bank for International Settlements.
- Wenqian Huang & Angelo Ranaldo & Andreas Schrimpf & Fabricius Somogyi, 2022. "Constrained Liquidity Provision in Currency Markets," Swiss Finance Institute Research Paper Series 22-82, Swiss Finance Institute.
- Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2022. "Constrained Dealers and Market Efficiency," VfS Annual Conference 2022 (Basel): Big Data in Economics 264054, Verein für Socialpolitik / German Economic Association.
- Maik Schmeling & Andreas Schrimpf & Sigurd A. M. Steffensen, 2022.
"Monetary policy expectation errors,"
BIS Working Papers
996, Bank for International Settlements.
- Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
- Raphael Auer & Bruce Muneaki Iwadate & Andreas Schrimpf & Alexander F. Wagner, 2022.
"Global production linkages and stock market co-movement,"
BIS Working Papers
1003, Bank for International Settlements.
- Raphael Auer & Bruce Muneaki Iwadate & Andreas Schrimpf & Alexander F. Wagner, 2022. "Global Production Linkages and Stock Market Comovement," Swiss Finance Institute Research Paper Series 22-18, Swiss Finance Institute.
- Sirio Aramonte & Sebastian Doerr & Wenqian Huang & Andreas Schrimpf, 2022. "DeFi lending: intermediation without information?," BIS Bulletins 57, Bank for International Settlements.
- Semyon Malamud & Anna Cieslak & Andreas Schrimpf, 2021.
"Optimal Transport of Information,"
Papers
2102.10909, arXiv.org, revised Mar 2021.
- Semyon Malamud & Anna Cieslak & Andreas Schrimpf, 2021. "Optimal Transport of Information," Swiss Finance Institute Research Paper Series 21-15, Swiss Finance Institute.
- Cieslak, Anna & Schrimpf, Paul, 2021. "Optimal Transport of Information," CEPR Discussion Papers 15859, C.E.P.R. Discussion Papers.
- Sirio Aramonte & Andreas Schrimpf & Hyun Song Shin, 2021.
"Non-bank financial intermediaries and financial stability,"
BIS Working Papers
972, Bank for International Settlements.
- , & Shin, Hyun Song, 2022. "Non-bank Financial Intermediaries and Financial Stability," CEPR Discussion Papers 16962, C.E.P.R. Discussion Papers.
- Parra-Alvarez, Juan Carlos & Posch, Olaf, 2021.
"Peso Problems in the Estimation of the C-CAPM,"
CEPR Discussion Papers
16299, C.E.P.R. Discussion Papers.
- Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022. "Peso problems in the estimation of the C‐CAPM," Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
- Semyon Malamud & Andreas Schrimpf, 2021.
"Persuasion by Dimension Reduction,"
Papers
2110.08884, arXiv.org, revised Oct 2022.
- Semyon Malamud & Andreas Schrimpf, 2021. "Persuasion by Dimension Reduction," Swiss Finance Institute Research Paper Series 21-69, Swiss Finance Institute.
- Andreas Schrimpf & Ilhyock Shim & Hyun Song Shin, 2021. "Liquidity management and asset sales by bond funds in the face of investor redemptions in March 2020," BIS Bulletins 39, Bank for International Settlements.
- Andreas Schrimpf & Hyun Song Shin & Vladyslav Sushko, 2020. "Leverage and margin spirals in fixed income markets during the Covid-19 crisis," BIS Bulletins 2, Bank for International Settlements.
- Egemen Eren & Andreas Schrimpf & Vladyslav Sushko, 2020. "US dollar funding markets during the Covid-19 crisis - the money market fund turmoil," BIS Bulletins 14, Bank for International Settlements.
- Egemen Eren & Andreas Schrimpf & Vladyslav Sushko, 2020. "US dollar funding markets during the Covid-19 crisis - the international dimension," BIS Bulletins 15, Bank for International Settlements.
- Anna Cieslak & Semyon Malamud & Andreas Schrimpf, 2020. "Policy Announcement Design," Swiss Finance Institute Research Paper Series 20-17, Swiss Finance Institute.
- Jannic Cutura & Gianpaolo Parise & Andreas Schrimpf, 2020.
"Debt De-risking,"
BIS Working Papers
868, Bank for International Settlements.
- Cutura, Jannic & Schrimpf, Paul, 2020. "Debt De-risking," CEPR Discussion Papers 14817, C.E.P.R. Discussion Papers.
- Basil Guggenheim & Andreas Schrimpf, 2020. "Banking across borders: At the crossroads in the transition away from LIBOR - from overnight to term rates," BIS Working Papers 891, Bank for International Settlements.
- Kroencke, Tim & Schmeling, Maik & Schrimpf, Andreas, 2019.
"The FOMC Risk Shift,"
CEPR Discussion Papers
14037, C.E.P.R. Discussion Papers.
- Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
- Kroencke, Tim-Alexander & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC risk shift," SAFE Working Paper Series 302, Leibniz Institute for Financial Research SAFE.
- Rime, Dagfinn & Schrimpf, Andreas & Syrstad, Olav, 2019.
"Covered Interest Parity Arbitrage,"
CEPR Discussion Papers
13637, C.E.P.R. Discussion Papers.
- Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2022. "Covered Interest Parity Arbitrage [Arbitrage in the foreign exchange market: Turning on the microscope]," Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5185-5227.
- Jonathan Kearns & Andreas Schrimpf & Dora Xia, 2018.
"Explaining Monetary Spillovers: The Matrix Reloaded,"
BIS Working Papers
757, Bank for International Settlements.
- Kearns, Jonathan & XIA, Fan Dora, 2020. "Explaining Monetary Spillovers: The Matrix Reloaded," CEPR Discussion Papers 15006, C.E.P.R. Discussion Papers.
- Jonathan Kearns & Andreas Schrimpf & Fan Dora Xia, 2019. "Explaining Monetary Spillovers: The Matrix Reloaded," RBA Research Discussion Papers rdp2019-03, Reserve Bank of Australia.
- Anna Cieslak & Andreas Schrimpf, 2018.
"Non-monetary news in central bank communication,"
BIS Working Papers
761, Bank for International Settlements.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 293-315, National Bureau of Economic Research, Inc.
- Cieslak, Anna & Schrimpf, Andreas, 2019. "Non-monetary news in central bank communication," Journal of International Economics, Elsevier, vol. 118(C), pages 293-315.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
- Semyon Malamud & Andreas Schrimpf, 2018.
"An intermediation-based model of exchange rates,"
BIS Working Papers
743, Bank for International Settlements.
- Semyon Malamud & Andreas Schrimpf, 2018. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 18-14, Swiss Finance Institute, revised Jun 2018.
- Malamud, Semyon & Schrimpf, Andreas, 2018. "An Intermediation-Based Model of Exchange Rates," CEPR Discussion Papers 13182, C.E.P.R. Discussion Papers.
- Massimo Ferrari & Jonathan Kearns & Andreas Schrimpf, 2017.
"Monetary policy's rising FX impact in the era of ultra-low rates,"
BIS Working Papers
626, Bank for International Settlements.
- Ferrari, Massimo & Kearns, Jonathan & Schrimpf, Andreas, 2021. "Monetary policy’s rising FX impact in the era of ultra-low rates," Journal of Banking & Finance, Elsevier, vol. 129(C).
- Ferrari, Massimo & Kearns, Jonathan & Schrimpf, Andreas, 2017. "Monetary policy's rising FX impact in the era of ultra-low rates," CEPR Discussion Papers 11918, C.E.P.R. Discussion Papers.
- Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017.
"Scarcity effects of QE: A transaction-level analysis in the Bund market,"
BIS Working Papers
625, Bank for International Settlements.
- Schlepper, Kathi & Riordan, Ryan & Hofer, Heiko & Schrimpf, Andreas, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," Discussion Papers 06/2017, Deutsche Bundesbank.
- Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2017.
"Segmented money markets and covered interest parity arbitrage,"
BIS Working Papers
651, Bank for International Settlements.
- Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2017. "Segmented money markets and covered interest parity arbitrage," Working Paper 2017/15, Norges Bank.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2016.
"Currency Value,"
CEPR Discussion Papers
11324, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2017. "Currency Value," Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 416-441.
- Semyon Malamud & Andreas Schrimpf, 2016.
"Intermediation Markups and Monetary Policy Passthrough,"
Swiss Finance Institute Research Paper Series
16-75, Swiss Finance Institute.
- Andreas Schrimpf & Semyon Malamud, 2017. "Intermediation Markups and Monetary Policy Passthrough," 2017 Meeting Papers 812, Society for Economic Dynamics.
- Malamud, Semyon & Schrimpf, Andreas, 2018. "Intermediation markups and monetary policy pass-through," CEPR Discussion Papers 12623, C.E.P.R. Discussion Papers.
- Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2016.
"When the walk is not random: commodity prices and exchange rates,"
BIS Working Papers
551, Bank for International Settlements.
- Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2017. "When the Walk Is Not Random: Commodity Prices and Exchange Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 121-158, June.
- Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner, 2016.
"Has the pricing of stocks become more global?,"
BIS Working Papers
560, Bank for International Settlements.
- Petzev, Ivan & Schrimpf, Andreas & Wagner, Alexander F, 2015. "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers 10966, C.E.P.R. Discussion Papers.
- Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner, 2015. "Has the Pricing of Stocks Become More Global?," Swiss Finance Institute Research Paper Series 15-48, Swiss Finance Institute, revised Apr 2016.
- Peter S. SCHMIDT & Urs VON ARX & Andreas SCHRIMPF & Alexander F. WAGNER & Andreas ZIEGLER, 2015.
"Size and Momentum Profitability in International Stock Markets,"
Swiss Finance Institute Research Paper Series
15-29, Swiss Finance Institute.
- Schmidt, Peter S. & Schrimpf, Andreas & von Arx, Urs & Wagner, Alexander F & Ziegler, Andreas, 2015. "Size and Momentum Profitability in International Stock Markets," CEPR Discussion Papers 10804, C.E.P.R. Discussion Papers.
- Tim A Kroencke & Maik Schmeling & Andreas Schrimpf, 2015. "Global Asset Allocation Shifts," BIS Working Papers 497, Bank for International Settlements.
- Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2013.
"The response of tail risk perceptions to unconventional monetary policy,"
BIS Working Papers
425, Bank for International Settlements.
- Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016. "The Response of Tail Risk Perceptions to Unconventional Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(2), pages 111-136, April.
- Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013.
"Information flows in foreign exchange markets: dissecting customer currency trades,"
BIS Working Papers
405, Bank for International Settlements.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2016. "Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades," Journal of Finance, American Finance Association, vol. 71(2), pages 601-634, April.
- Olaf Posch & Andreas Schrimpf, 2012.
"Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM,"
CREATES Research Papers
2012-32, Department of Economics and Business Economics, Aarhus University.
- Posch, Olaf & Schrimpf, Andreas, 2013. "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79987, Verein für Socialpolitik / German Economic Association.
- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011.
"International Diversification Benefits with Foreign Exchange Investment Styles,"
CREATES Research Papers
2011-10, Department of Economics and Business Economics, Aarhus University.
- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014. "International Diversification Benefits with Foreign Exchange Investment Styles," Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
- Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas, 2011. "International diversification benefits with foreign exchange investment styles," ZEW Discussion Papers 11-028, ZEW - Leibniz Centre for European Economic Research.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2011.
"Carry Trades and Global Foreign Exchange Volatility,"
CEPR Discussion Papers
8291, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Carry Trades and Global Foreign Exchange Volatility," Journal of Finance, American Finance Association, vol. 67(2), pages 681-718, April.
- Peter S. Schmidt & Andreas Schrimpf & Urs von Arx & Alexander F. Wagner & Andreas Ziegler, 2011. "On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications," CER-ETH Economics working paper series 11/141, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011.
"Currency Momentum Strategies,"
BIS Working Papers
366, Bank for International Settlements.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Currency Momentum Strategies," Working Paper series 09_12, Rimini Centre for Economic Analysis.
- Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010.
"Dividend predictability around the world,"
CREATES Research Papers
2010-03, Department of Economics and Business Economics, Aarhus University.
- Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014. "Dividend Predictability Around the World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1255-1277, December.
- Christian D. Dick & Maik Schmeling & Andreas Schrimpf, 2010.
"Macro Expectations, Aggregate Uncertainty, and Expected Term Premia,"
CREATES Research Papers
2010-49, Department of Economics and Business Economics, Aarhus University.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013. "Macro-expectations, aggregate uncertainty, and expected term premia," European Economic Review, Elsevier, vol. 58(C), pages 58-80.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010.
"A Comprehensive Look at Financial Volatility Prediction by Economic Variables,"
CREATES Research Papers
2010-58, Department of Economics and Business Economics, Aarhus University.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
- Grammig, Joachim & Schrimpf, Andreas, 2009.
"Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns,"
CFR Working Papers
07-05, University of Cologne, Centre for Financial Research (CFR).
- Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns," Review of Financial Economics, Elsevier, vol. 18(3), pages 113-123, August.
- Joachim Grammig & Andreas Schrimpf, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross‐section of stock returns," Review of Financial Economics, John Wiley & Sons, vol. 18(3), pages 113-123, August.
- Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2009. "Higher-order beliefs among professional stock market forecasters: some first empirical tests," ZEW Discussion Papers 09-042, ZEW - Leibniz Centre for European Economic Research.
- Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2009. "Global Asset Pricing: Is There a Role for Long-run Consumption Risk?," CREATES Research Papers 2009-57, Department of Economics and Business Economics, Aarhus University.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany.
- Grammig, Joachim G. & Schrimpf, Andreas & Schuppli, Michael, 2009.
"Long-horizon consumption risk and the cross-section of returns: New tests and international evidence,"
CFR Working Papers
09-02, University of Cologne, Centre for Financial Research (CFR).
- Joachim Grammig & Andreas Schrimpf & Michael Schuppli, 2009. "Long-horizon consumption risk and the cross-section of returns: new tests and international evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 511-532.
- Schrimpf, Andreas, 2008.
"International Stock Return Predictability Under Model Uncertainty,"
ZEW Discussion Papers
08-048, ZEW - Leibniz Centre for European Economic Research.
- Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
- Maik Schmeling & Andreas Schrimpf, 2008.
"Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?,"
SFB 649 Discussion Papers
SFB649DP2008-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Schmeling, Maik & Schrimpf, Andreas, 2011. "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," European Economic Review, Elsevier, vol. 55(5), pages 702-719, June.
- Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032, ZEW - Leibniz Centre for European Economic Research.
- Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-043, ZEW - Leibniz Centre for European Economic Research.
Articles
- Patrick McGuire & Andreas Schrimpf & Nikola Tarashev, 2022. "Foreword: OTC foreign exchange and interest rate derivatives markets through the prism of the Triennial Survey," BIS Quarterly Review, Bank for International Settlements, December.
- Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022.
"Monetary policy expectation errors,"
Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
- Maik Schmeling & Andreas Schrimpf & Sigurd A. M. Steffensen, 2022. "Monetary policy expectation errors," BIS Working Papers 996, Bank for International Settlements.
- Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2022.
"Covered Interest Parity Arbitrage [Arbitrage in the foreign exchange market: Turning on the microscope],"
Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5185-5227.
- Rime, Dagfinn & Schrimpf, Andreas & Syrstad, Olav, 2019. "Covered Interest Parity Arbitrage," CEPR Discussion Papers 13637, C.E.P.R. Discussion Papers.
- Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022.
"Peso problems in the estimation of the C‐CAPM,"
Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
- Parra-Alvarez, Juan Carlos & Posch, Olaf, 2021. "Peso Problems in the Estimation of the C-CAPM," CEPR Discussion Papers 16299, C.E.P.R. Discussion Papers.
- Ferrari, Massimo & Kearns, Jonathan & Schrimpf, Andreas, 2021.
"Monetary policy’s rising FX impact in the era of ultra-low rates,"
Journal of Banking & Finance, Elsevier, vol. 129(C).
- Ferrari, Massimo & Kearns, Jonathan & Schrimpf, Andreas, 2017. "Monetary policy's rising FX impact in the era of ultra-low rates," CEPR Discussion Papers 11918, C.E.P.R. Discussion Papers.
- Massimo Ferrari & Jonathan Kearns & Andreas Schrimpf, 2017. "Monetary policy's rising FX impact in the era of ultra-low rates," BIS Working Papers 626, Bank for International Settlements.
- Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021.
"The FOMC Risk Shift,"
Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
- Kroencke, Tim & Schmeling, Maik & Schrimpf, Andreas, 2019. "The FOMC Risk Shift," CEPR Discussion Papers 14037, C.E.P.R. Discussion Papers.
- Kroencke, Tim-Alexander & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC risk shift," SAFE Working Paper Series 302, Leibniz Institute for Financial Research SAFE.
- Sirio Aramonteand & Wenqian Huang & Andreas Schrimpf, 2021. "DeFi risks and the decentralisation illusion," BIS Quarterly Review, Bank for International Settlements, December.
- Schlepper, Kathi & Hofer, Heiko & Riordan, Ryan & Schrimpf, Andreas, 2020. "The Market Microstructure of Central Bank Bond Purchases," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 193-221, February.
- Adam Cap & Mathias Drehmann & Andreas Schrimpf, 2020. "Changes in monetary policy operating procedures over the last decade: insights from a new database," BIS Quarterly Review, Bank for International Settlements, December.
- Andreas Schrimpf & Vladyslav Sushko, 2019. "Sizing up global foreign exchange markets," BIS Quarterly Review, Bank for International Settlements, December.
- Cieslak, Anna & Schrimpf, Andreas, 2019.
"Non-monetary news in central bank communication,"
Journal of International Economics, Elsevier, vol. 118(C), pages 293-315.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 293-315, National Bureau of Economic Research, Inc.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-monetary news in central bank communication," BIS Working Papers 761, Bank for International Settlements.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
- Andreas Schrimpf & Vladyslav Sushko, 2019. "FX trade execution: complex and highly fragmented," BIS Quarterly Review, Bank for International Settlements, December.
- Andreas Schrimpf & Vladyslav Sushko, 2019. "Beyond LIBOR: a primer on the new benchmark rates," BIS Quarterly Review, Bank for International Settlements, March.
- Peter S. Schmidt & Urs von Arx & Andreas Schrimpf & Alexander F. Wagner & Andreas Ziegler, 2019. "Common risk factors in international stock markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(3), pages 213-241, September.
- Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2017.
"When the Walk Is Not Random: Commodity Prices and Exchange Rates,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 121-158, June.
- Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2016. "When the walk is not random: commodity prices and exchange rates," BIS Working Papers 551, Bank for International Settlements.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2017.
"Currency Value,"
Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 416-441.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2016. "Currency Value," CEPR Discussion Papers 11324, C.E.P.R. Discussion Papers.
- Michael Moore & Andreas Schrimpf & Vladyslav Sushko, 2016. "Downsized FX markets: causes and implications," BIS Quarterly Review, Bank for International Settlements, December.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2016.
"Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades,"
Journal of Finance, American Finance Association, vol. 71(2), pages 601-634, April.
- Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
- Morten Linnemann Bech & Anamaria Illes & Ulf Lewrick & Andreas Schrimpf, 2016. "Hanging up the phone - electronic trading in fixed income markets and its implications," BIS Quarterly Review, Bank for International Settlements, March.
- Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016.
"The Response of Tail Risk Perceptions to Unconventional Monetary Policy,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 8(2), pages 111-136, April.
- Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2013. "The response of tail risk perceptions to unconventional monetary policy," BIS Working Papers 425, Bank for International Settlements.
- Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014.
"Dividend Predictability Around the World,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1255-1277, December.
- Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010. "Dividend predictability around the world," CREATES Research Papers 2010-03, Department of Economics and Business Economics, Aarhus University.
- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014.
"International Diversification Benefits with Foreign Exchange Investment Styles,"
Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011. "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers 2011-10, Department of Economics and Business Economics, Aarhus University.
- Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas, 2011. "International diversification benefits with foreign exchange investment styles," ZEW Discussion Papers 11-028, ZEW - Leibniz Centre for European Economic Research.
- Dagfinn Rime & Andreas Schrimpf, 2013. "The anatomy of the global FX market through the lens of the 2013 Triennial Survey," BIS Quarterly Review, Bank for International Settlements, December.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013.
"Macro-expectations, aggregate uncertainty, and expected term premia,"
European Economic Review, Elsevier, vol. 58(C), pages 58-80.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
- Christian D. Dick & Maik Schmeling & Andreas Schrimpf, 2010. "Macro Expectations, Aggregate Uncertainty, and Expected Term Premia," CREATES Research Papers 2010-49, Department of Economics and Business Economics, Aarhus University.
- Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2013. "What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests?," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 109-129.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012.
"Currency momentum strategies,"
Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2011. "Currency Momentum Strategies," BIS Working Papers 366, Bank for International Settlements.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Currency Momentum Strategies," Working Paper series 09_12, Rimini Centre for Economic Analysis.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012.
"Carry Trades and Global Foreign Exchange Volatility,"
Journal of Finance, American Finance Association, vol. 67(2), pages 681-718, April.
- Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2011. "Carry Trades and Global Foreign Exchange Volatility," CEPR Discussion Papers 8291, C.E.P.R. Discussion Papers.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012.
"A comprehensive look at financial volatility prediction by economic variables,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers 2010-58, Department of Economics and Business Economics, Aarhus University.
- Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
- Schmeling, Maik & Schrimpf, Andreas, 2011.
"Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?,"
European Economic Review, Elsevier, vol. 55(5), pages 702-719, June.
- Maik Schmeling & Andreas Schrimpf, 2008. "Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?," SFB 649 Discussion Papers SFB649DP2008-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Jacob Gyntelberg & Andreas Schrimpf, 2011. "FX strategies in periods of distress," BIS Quarterly Review, Bank for International Settlements, December.
- Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
- Schrimpf, Andreas, 2010.
"International stock return predictability under model uncertainty,"
Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
- Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Leibniz Centre for European Economic Research.
- Schmeling, Maik & Schrimpf, Andreas, 2009. "Rendite und Risiko von Carry Trade Strategien auf Devisenmärkten," ZEW Wachstums- und Konjunkturanalysen, ZEW - Leibniz Centre for European Economic Research, vol. 12(3), pages 10-11.
- Joachim Grammig & Andreas Schrimpf & Michael Schuppli, 2009.
"Long-horizon consumption risk and the cross-section of returns: new tests and international evidence,"
The European Journal of Finance, Taylor & Francis Journals, vol. 15(5-6), pages 511-532.
- Grammig, Joachim G. & Schrimpf, Andreas & Schuppli, Michael, 2009. "Long-horizon consumption risk and the cross-section of returns: New tests and international evidence," CFR Working Papers 09-02, University of Cologne, Centre for Financial Research (CFR).
- Grammig, Joachim & Schrimpf, Andreas, 2009.
"Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns,"
Review of Financial Economics, Elsevier, vol. 18(3), pages 113-123, August.
- Joachim Grammig & Andreas Schrimpf, 2009. "Asset pricing with a reference level of consumption: New evidence from the cross‐section of stock returns," Review of Financial Economics, John Wiley & Sons, vol. 18(3), pages 113-123, August.
- Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns," CFR Working Papers 07-05, University of Cologne, Centre for Financial Research (CFR).
- Schrimpf, Andeas & Wang, Qingwei, 2007. "Zinsstruktur als Konjunkturindikator: Wie variabel ist die Prognosekraft?," ZEW Wachstums- und Konjunkturanalysen, ZEW - Leibniz Centre for European Economic Research, vol. 10(1), pages 6-7.
- Andreas Schrimpf & Michael Schröder & Richard Stehle, 2007. "Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market," European Financial Management, European Financial Management Association, vol. 13(5), pages 880-907, November.
- Kappler, Marcus & Schrimpf, Andreas, 2006. "Methoden mittelfristiger gesamtwirtschaftlicher Projektionen," ZEW Wachstums- und Konjunkturanalysen, ZEW - Leibniz Centre for European Economic Research, vol. 9(2), pages 10-11.
Chapters
- Anna Cieslak & Andreas Schrimpf, 2018.
"Non-Monetary News in Central Bank Communication,"
NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 293-315,
National Bureau of Economic Research, Inc.
- Cieslak, Anna & Schrimpf, Andreas, 2019. "Non-monetary news in central bank communication," Journal of International Economics, Elsevier, vol. 118(C), pages 293-315.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-monetary news in central bank communication," BIS Working Papers 761, Bank for International Settlements.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
More information
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 62 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-MAC: Macroeconomics (31) 2008-05-31 2008-09-13 2010-09-03 2010-11-13 2012-07-23 2014-02-02 2017-02-12 2017-04-02 2017-05-07 2017-07-16 2017-09-17 2017-10-29 2018-03-05 2018-08-13 2018-10-08 2018-10-15 2018-11-26 2018-12-03 2019-01-21 2019-04-08 2019-05-06 2019-10-14 2020-04-06 2020-05-25 2020-11-02 2021-03-01 2021-03-15 2021-05-31 2021-05-31 2021-10-25 2022-03-07. Author is listed
- NEP-MON: Monetary Economics (26) 2008-05-31 2012-04-17 2016-07-02 2017-02-12 2017-04-02 2017-04-23 2017-07-16 2017-09-17 2017-10-29 2018-03-05 2018-08-13 2018-10-15 2018-11-26 2018-12-03 2019-01-21 2019-04-08 2019-05-06 2019-10-14 2020-04-06 2020-05-25 2020-05-25 2021-03-15 2021-05-31 2022-03-07 2022-12-12 2023-03-13. Author is listed
- NEP-CBA: Central Banking (17) 2008-05-31 2010-09-03 2010-11-13 2017-02-12 2017-04-02 2017-04-23 2017-10-29 2018-03-05 2018-10-15 2018-12-03 2019-01-21 2019-05-06 2020-04-06 2020-05-25 2021-03-15 2021-12-06 2022-03-07. Author is listed
- NEP-IFN: International Finance (9) 2011-03-19 2011-03-26 2011-04-30 2015-12-08 2016-05-28 2016-07-02 2016-07-30 2022-03-07 2022-12-12. Author is listed
- NEP-OPM: Open Economy Macroeconomics (8) 2011-03-19 2016-04-04 2016-07-02 2017-07-16 2018-10-08 2018-11-26 2019-05-06 2022-12-12. Author is listed
- NEP-RMG: Risk Management (8) 2007-03-10 2008-09-13 2011-02-12 2020-05-04 2020-06-15 2021-03-15 2021-05-31 2022-03-07. Author is listed
- NEP-FMK: Financial Markets (7) 2015-09-11 2016-05-28 2016-07-30 2016-07-30 2022-03-07 2022-12-12 2023-03-13. Author is listed
- NEP-EEC: European Economics (5) 2007-03-10 2017-04-23 2017-05-07 2018-12-03 2019-05-06. Author is listed
- NEP-CFN: Corporate Finance (4) 2007-03-10 2011-04-30 2020-06-15 2021-05-31
- NEP-FOR: Forecasting (4) 2009-09-19 2010-09-11 2012-06-25 2016-04-04
- NEP-UPT: Utility Models & Prospect Theory (4) 2010-09-03 2010-11-13 2012-07-23 2021-10-25
- NEP-BAN: Banking (3) 2017-10-29 2022-12-12 2023-03-13
- NEP-BEC: Business Economics (3) 2008-09-13 2009-12-05 2010-09-11
- NEP-GTH: Game Theory (3) 2021-03-01 2021-05-10 2021-10-25
- NEP-MIC: Microeconomics (3) 2020-04-06 2021-03-01 2021-10-25
- NEP-MST: Market Microstructure (3) 2011-03-19 2017-04-23 2017-05-07
- NEP-DES: Economic Design (2) 2021-05-10 2021-10-25
- NEP-INT: International Trade (2) 2022-03-07 2022-03-07
- NEP-CWA: Central & Western Asia (1) 2021-12-06
- NEP-DGE: Dynamic General Equilibrium (1) 2017-10-29
- NEP-ECM: Econometrics (1) 2008-09-13
- NEP-FDG: Financial Development & Growth (1) 2022-03-07
- NEP-ORE: Operations Research (1) 2021-10-25
- NEP-PAY: Payment Systems & Financial Technology (1) 2023-05-01
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