Maik Schmeling

Goethe University Frankfurt - Department of Finance

House of Finance

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, Hessen 60323

Germany

http://sites.google.com/site/maikschmeling/

Centre for Economic Policy Research (CEPR)

Research Fellow

London

United Kingdom

SCHOLARLY PAPERS

33

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37,561

SSRN CITATIONS
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SSRN RANKINGS

Top 983

in Total Papers Citations

987

CROSSREF CITATIONS

596

Scholarly Papers (33)

1.
Downloads 6,271 ( 2,342)
Citation 19

Short-term Momentum

The Review of Financial Studies, 2021
Number of pages: 68 Posted: 17 Apr 2018 Last Revised: 30 Jun 2021
Mamdouh Medhat and Maik Schmeling
Dimensional Fund Advisors and Goethe University Frankfurt - Department of Finance
Downloads 6,271 (2,316)
Citation 19

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Momentum, Reversal, Trading Volume, Bounded rationality

Short-Term Momentum

CEPR Discussion Paper No. DP15857
Number of pages: 73 Posted: 01 Mar 2021
Mamdouh Medhat and Maik Schmeling
Dimensional Fund Advisors and Goethe University Frankfurt - Department of Finance
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2.
Downloads 5,840 ( 2,634)
Citation 155

Currency Momentum Strategies

Number of pages: 86 Posted: 21 Apr 2011 Last Revised: 07 Nov 2011
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 5,131 (3,280)
Citation 8

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Momentum returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades

Currency Momentum Strategies

BIS Working Paper No. 366
Number of pages: 89 Posted: 13 Dec 2011
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 697 (69,289)
Citation 10

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Momentum Returns, Limits to Arbitrage, Idiosyncratic Volatility, Carry Trades

Currency Momentum Strategies

CEPR Discussion Paper No. DP8747
Number of pages: 90 Posted: 20 Jan 2012
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 12 (1,075,167)
Citation 94
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns

3.
Downloads 3,589 ( 6,061)
Citation 266

Carry Trades and Global Foreign Exchange Volatility

Journal of Finance, Forthcoming, EFA 2009 Bergen Meetings Paper
Number of pages: 93 Posted: 14 Feb 2009 Last Revised: 02 Mar 2011
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 3,571 (5,986)
Citation 11

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F31, G12, G15

Carry Trades and Global Foreign Exchange Volatility

CEPR Discussion Paper No. DP8291
Number of pages: 95 Posted: 28 Mar 2011
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 18 (1,008,690)
Citation 50
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carry trade, forward premium puzzle, liquidity, volatility

4.
Downloads 2,923 ( 8,410)
Citation 9

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2,026 (14,758)
Citation 8

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Currency value, macro fundamentals, real exchange rate, predictability

Currency Value

Number of pages: 58 Posted: 22 Jun 2013 Last Revised: 27 Jun 2015
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 897 (49,463)
Citation 5

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Currency value, macro fundamentals, real exchange rate, predictability

5.
Downloads 2,673 ( 9,681)
Citation 23

Does Central Bank Tone Move Asset Prices?

Number of pages: 68 Posted: 14 Jul 2015 Last Revised: 27 Sep 2023
Maik Schmeling and Christian Wagner
Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 2,672 (9,518)
Citation 30

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monetary policy, central bank communication, textual analysis, risk premia, stock returns, volatility risk, credit spreads

Does Central Bank Tone Move Asset Prices?

CEPR Discussion Paper No. DP13490
Number of pages: 88 Posted: 28 Jan 2019
Maik Schmeling and Christian Wagner
Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1 (1,180,551)
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central bank communication, credit spreads, monetary policy, risk premia, Stock returns, textual analysis, volatility risk

6.
Downloads 2,221 (13,015)
Citation 14

Exchange Rates and Sovereign Risk

Number of pages: 121 Posted: 15 Nov 2013 Last Revised: 20 Apr 2021
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 2,221 (12,765)
Citation 7

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Exchange rates, currency risk premium, currency options, sovereign risk, CDS spreads.

Exchange Rates and Sovereign Risk

CEPR Discussion Paper No. DP16058
Number of pages: 125 Posted: 14 May 2021
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
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Citation 9
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A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Number of pages: 45 Posted: 10 Jan 2011 Last Revised: 06 Mar 2012
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 977 (43,911)
Citation 3

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Realized volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

BIS Working Paper No. 374
Number of pages: 47 Posted: 07 Mar 2012
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 291 (194,227)
Citation 10

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Realised volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty

8.
Downloads 1,267 (30,769)
Citation 26

The FOMC Risk Shift

Number of pages: 87 Posted: 20 Nov 2017 Last Revised: 20 Jan 2021
FHNW School of Business, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,015 (41,627)
Citation 6

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Monetary policy shocks, Equity Premium, Fund Flows, Portfolio Rebalancing

The FOMC Risk Shift

SAFE Working Paper No. 302
Number of pages: 89 Posted: 27 Jan 2021
FHNW School of Business, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 249 (227,593)
Citation 2

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Monetary Policy Surprises; Equity Premium; Fund Flows; Portfolio Rebalanc- ing; Price Pressures

The FOMC Risk Shift

CEPR Discussion Paper No. DP14037
Number of pages: 98 Posted: 07 Oct 2019
FHNW School of Business, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 3 (1,162,624)
Citation 21
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Equity premium, Fund flows, Monetary Policy Surprises, Portfolio rebalancing, Price pressure

9.
Downloads 1,248 (31,450)
Citation 2

What Moves Markets?

Journal of Monetary Economics, Forthcoming
Number of pages: 79 Posted: 05 Oct 2021 Last Revised: 24 Feb 2024
Mark Kerssenfischer and Maik Schmeling
Deutsche Bundesbank and Goethe University Frankfurt - Department of Finance
Downloads 937 (46,533)

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Macro news; Asset prices; High-Frequency Identification; Event Database

What Moves Markets?

Deutsche Bundesbank Discussion Paper No. 16/2022
Number of pages: 65 Posted: 14 Jun 2022
Mark Kerssenfischer and Maik Schmeling
Deutsche Bundesbank and Goethe University Frankfurt - Department of Finance
Downloads 311 (180,984)
Citation 2

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Macro news, Asset prices, High-Frequency Identification, Event Database

10.

Passive Investing and Market Quality

Number of pages: 65 Posted: 05 Oct 2023 Last Revised: 19 Mar 2024
Philipp Höfler, Christian Schlag and Maik Schmeling
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
Downloads 1,203 (33,187)

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passive investing, ETFs, market efficiency, reversal

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

Number of pages: 48 Posted: 19 May 2011 Last Revised: 05 Apr 2013
Lucio Sarno and Maik Schmeling
University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
Downloads 789 (58,905)
Citation 1

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Exchange rates, economic fundamentals, forecasting, present value model

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

CEPR Discussion Paper No. DP9472
Number of pages: 47 Posted: 17 May 2013
Lucio Sarno and Maik Schmeling
University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
Downloads 8 (1,116,770)
Citation 12
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economic fundamentals, Exchange rates, forecasting, present value model

12.
Downloads 782 (60,517)
Citation 35

Dividend Predictability Around the World

CREATES Research Paper No. 2010-03
Number of pages: 44 Posted: 26 Jan 2010 Last Revised: 02 Oct 2012
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 611 (81,983)
Citation 9

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Dividend Yield, Predictability, International Stock Markets, Value, Growth, Idiosyncratic Volatility

Dividend Predictability around the World

Number of pages: 44 Posted: 05 Mar 2010 Last Revised: 02 Oct 2012
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 171 (323,042)
Citation 31

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dividend yield, predictability, international stock markets, value, growth, idiosyncratic volatility

13.
Downloads 725 (66,855)
Citation 8

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
FHNW School of Business, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 544 (95,057)
Citation 11

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Portfolio Rebalancing, Mutual Funds, Momentum, Search For Yield, Monetary Policy

Global Asset Allocation Shifts

BIS Working Paper No. 497
Number of pages: 70 Posted: 01 Apr 2015
FHNW School of Business, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 181 (307,057)
Citation 1

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Portfolio Rebalancing, Mutual Funds, Momentum, Search For Yield, Monetary Policy

14.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Banque de FranceMassachusetts Institute of Technology (MIT) - Sloan School of Management, BI Norwegian Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 714 (68,176)
Citation 1

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Exchange rates, risk premium, order flow

15.

Deciphering Monetary Policy Shocks

Number of pages: 78 Posted: 15 Apr 2022 Last Revised: 17 Oct 2023
Vienna University of Economics and Business, Vienna Graduate School of Finance (VGSF), Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 615 (82,313)

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Monetary Policy Shocks, Central Bank Communication, Asset Pricing, Textual Analysis

16.

Crypto Carry

Number of pages: 52 Posted: 10 Dec 2022 Last Revised: 27 Apr 2023
Maik Schmeling, Andreas Schrimpf and Karamfil Todorov
Goethe University Frankfurt - Department of Finance, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements
Downloads 595 (85,858)
Citation 1

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Crypto, Carry, Futures basis, Crash risk, Bitcoin, Ethereum

17.

Systematic Intervention and Currency Risk Premia

Number of pages: 70 Posted: 13 Feb 2018 Last Revised: 08 Jan 2021
DIW Berlin, Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Kiel Institute for the World Economy
Downloads 564 (91,781)
Citation 4

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Foreign exchange intervention, Currency risk, Carry, Momentum, Value

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

BIS Working Paper No. 405
Number of pages: 89 Posted: 12 Apr 2013
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 300 (188,132)
Citation 38

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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

Journal of Finance, Forthcoming
Number of pages: 86 Posted: 20 May 2012 Last Revised: 17 Mar 2016
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 192 (291,172)
Citation 3

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Order Flow, Foreign Exchange Risk Premia, Heterogeneous Information, Carry Trades

19.

Monetary Policy Expectation Errors

Number of pages: 80 Posted: 08 Apr 2020 Last Revised: 04 Feb 2022
Maik Schmeling, Andreas Schrimpf and Sigurd Steffensen
Goethe University Frankfurt - Department of Finance, Bank for International Settlements (BIS) - Monetary and Economic Department and Danmarks Nationalbank (central bank of Denmark)
Downloads 475 (113,340)
Citation 9

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Expectation Formation, Monetary Policy, Federal Funds Futures, Overnight Index Swaps, Uncertainty

20.

Dissecting Announcement Returns

Number of pages: 87 Posted: 13 Nov 2017 Last Revised: 31 Oct 2018
Mamdouh Medhat and Maik Schmeling
Dimensional Fund Advisors and Goethe University Frankfurt - Department of Finance
Downloads 473 (113,898)
Citation 3

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Announcement premium, resolution of uncertainty, post-earnings announcement drift, PEAD, momentum, disagreement, underreaction, gradual information diffusion

21.

Expected Inflation, Expected Stock Returns, and Money Illusion: What Can We Learn from Survey Expectations?

SFB 649 Discussion Paper 2008-036
Number of pages: 42 Posted: 27 May 2008 Last Revised: 17 Jan 2010
Maik Schmeling and Andreas Schrimpf
Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 434 (126,139)
Citation 10

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Inflation expectations, Money Illusion, Proxy hypothesis, Stock Return Predictability

Foreign exchange intervention: A new database

Number of pages: 74 Posted: 15 Sep 2022
German Institute for Economic Research (DIW Berlin), Kiel Institute for the World Economy, Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School and Goethe University Frankfurt - Department of Finance
Downloads 199 (281,766)

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Foreign exchange intervention, capital controls, macroprudential regulation, international capital flows, data

Foreign Exchange Intervention: A New Database

DIW Berlin Discussion Paper No. 1915
Number of pages: 62 Posted: 23 Nov 2020
German Institute for Economic Research (DIW Berlin), Kiel Institute for the World Economy, Humboldt-Universität zu Berlin, affiliation not provided to SSRN and Goethe University Frankfurt - Department of Finance
Downloads 166 (331,494)

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Foreign exchange intervention, capital controls, macroprudential regulation, international capitalflows

23.

Limit-Order Submission Strategies under Asymmetric Information

CESifo Working Paper Series No. 3054
Number of pages: 42 Posted: 19 May 2010
Lukas Menkhoff, Carol L. Osler and Maik Schmeling
Humboldt-Universität zu Berlin, Brandeis University - International Business School and Goethe University Frankfurt - Department of Finance
Downloads 293 (194,052)
Citation 3

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limit-order market, order submission, informed traders, market conditions

Automating Exchange Rate Target Zones: Intervention Via an Electronic Limit Order Book

CESifo Working Paper Series No. 2221
Number of pages: 48 Posted: 19 Feb 2008
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, Humboldt-Universität zu Berlin and Goethe University Frankfurt - Department of Finance
Downloads 148 (365,368)

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foreign exchange, microstructure, intervention, exchange rate

Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book

CESifo Working Paper Series No. 2656
Number of pages: 52 Posted: 27 May 2009
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, Humboldt-Universität zu Berlin and Goethe University Frankfurt - Department of Finance
Downloads 135 (393,387)
Citation 2

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exchange rates, intervention, microstructure

25.

Capital Market Integration and Consumption Risk Sharing Over the Long Run

Number of pages: 57 Posted: 16 Jan 2014 Last Revised: 20 Jan 2016
Jesper Rangvid, Pedro Santa-Clara and Maik Schmeling
Copenhagen Business School, Nova School of Business and Economics and Goethe University Frankfurt - Department of Finance
Downloads 281 (202,601)
Citation 4

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Market integration, Consumption risk sharing, International financial markets

26.

What do Professional Forecasters' Stock Market Expectations tell us about Herding, Information Extraction and Beauty Contests?

ZEW - Centre for European Economic Research Discussion Paper No. 09-042
Number of pages: 54 Posted: 20 Sep 2009 Last Revised: 22 Feb 2012
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 267 (213,304)
Citation 3

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Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity

27.

Whose Trades Convey Information? Evidence from a Cross-Section of Traders

Number of pages: 46 Posted: 01 Mar 2007
Lukas Menkhoff and Maik Schmeling
Humboldt-Universität zu Berlin and Goethe University Frankfurt - Department of Finance
Downloads 262 (217,387)
Citation 4

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Market microstructure, informed trading, trade size, foreign exchange

28.

Macro Expectations, Aggregate Uncertainty, and Expected Term Premia

Number of pages: 48 Posted: 30 Aug 2010 Last Revised: 06 May 2011
ZEW – Leibniz Centre for European Economic Research, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 209 (270,138)
Citation 6

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Bond Yields, Expectations Hypothesis, Time-Varying Risk Premia, Term Premia, Aggregate Uncertainty

29.

Trader See, Trader Do: How Do (Small) FX Traders React to Large Counterparties’ Trades?

Number of pages: 52 Posted: 30 Mar 2009 Last Revised: 25 Mar 2010
Lukas Menkhoff and Maik Schmeling
Humboldt-Universität zu Berlin and Goethe University Frankfurt - Department of Finance
Downloads 203 (277,408)
Citation 7

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Foreign exchange microstructure, order flow, informed traders, counterparty identity

30.

Long-run Consumption Risk and International Stock Returns: A Century of Evidence

Number of pages: 31 Posted: 29 Nov 2009 Last Revised: 30 Jan 2011
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 160 (342,266)

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International Asset Pricing, Long-run Consumption Risk, Capital Market Integration, Long Term Data

31.

Global Bank Lending and Exchange Rates

Number of pages: 60 Posted: 20 Dec 2023
Jonas Becker, Maik Schmeling and Andreas Schrimpf
Goethe Univeristy Frankfurt - Department of Finance, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 67 (621,480)

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Cross-currency lending, exchange rates, granular instrumental variable, CIP deviation

32.

Currency Value

CEPR Discussion Paper No. DP11324
Number of pages: 56 Posted: 13 Jun 2016
Humboldt-Universität zu Berlin, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 2 (1,125,006)
Citation 9
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Currency value, macro fundamentals, predictability, real exchange rate

33.

Deciphering Monetary Policy Shocks

CEPR Discussion Paper No. DP17295
Number of pages: 75 Posted: 27 May 2022
Vienna University of Economics and Business, Vienna Graduate School of Finance (VGSF), Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 0 (1,140,766)
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Asset Pricing, central bank communication, monetary policy shocks, textual analysis