Andreas Schrimpf

CREATES - Aarhus University

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

Bank for International Settlements (BIS) - Monetary and Economic Department

Centralbahnplatz 2

CH-4002 Basel

Switzerland

  • CREATES - Aarhus University

  • Bank for International Settlements (BIS) - Monetary and Economic Department

SCHOLARLY PAPERS

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Scholarly Papers (53)

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1.

Currency Momentum Strategies

Downloads 5,049 ( 2,160)
Citation 106

Currency Momentum Strategies

Number of pages: 86 Posted: 21 Apr 2011 Last Revised: 07 Nov 2011
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 4,453 (2,668)
Citation 5

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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
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 586 (59,955)
Citation 10

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

Currency Momentum Strategies

Number of pages: 90 Posted: 20 Jan 2012
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 10 (764,005)
Citation 33
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns

2.

Carry Trades and Global Foreign Exchange Volatility

Downloads 3,258 ( 4,630)
Citation 187

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
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 3,240 (4,586)
Citation 11

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F31, G12, G15

Carry Trades and Global Foreign Exchange Volatility

Number of pages: 95 Posted: 28 Mar 2011
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 18 (696,495)
Citation 50
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carry trade, forward premium puzzle, liquidity, volatility

3.

Common Risk Factors in International Stock Markets

Financial Markets and Portfolio Management, 2019, Volume 33, Issue 3, pp 213–241
Number of pages: 79 Posted: 12 Jan 2011 Last Revised: 13 Jan 2020
Peter Steffen Schmidt, Urs von Arx, Andreas Schrimpf, Andreas Schrimpf, Alexander F. Wagner and Andreas Ziegler
University of Zurich - Department of Business Administration, ETH Zürich, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University, University of Zurich - Department of Banking and Finance and University of Kassel
Downloads 2,710 (6,287)
Citation 42

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Risk factors; value; size; momentum; profitability; investment; international equity markets; asset pricing anomalies; trading costs

4.

Currency Value

Downloads 2,322 ( 8,050)
Citation 10

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 1,491 (16,099)
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
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 831 (37,667)
Citation 5

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Currency value, macro fundamentals, real exchange rate, predictability

5.

Covered Interest Parity Arbitrage

Downloads 1,369 ( 18,629)
Citation 31

Covered Interest Parity Arbitrage

Review of Financial Studies (forthcoming)
Number of pages: 116 Posted: 05 Dec 2016 Last Revised: 11 Jan 2022
Dagfinn Rime, Andreas Schrimpf, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Norges Bank
Downloads 1,082 (25,978)
Citation 21

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Covered interest parity; Money market segmentation; Funding liquidity; FX swap market; U.S. dollar funding

Segmented Money Markets and Covered Interest Parity Arbitrage

Norges Bank Working Paper 15/17; ISBN: 978-82-7553-995-1
Number of pages: 75 Posted: 24 Oct 2017
Dagfinn Rime, Andreas Schrimpf, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Norges Bank
Downloads 201 (195,941)
Citation 16

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Covered Interest Parity; Money Market Segmentation; Funding Liquidity Premia; FX Swap Market; U.S. Dollar Funding

Segmented Money Markets and Covered Interest Parity Arbitrage

BIS Working Paper No. 651
Number of pages: 81 Posted: 12 Jul 2017
Dagfinn Rime, Andreas Schrimpf, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Norges Bank
Downloads 82 (387,477)

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Covered interest parity, money market segmentation, funding liquidity premia, FX swap market, U.S. dollar funding

Covered Interest Parity Arbitrage

Number of pages: 105 Posted: 01 Apr 2019
Dagfinn Rime, Andreas Schrimpf, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Norges Bank
Downloads 4 (816,161)
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Covered Interest Parity, Funding Liquidity Premia, FX Swap Market, U.S. Dollar Funding

6.

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Downloads 1,151 ( 24,110)
Citation 11

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Number of pages: 45 Posted: 10 Jan 2011 Last Revised: 06 Mar 2012
Charlotte Christiansen, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 910 (33,201)
Citation 2

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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
Charlotte Christiansen, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 241 (164,685)
Citation 10

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

7.

International Diversification Benefits with Foreign Exchange Investment Styles

CREATES Research Paper No. 2011-10
Number of pages: 51 Posted: 21 Mar 2011 Last Revised: 18 Dec 2012
Tim Alexander Kroencke, Felix Schindler, Andreas Schrimpf and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Steinbeis University Berlin - Center for Real Estate Studies and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 759 (43,244)
Citation 10

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International Diversification, Foreign Exchange Speculation and Hedging, Carry Trades, Stochastic Dominance, Investment Styles

8.

The FOMC Risk Shift

Downloads 729 ( 45,641)
Citation 6

The FOMC Risk Shift

Number of pages: 87 Posted: 20 Nov 2017 Last Revised: 20 Jan 2021
Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 581 (60,582)
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
Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 146 (258,442)
Citation 2

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

The FOMC Risk Shift

Number of pages: 98 Posted: 07 Oct 2019
Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 2 (836,224)
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Equity premium, Fund flows, Monetary Policy Surprises, Portfolio rebalancing, Price pressure

9.

Beyond LIBOR: A Primer on the New Benchmark Rates

BIS Quarterly Review March 2019
Number of pages: 24 Posted: 07 Mar 2019
Andreas Schrimpf, Andreas Schrimpf and Vladyslav Sushko
Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 713 (47,106)
Citation 4

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10.

Dividend Predictability Around the World

Downloads 673 ( 50,825)
Citation 25

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, Andreas Schrimpf and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 528 (68,452)
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, Andreas Schrimpf and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 145 (259,956)
Citation 19

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

11.

When the Walk is Not Random: Commodity Prices and Exchange Rates

Downloads 635 ( 54,805)
Citation 2

When the Walk is Not Random: Commodity Prices and Exchange Rates

BIS Working Paper No. 551
Number of pages: 54 Posted: 08 Apr 2016
Emanuel Kohlscheen, Fernando H. Avalos, Andreas Schrimpf and Andreas Schrimpf
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 534 (67,451)
Citation 1

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commodities, exchange rates, interest rates

When the Walk is Not Random: Commodity Prices and Exchange Rates

International Journal of Central Banking, vol. 13(2), pages 121-158, June 2017
Number of pages: 38 Posted: 19 Mar 2021
Emanuel Kohlscheen, Fernando H. Avalos, Andreas Schrimpf and Andreas Schrimpf
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 101 (339,269)

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carry; commodities; exchange rate; export

12.

Global Asset Allocation Shifts

Downloads 585 ( 60,871)
Citation 5

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 452 (82,815)
Citation 6

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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
Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 133 (278,320)

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

13.

Size and Momentum Profitability in International Stock Markets

Downloads 569 ( 62,941)
Citation 3

Size and Momentum Profitability in International Stock Markets

Swiss Finance Institute Research Paper No. 15-29
Number of pages: 41 Posted: 21 Aug 2015 Last Revised: 11 Feb 2017
Peter Steffen Schmidt, Urs von Arx, Andreas Schrimpf, Andreas Schrimpf, Alexander F. Wagner and Andreas Ziegler
University of Zurich - Department of Business Administration, ETH Zürich, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University, University of Zurich - Department of Banking and Finance and University of Kassel
Downloads 569 (62,255)
Citation 3

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Size; momentum; international equity markets; asset pricing anomalies; trading costs

Size and Momentum Profitability in International Stock Markets

Number of pages: 108 Posted: 08 Sep 2015
Peter Steffen Schmidt, Andreas Schrimpf, Andreas Schrimpf, Urs von Arx, Alexander F. Wagner and Andreas Ziegler
University of Zurich - Department of Business Administration, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University, ETH Zürich, University of Zurich - Department of Banking and Finance and University of Kassel
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asset pricing anomalies, international equity markets, momentum, size, transaction costs

14.

Non-Monetary News in Central Bank Communication

Downloads 568 ( 63,091)
Citation 46

Non-Monetary News in Central Bank Communication

Number of pages: 80 Posted: 05 Aug 2019
Anna Cieslak, Andreas Schrimpf and Andreas Schrimpf
Duke University - Fuqua School of Business and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 537 (66,955)
Citation 25

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central bank communication, monetary policy shocks, yield curve, stock-bond comovement, central bank information effects, risk premia

Non-Monetary News in Central Bank Communication

BIS Working Paper No. 761
Number of pages: 59 Posted: 07 Jan 2019
Anna Cieslak, Andreas Schrimpf and Andreas Schrimpf
Duke University - Fuqua School of Business and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 24 (649,819)
Citation 13

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central bank communication, monetary policy shocks, yield curve, stock-bond comovement, central bank information effects, risk premia

Non-Monetary News in Central Bank Communication

NBER Working Paper No. w25032
Number of pages: 57 Posted: 17 Sep 2018 Last Revised: 25 Nov 2021
Anna Cieslak, Andreas Schrimpf and Andreas Schrimpf
Duke University - Fuqua School of Business and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 7 (790,346)
Citation 3

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15.

FX Strategies in Periods of Distress

BIS Quarterly Review, December 2011
Number of pages: 12 Posted: 05 Sep 2012
Jacob Gyntelberg, Andreas Schrimpf and Andreas Schrimpf
European Banking Authority and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 472 (79,255)

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16.

The Anatomy of the Global FX Market Through the Lens of the 2013 Triennial Survey

BIS Quarterly Review, December 2013
Number of pages: 18 Posted: 28 Apr 2014
Dagfinn Rime, Andreas Schrimpf and Andreas Schrimpf
BI Norwegian Business School and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 396 (97,334)
Citation 4

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17.

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, Andreas Schrimpf and Andreas Schrimpf
Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 386 (100,320)
Citation 7

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

18.

Has the Pricing of Stocks Become More Global?

Downloads 349 (112,285)
Citation 3

Has the Pricing of Stocks Become More Global?

Swiss Finance Institute Research Paper No. 15-48
Number of pages: 79 Posted: 19 Nov 2015 Last Revised: 14 Apr 2016
Ivan Petzev, Andreas Schrimpf, Andreas Schrimpf and Alexander F. Wagner
affiliation not provided to SSRN, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and University of Zurich - Department of Banking and Finance
Downloads 242 (164,014)
Citation 4

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International Asset Pricing, Size, Value, Momentum, Financial Integration, Factor Models

Has the Pricing of Stocks Become More Global?

BIS Working Paper No. 560
Number of pages: 82 Posted: 19 May 2016
Ivan Petzev, Andreas Schrimpf, Andreas Schrimpf and Alexander F. Wagner
affiliation not provided to SSRN, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and University of Zurich - Department of Banking and Finance
Downloads 107 (326,269)

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International asset pricing, size, value, momentum, financial integration, factor models

Has the Pricing of Stocks Become More Global?

Number of pages: 78 Posted: 01 Dec 2015
Ivan Petzev, Andreas Schrimpf, Andreas Schrimpf and Alexander F. Wagner
affiliation not provided to SSRN, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and University of Zurich - Department of Banking and Finance
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factor models, financial integration, international asset pricing, momentum, size, value

19.

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

Downloads 327 (120,662)
Citation 18

Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades

BIS Working Paper No. 405
Number of pages: 89 Posted: 12 Apr 2013
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 231 (171,624)
Citation 16

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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
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 96 (350,999)
Citation 3

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

20.

An Intermediation-Based Model of Exchange Rates

Downloads 297 (133,763)
Citation 10

An Intermediation-Based Model of Exchange Rates

Swiss Finance Institute Research Paper No. 18-14
Number of pages: 58 Posted: 06 Mar 2018 Last Revised: 01 Sep 2020
Semyon Malamud, Andreas Schrimpf and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 268 (148,124)
Citation 10

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Financial Intermediation, Exchange Rates, Currency Crashes, Uncovered Interest Parity, Covered Interest Parity

An Intermediation-Based Model of Exchange Rates

BIS Working Paper No. 743
Number of pages: 52 Posted: 30 Oct 2018
Semyon Malamud, Andreas Schrimpf and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 29 (614,085)

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financial intermediation, exchange rates, safe haven, covered interest

An Intermediation-Based Model of Exchange Rates

Number of pages: 86 Posted: 17 Sep 2018
Semyon Malamud, Andreas Schrimpf and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
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covered interest parity deviations, Exchange Rates, Financial Intermediation, safe haven

21.

The Response of Tail Risk Perceptions to Unconventional Monetary Policy

Downloads 294 (135,211)
Citation 37

The Response of Tail Risk Perceptions to Unconventional Monetary Policy

Number of pages: 52 Posted: 19 Feb 2015
Masazumi Hattori, Andreas Schrimpf, Andreas Schrimpf and Vladyslav Sushko
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 218 (181,534)
Citation 8

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Unconventional Monetary Policy, Risk-Taking Channel, Forward Guidance, Tail Risk, Event Study

The Response of Tail Risk Perceptions to Unconventional Monetary Policy

BIS Working Paper No. 425
Number of pages: 56 Posted: 27 Feb 2014
Masazumi Hattori, Andreas Schrimpf, Andreas Schrimpf and Vladyslav Sushko
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 76 (405,386)
Citation 13

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Unconventional monetary policy, Tail risk, Event study, Bayesian time-varying parameter VARs

22.

Evaluating Conditional Asset Pricing Models for the German Stock Market

ZEW - Centre for European Economic Research Discussion Paper No. 06-043
Number of pages: 45 Posted: 17 Jul 2006 Last Revised: 26 Aug 2008
Andreas Schrimpf, Andreas Schrimpf, Michael Schröder and Richard Stehle
Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University, ZEW – Leibniz Centre for European Economic Research - International Finance and Financial Management and Humboldt University of Berlin - School of Business and Economics
Downloads 292 (136,138)
Citation 4

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Asset Pricing, Conditioning Information, Hansen-Jagannathan Distance

23.

Hanging Up the Phone - Electronic Trading in Fixed Income Markets and its Implications

BIS Quarterly Review March 2016
Number of pages: 16 Posted: 09 Mar 2016
Morten L. Bech, Annamaria Illes, Ulf Lewrick, Andreas Schrimpf and Andreas Schrimpf
Bank for International Settlements (BIS) - Committee on Payments and Market Infrastructures, Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 271 (147,061)
Citation 3

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24.

Downsized FX Markets: Causes and Implications

BIS Quarterly Review December 2016
Number of pages: 17 Posted: 22 Dec 2016
Michael Moore, Andreas Schrimpf, Andreas Schrimpf and Vladyslav Sushko
University of Warwick - Warwick Business School, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 256 (155,696)
Citation 7

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25.

Scarcity Effects of QE: A Transaction-Level Analysis in the Bund Market

Downloads 250 (159,477)
Citation 11

Scarcity Effects of QE: A Transaction-Level Analysis in the Bund Market

Number of pages: 43 Posted: 21 Feb 2017
Kathi Schlepper, Heiko Hofer, Ryan Riordan, Andreas Schrimpf and Andreas Schrimpf
Deutsche Bundesbank, Deutsche Bundesbank, Queen's University - Smith School of Business and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 124 (293,592)
Citation 14

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Quantitative Easing, European Central Bank, Scarcity Channel, Bond Market Liquidity, High-Frequency Data

Scarcity Effects of QE: A Transaction-Level Analysis in the Bund Market

BIS Working Paper No. 625
Number of pages: 47 Posted: 29 Apr 2017
Kathi Schlepper, Heiko Hofer, Ryan Riordan, Andreas Schrimpf and Andreas Schrimpf
Deutsche Bundesbank, Deutsche Bundesbank, Queen's University - Smith School of Business and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 95 (353,221)

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Easing, European Central Bank, Scarcity Channel, Bond Market Liquidity, High-Frequency Data

Scarcity Effects of QE: A Transaction-Level Analysis in the Bund Market

Number of pages: 43 Posted: 24 Apr 2017
Kathi Schlepper, Heiko Hofer, Ryan Riordan, Andreas Schrimpf and Andreas Schrimpf
Deutsche Bundesbank, Deutsche Bundesbank, Queen's University - Smith School of Business and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 31 (601,079)

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Quantitative Easing, European Central Bank, Scarcity Channel, Bond Market Liquidity, High-Frequency Data

26.

Policy Announcement Design

Swiss Finance Institute Research Paper No. 20-17
Number of pages: 61 Posted: 08 Jan 2020 Last Revised: 06 Aug 2020
Anna Cieslak, Semyon Malamud, Andreas Schrimpf and Andreas Schrimpf
Duke University - Fuqua School of Business, Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 236 (168,541)

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Central Bank Announcements, Learning, Bayesian Persuasion, Information Design

27.

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, Andreas Schrimpf and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 228 (174,255)
Citation 3

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Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity

28.

Monetary Policy Expectation Errors

Number of pages: 73 Posted: 08 Apr 2020 Last Revised: 13 Apr 2021
Maik Schmeling, Andreas Schrimpf, Andreas Schrimpf and Sigurd Steffensen
Goethe University Frankfurt - Department of Finance, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Danmarks Nationalbank (central bank of Denmark)
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Fed funds futures, overnight index swaps, forecast evaluation, expectation formation, monetary policy

29.

Leverage and Margin Spirals in Fixed Income Markets during the COVID-19 Crisis

Number of pages: 8 Posted: 13 Jan 2021
Andreas Schrimpf, Andreas Schrimpf, Hyun Song Shin and Vladyslav Sushko
Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 202 (196,921)
Citation 26

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30.

Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns

ZEW - Centre for European Economic Research Discussion Paper No. 06-032
Number of pages: 38 Posted: 23 May 2006 Last Revised: 26 Aug 2008
Joachim Grammig, Andreas Schrimpf and Andreas Schrimpf
University of Tuebingen and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 194 (202,412)

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Consumption-Based Asset Pricing, Cross-Section of Stock Returns, Reference Level

31.

Sizing Up Global Foreign Exchange Markets

BIS Quarterly Review, December 2019
Number of pages: 18 Posted: 17 Dec 2019
Andreas Schrimpf, Andreas Schrimpf and Vladyslav Sushko
Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 190 (206,242)
Citation 1

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32.

Monetary Shocks at High-Frequency and Their Changing FX Transmission Around the Globe

Number of pages: 67 Posted: 01 Sep 2016
Massimo Ferrari, Jonathan Kearns, Andreas Schrimpf and Andreas Schrimpf
Catholic University of Milan, Students, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 183 (213,202)
Citation 3

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Exchange Rates, Unconventional Monetary Policy, Forward Guidance, Event Study, High Frequency Data

33.

Intermediation Markups and Monetary Policy Passthrough

Swiss Finance Institute Research Paper No. 16-75
Number of pages: 61 Posted: 14 Dec 2016 Last Revised: 01 Oct 2017
Semyon Malamud, Andreas Schrimpf and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 181 (215,250)
Citation 4

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Monetary Policy, Stock Returns, Intermediation, Market Frictions

34.

International Stock Return Predictability under Model Uncertainty

Journal of International Money and Finance (forthcoming)
Number of pages: 46 Posted: 07 Aug 2008 Last Revised: 03 Mar 2010
Andreas Schrimpf and Andreas Schrimpf
Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 172 (224,815)
Citation 5

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Stock Return Predictability, Bayesian Model Averaging, Model Uncertainty, International Stock Markets

35.

Macro Expectations, Aggregate Uncertainty, and Expected Term Premia

Number of pages: 48 Posted: 30 Aug 2010 Last Revised: 06 May 2011
Christian David Dick, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
ZEW – Leibniz Centre for European Economic Research, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 168 (229,397)
Citation 6

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

36.

Explaining Monetary Spillovers: The Matrix Reloaded

Downloads 165 (232,902)
Citation 6

Explaining Monetary Spillovers: The Matrix Reloaded

Number of pages: 64 Posted: 29 Mar 2018
Jonathan Kearns, Andreas Schrimpf, Andreas Schrimpf and Fan Dora Xia
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 93 (358,231)
Citation 7

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Monetary Policy Spillovers; High-Frequency Data; Financial Integration

Explaining Monetary Spillovers: The Matrix Reloaded

BIS Working Paper No. 757
Number of pages: 67 Posted: 07 Jan 2019
Jonathan Kearns, Andreas Schrimpf, Andreas Schrimpf and Fan Dora Xia
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Bank for International Settlements (BIS) - Monetary and Economic Department
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monetary policy spillovers, high-frequency data, financial integration

Explaining Monetary Spillovers: The Matrix Reloaded

Number of pages: 73 Posted: 28 Jul 2020 Last Revised: 16 Aug 2020
Jonathan Kearns, Andreas Schrimpf, Andreas Schrimpf and Fan Dora Xia
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Bank for International Settlements (BIS) - Monetary and Economic Department
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Financial Integration, high-frequency data, monetary policy spillovers

37.

Monetary Policy's Rising FX Impact in the Era of Ultra-Low Rates

Downloads 159 (240,246)
Citation 14

Monetary Policy's Rising FX Impact in the Era of Ultra-Low Rates

Number of pages: 76 Posted: 16 Feb 2017
Massimo Ferrari, Jonathan Kearns, Andreas Schrimpf and Andreas Schrimpf
Catholic University of Milan, Students, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 96 (350,999)
Citation 15

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Exchange Rates, Unconventional Monetary Policy, Forward Guidance, Event Study, High Frequency Data

Monetary Policy's Rising FX Impact in the Era of Ultra-Low Rates

BIS Working Paper No. 626
Number of pages: 55 Posted: 29 Apr 2017
Massimo Ferrari, Jonathan Kearns, Andreas Schrimpf and Andreas Schrimpf
Università Cattolica del Sacro Cuore (UCSC), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 63 (449,151)

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Rates, Unconventional Monetary Policy, Forward Guidance, Event Study, High Frequency Data

Monetary Policy's Rising FX Impact in the Era of Ultra-Low Rates

Number of pages: 79 Posted: 20 Mar 2017
Massimo Ferrari, Jonathan Kearns, Andreas Schrimpf and Andreas Schrimpf
Catholic University of Milan, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
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Citation 1
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event study, Exchange Rates, forward guidance, High Frequency Data, Unconventional Monetary Policy

38.

Optimal Transport of Information

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Citation 1

Optimal Transport of Information

Swiss Finance Institute Research Paper No. 21-15
Number of pages: 72 Posted: 23 Feb 2021 Last Revised: 08 Mar 2021
Semyon Malamud, Anna Cieslak, Andreas Schrimpf and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne, Duke University - Fuqua School of Business and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 148 (255,668)
Citation 1

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Bayesian Persuasion, Information Design, Signalling, Optimal Transport

Optimal Transport of Information

Number of pages: 73 Posted: 01 Mar 2021 Last Revised: 15 Mar 2021
Anna Cieslak, Semyon Malamud, Andreas Schrimpf and Andreas Schrimpf
Duke University - Fuqua School of Business, Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
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39.

Long-Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence

Paris December 2008 Finance International Meeting Paper
Number of pages: 36 Posted: 23 Oct 2008 Last Revised: 26 Oct 2009
Joachim Grammig, Andreas Schrimpf, Andreas Schrimpf and Michael Schuppli
University of Tuebingen, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and University of Muenster
Downloads 135 (274,123)

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Consumption-based Asset Pricing, Long-Run Consumption Risk, Value Puzzle, International Stock Markets

40.

FX Trade Execution: Complex and Highly Fragmented

BIS Quarterly Review, December 2019
Number of pages: 13 Posted: 17 Dec 2019
Andreas Schrimpf, Andreas Schrimpf and Vladyslav Sushko
Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 133 (277,235)
Citation 2

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41.

Online Appendix: International Diversification Benefits with Foreign Exchange Investment Styles

Number of pages: 40 Posted: 18 Dec 2012
Tim Alexander Kroencke, Felix Schindler, Andreas Schrimpf and Andreas Schrimpf
University of Neuchatel - Institute of Financial Analysis, Steinbeis University Berlin - Center for Real Estate Studies and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 132 (278,785)

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International Diversification, Foreign Exchange Speculation and Hedging, Carry Trades, Stochastic Dominance, Investment Styles

42.

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, Andreas Schrimpf and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 128 (285,279)

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

43.

Peso Problems in the Estimation of the C-CAPM

Quantitative Economics (accepted for publication)
Number of pages: 56 Posted: 10 Jul 2012 Last Revised: 24 Jun 2021
Juan Carlos Parra-Alvarez, Olaf Posch, Andreas Schrimpf and Andreas Schrimpf
Aarhus University - CREATES, Universität Hamburg, Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 127 (286,958)
Citation 2

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Rare disasters, Asset pricing errors, C-CAPM

44.

Non-bank financial intermediaries and financial stability

Number of pages: 48 Posted: 18 Nov 2021
Sirio Aramonte, Andreas Schrimpf, Andreas Schrimpf and Hyun Song Shin
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and Bank for International Settlements (BIS)
Downloads 89 (372,857)

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Financial intermediation, non-banks, market-based finance, market liquidity, systemic risk

45.

Debt De-Risking

Downloads 84 (378,232)

Debt De-Risking

BIS Working Paper No. 868
Number of pages: 44 Posted: 09 Jun 2020
Jannic Cutura, Gianpaolo Parise, Andreas Schrimpf and Andreas Schrimpf
Goethe University Frankfurt, House of Finance (HoF), Graduate School of Economics, Finance and Management (GSEFM), Students, EDHEC Business School and CEPR and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
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corporate bond funds, bond market liquidity, asset managers, risk-taking, competitive pressures

Debt De-risking

Number of pages: 54 Posted: 12 Jun 2020 Last Revised: 27 Sep 2021
Gianpaolo Parise, Jannic Cutura, Andreas Schrimpf and Andreas Schrimpf
EDHEC Business School and CEPR, Goethe University Frankfurt, House of Finance (HoF), Graduate School of Economics, Finance and Management (GSEFM), Students and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
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Bond mutual funds, liquidity, tournaments, risk, swing pricing

Debt De-Risking

Number of pages: 45 Posted: 03 Jun 2020 Last Revised: 16 Aug 2020
Gianpaolo Parise, Andreas Schrimpf and Andreas Schrimpf
EDHEC Business School and CEPR and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
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bonds, De-risking, liquidity, Mutual funds, swing pricing, tournaments

46.

Constrained Dealers and Market Efficiency

University of St.Gallen, School of Finance Research Paper No. 2021/16
Number of pages: 56 Posted: 05 Nov 2021 Last Revised: 20 Dec 2021
Wenqian Huang, Angelo Ranaldo, Andreas Schrimpf, Andreas Schrimpf and Fabricius Somogyi
Bank for International Settlements, University of St. Gallen, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and University of St. Gallen
Downloads 81 (400,877)

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Market Efficiency, Dealer Constraints, Foreign Exchange, Liquidity Provision.

47.

Persuasion by Dimension Reduction

Swiss Finance Institute Research Paper No. 21-69
Number of pages: 107 Posted: 22 Oct 2021 Last Revised: 26 Oct 2021
Semyon Malamud, Andreas Schrimpf and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 31 (585,902)

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Bayesian Persuasion, Information Design, Signalling, Learning

48.

Liquidity Management and Asset Sales by Bond Funds in the Face of Investor Redemptions in March 2020

Number of pages: 8 Posted: 29 Mar 2021
Andreas Schrimpf, Andreas Schrimpf, Ilhyock Shim and Hyun Song Shin
Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 30 (591,813)
Citation 3

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49.

Monetary Policy's Rising FX Impact in the Era of Ultra-Low Rates: Supplementary Internet Appendix

BIS Working Paper No. 626 Appendix
Number of pages: 24 Posted: 29 Apr 2017
Massimo Ferrari, Jonathan Kearns, Andreas Schrimpf and Andreas Schrimpf
Università Cattolica del Sacro Cuore (UCSC), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 28 (604,110)

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50.

Cross-Sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market

European Financial Management, Vol. 13, No. 5, pp. 880-907, November 2007
Number of pages: 28 Posted: 26 Oct 2007
Andreas Schrimpf, Andreas Schrimpf, Michael Schröder and Richard Stehle
Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University, ZEW – Leibniz Centre for European Economic Research - International Finance and Financial Management and Humboldt University of Berlin - School of Business and Economics
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Citation 2
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51.

Currency Value

Number of pages: 56 Posted: 13 Jun 2016
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf and Andreas Schrimpf
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 2 (800,927)
Citation 9
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Currency value, macro fundamentals, predictability, real exchange rate

52.

Peso Problems in the Estimation of the C-CAPM

Number of pages: 59 Posted: 14 Jul 2021
Juan Carlos Parra-Alvarez, Olaf Posch, Andreas Schrimpf and Andreas Schrimpf
Aarhus University, Universität Hamburg, Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
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53.

Intermediation Markups and Monetary Policy Pass-Through

Number of pages: 79 Posted: 22 Jan 2018
Semyon Malamud, Andreas Schrimpf and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
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