Andreas Schrimpf

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

Centralbahnplatz 2

CH-4002 Basel

Switzerland

CREATES - Aarhus University

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

54

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690

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846

Scholarly Papers (54)

1.
Downloads 5,239 ( 2,246)
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 4,623 (2,787)
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 606 (62,408)
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
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 (821,356)
Citation 33
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns

2.
Downloads 3,335 ( 4,949)
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 3,317 (4,909)
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
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 (743,433)
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 2,884 (6,305)
Citation 42

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

4.
Downloads 2,454 ( 8,113)
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 1,611 (15,646)
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 843 (40,362)
Citation 5

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Currency value, macro fundamentals, real exchange rate, predictability

5.
Downloads 1,673 ( 15,055)
Citation 32

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 1,358 (20,248)
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 219 (194,596)
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 92 (385,904)

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

Covered Interest Parity Arbitrage

CEPR Discussion Paper No. DP13637
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 (888,754)
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Covered Interest Parity, Funding Liquidity Premia, FX Swap Market, U.S. Dollar Funding

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 919 (35,805)
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 250 (171,077)
Citation 10

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

7.
Downloads 980 ( 33,164)
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 793 (43,842)
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 185 (226,954)
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
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 (916,852)
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Equity premium, Fund flows, Monetary Policy Surprises, Portfolio rebalancing, Price pressure

8.

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)
Downloads 841 (41,084)
Citation 4

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9.

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 769 (46,257)
Citation 10

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

10.
Downloads 695 ( 53,010)
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 549 (70,748)
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 146 (277,301)
Citation 19

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

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 539 (72,430)
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 142 (283,471)

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carry; commodities; exchange rate; export

12.
Downloads 606 ( 63,155)
Citation 6

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 461 (87,764)
Citation 7

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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 145 (278,846)

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

13.
Downloads 590 ( 65,317)
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 559 (69,140)
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 (692,483)
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: 26 May 2022
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 (853,840)
Citation 3

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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 576 (66,596)
Citation 3

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

Size and Momentum Profitability in International Stock Markets

CEPR Discussion Paper No. DP10804
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

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 494 (81,499)

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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 420 (98,883)
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 395 (105,870)
Citation 7

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

18.
Downloads 356 (119,022)
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 249 (171,726)
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 (349,431)

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

Has the Pricing of Stocks Become More Global?

CEPR Discussion Paper No. DP10966
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

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 239 (178,814)
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 104 (356,305)
Citation 3

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

20.
Downloads 315 (135,622)
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 280 (152,580)
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 35 (614,939)

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financial intermediation, exchange rates, safe haven, covered interest

An Intermediation-Based Model of Exchange Rates

CEPR Discussion Paper No. DP13182
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.

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)
Downloads 307 (139,446)
Citation 35

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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)
Downloads 224 (190,253)
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)
Downloads 80 (420,430)
Citation 13

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

23.

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 294 (145,798)
Citation 4

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Asset Pricing, Conditioning Information, Hansen-Jagannathan Distance

24.

Monetary Policy Expectation Errors

Number of pages: 80 Posted: 08 Apr 2020 Last Revised: 04 Feb 2022
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)
Downloads 291 (147,420)

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

25.

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 289 (148,535)
Citation 3

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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 286 (150,079)

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Central Bank Announcements, Learning, Bayesian Persuasion, Information Design

27.

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)
Downloads 283 (151,705)
Citation 7

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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 129 (305,388)
Citation 13

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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 110 (342,848)

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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

Bundesbank Discussion Paper No. 06/2017
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 33 (627,591)

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

29.

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)
Downloads 254 (169,070)
Citation 1

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30.

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 236 (181,463)
Citation 3

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Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity

31.

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 200 (211,884)
Citation 3

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

32.

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 196 (215,776)

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

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 187 (224,816)
Citation 4

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Monetary Policy, Stock Returns, Intermediation, Market Frictions

34.
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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 103 (358,602)
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

CEPR Discussion Paper No. DP15006
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

35.

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 175 (238,035)
Citation 5

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

Non-Bank Financial Intermediaries and Financial Stability

Number of pages: 50 Posted: 18 Nov 2021 Last Revised: 10 May 2022
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 173 (240,611)

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

Non-Bank Financial Intermediaries and Financial Stability

CEPR Discussion Paper No. DP16962
Number of pages: 50 Posted: 04 Feb 2022
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)
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Financial Intermediation, market liquidity, market-based finance, Non-banks, systemic risk

37.

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)
Downloads 173 (240,367)
Citation 2

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38.

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 173 (240,367)
Citation 6

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

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 100 (365,817)
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
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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

CEPR Discussion Paper No. DP11918
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

40.
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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 159 (258,621)
Citation 1

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Bayesian Persuasion, Information Design, Signalling, Optimal Transport

Optimal Transport of Information

CEPR Discussion Paper No. DP15859
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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41.

Constrained Dealers and Market Efficiency

University of St.Gallen, School of Finance Research Paper No. 2021/16
Number of pages: 58 Posted: 05 Nov 2021 Last Revised: 06 Apr 2022
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 145 (277,949)

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

42.

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 136 (292,156)

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

43.

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 135 (293,795)

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

44.

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 131 (300,567)
Citation 2

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Rare disasters, Asset pricing errors, C-CAPM

45.

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 129 (304,125)

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

46.
Downloads 113 (334,464)

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

CEPR Discussion Paper No. DP14817
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

47.

Global Production Linkages and Stock Market Comovement

Swiss Finance Institute Research Paper No. 22-18
Number of pages: 50 Posted: 23 Feb 2022 Last Revised: 25 Feb 2022
Raphael Auer, Bruce Iwadate, Andreas Schrimpf, Andreas Schrimpf and Alexander F. Wagner
Bank for International Settlements (BIS), Baruch College, City University of New York, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and University of Zurich - Department of Banking and Finance
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financial integration, global value chains, international asset pricing, international trade, real integration, spillovers, stock market comovement, supply chains

48.

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 94 (377,598)

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Bayesian Persuasion, Information Design, Signalling, Learning

49.

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 39 (578,684)
Citation 2

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50.

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
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51.

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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52.

Currency Value

CEPR Discussion Paper No. DP11324
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 (878,965)
Citation 9
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Currency value, macro fundamentals, predictability, real exchange rate

53.

Peso Problems in the Estimation of the C-CAPM

CEPR Discussion Paper No. DP16299
Number of pages: 59 Posted: 14 Jul 2021
Juan Carlos Parra-Alvarez, Olaf Posch, Andreas Schrimpf and Andreas Schrimpf
Aalborg University Business School, Universität Hamburg, Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
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54.

Intermediation Markups and Monetary Policy Pass-Through

CEPR Discussion Paper No. DP12623
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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