Andreas Schrimpf

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

Centralbahnplatz 2

CH-4002 Basel

Switzerland

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

SCHOLARLY PAPERS

47

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798

Scholarly Papers (47)

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1.

Currency Momentum Strategies

Downloads 4,729 ( 2,016)
Citation 93

Currency Momentum Strategies

Number of pages: 86 Posted: 21 Apr 2011 Last Revised: 07 Nov 2011
Lukas Menkhoff, Lucio Sarno, Maik Schmeling 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 Department
Downloads 4,165 (2,503)
Citation 4

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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 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 Department
Downloads 554 (56,347)
Citation 11

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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 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 Department
Downloads 10 (689,787)
Citation 27
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Carry Trades, Idiosyncratic Volatility, Limits to Arbitrage, Momentum Returns

2.

Carry Trades and Global Foreign Exchange Volatility

Downloads 3,115 ( 4,149)
Citation 177

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 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 Department
Downloads 3,098 (4,107)
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 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 Department
Downloads 17 (635,216)
Citation 43
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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, Alexander F. Wagner and Andreas Ziegler
University of Zurich - Department of Banking and Finance, ETH Zürich, Bank for International Settlements (BIS) - Monetary and Economic Department, University of Zurich - Department of Banking and Finance and University of Kassel
Downloads 2,477 (6,100)
Citation 39

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

4.

Currency Value

Downloads 2,099 ( 8,067)
Citation 10

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
Lukas Menkhoff, Lucio Sarno, Maik Schmeling 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 Department
Downloads 1,282 (17,335)
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 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 Department
Downloads 817 (33,449)
Citation 5

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Currency value, macro fundamentals, real exchange rate, predictability

5.

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Downloads 1,125 ( 21,495)
Citation 7

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 and Andreas Schrimpf
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 902 (29,205)
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 and Andreas Schrimpf
Aarhus University - CREATES, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 223 (157,308)
Citation 5

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

6.

Covered Interest Parity Arbitrage

Downloads 1,108 ( 21,954)
Citation 25

Covered Interest Parity Arbitrage

Number of pages: 101 Posted: 05 Dec 2016 Last Revised: 02 Jul 2020
Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 903 (29,118)
Citation 22

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Covered Interest Parity, Money Market Segmentation, Funding Liquidity Risk Premia, FX Swap Market, US 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 and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 122 (264,826)
Citation 9

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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 and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 79 (354,191)

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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 and Olav Syrstad
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank
Downloads 4 (737,808)
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Covered Interest Parity, Funding Liquidity Premia, FX Swap Market, U.S. Dollar Funding

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 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 Department
Downloads 752 (37,967)
Citation 5

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

8.

Dividend Predictability Around the World

Downloads 655 ( 45,858)
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 and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 514 (61,759)
Citation 10

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

Dividend Predictability around the World

Number of pages: 44 Posted: 05 Mar 2010 Last Revised: 02 Oct 2012
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 141 (236,331)
Citation 19

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

9.

Global Asset Allocation Shifts

Downloads 544 ( 58,187)
Citation 4

Global Asset Allocation Shifts

Number of pages: 68 Posted: 26 Mar 2015
Tim Alexander Kroencke, Maik Schmeling 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 Department
Downloads 430 (76,979)
Citation 5

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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 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 Department
Downloads 114 (278,212)

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

10.

Size and Momentum Profitability in International Stock Markets

Downloads 543 ( 58,304)
Citation 2

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, Alexander F. Wagner and Andreas Ziegler
University of Zurich - Department of Banking and Finance, ETH Zürich, Bank for International Settlements (BIS) - Monetary and Economic Department, University of Zurich - Department of Banking and Finance and University of Kassel
Downloads 543 (57,643)
Citation 2

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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, Urs von Arx, Alexander F. Wagner and Andreas Ziegler
University of Zurich - Department of Banking and Finance, Bank for International Settlements (BIS) - Monetary and Economic Department, 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

11.

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 and Andreas Schrimpf
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 510 (63,069)
Citation 1

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commodities, exchange rates, interest rates

12.

Non-Monetary News in Central Bank Communication

Downloads 503 ( 64,191)
Citation 32

Non-Monetary News in Central Bank Communication

Number of pages: 80 Posted: 05 Aug 2019
Anna Cieslak and Andreas Schrimpf
Duke University - Fuqua School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 477 (67,842)
Citation 20

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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 and Andreas Schrimpf
Duke University - Fuqua School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 21 (606,045)
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
Anna Cieslak and Andreas Schrimpf
Duke University - Fuqua School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 5 (729,531)

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13.

FX Strategies in Periods of Distress

BIS Quarterly Review, December 2011
Number of pages: 12 Posted: 05 Sep 2012
Jacob Gyntelberg and Andreas Schrimpf
Nordea Group and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 451 (73,664)

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14.

The FOMC Risk Shift

Downloads 449 ( 73,850)
Citation 4

The FOMC Risk Shift

Number of pages: 87 Posted: 20 Nov 2017 Last Revised: 20 Jan 2021
Tim Alexander Kroencke, Maik Schmeling 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 Department
Downloads 447 (73,537)
Citation 5

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

The FOMC Risk Shift

CEPR Discussion Paper No. DP14037
Number of pages: 98 Posted: 07 Oct 2019
Tim Alexander Kroencke, Maik Schmeling 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 Department
Downloads 2 (758,074)
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Equity premium, Fund flows, Monetary Policy Surprises, Portfolio rebalancing, Price pressure

15.

Beyond LIBOR: A Primer on the New Benchmark Rates

BIS Quarterly Review March 2019
Number of pages: 24 Posted: 07 Mar 2019
Andreas Schrimpf and Vladyslav Sushko
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 431 (78,608)
Citation 2

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16.

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

SFB 649 Discussion Paper 2008-036
Number of pages: 42 Posted: 27 May 2008 Last Revised: 17 Jan 2010
Maik Schmeling and Andreas Schrimpf
Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 378 (90,331)
Citation 4

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

17.

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 and Andreas Schrimpf
BI Norwegian Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 354 (97,391)
Citation 4

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18.

Has the Pricing of Stocks Become More Global?

Downloads 333 (104,348)
Citation 2

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 and Alexander F. Wagner
affiliation not provided to SSRN, Bank for International Settlements (BIS) - Monetary and Economic Department and University of Zurich - Department of Banking and Finance
Downloads 235 (149,472)
Citation 3

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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 and Alexander F. Wagner
affiliation not provided to SSRN, Bank for International Settlements (BIS) - Monetary and Economic Department and University of Zurich - Department of Banking and Finance
Downloads 98 (309,100)

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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 and Alexander F. Wagner
affiliation not provided to SSRN, Bank for International Settlements (BIS) - Monetary and Economic Department 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 290 (121,081)
Citation 14

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 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 Department
Downloads 216 (162,150)
Citation 11

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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 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 Department
Downloads 74 (368,042)
Citation 3

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

20.

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, Michael Schröder and Richard Stehle
Bank for International Settlements (BIS) - Monetary and Economic Department, ZEW – Leibniz Centre for European Economic Research - International Finance and Financial Management and Humboldt University of Berlin - School of Business and Economics
Downloads 288 (121,967)
Citation 4

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Asset Pricing, Conditioning Information, Hansen-Jagannathan Distance

21.

The Response of Tail Risk Perceptions to Unconventional Monetary Policy

Downloads 270 (130,617)
Citation 30

The Response of Tail Risk Perceptions to Unconventional Monetary Policy

Number of pages: 52 Posted: 19 Feb 2015
Masazumi Hattori, Andreas Schrimpf and Vladyslav Sushko
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 204 (171,389)
Citation 3

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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 and Vladyslav Sushko
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 66 (392,302)
Citation 10

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

22.

An Intermediation-Based Model of Exchange Rates

Downloads 252 (141,247)
Citation 9

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 and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 226 (155,882)
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 and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 26 (577,776)

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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 and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
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covered interest parity deviations, Exchange Rates, Financial Intermediation, safe haven

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 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 Department
Downloads 240 (146,942)
Citation 3

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24.

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

ZEW - Centre for European Economic Research Discussion Paper No. 09-042
Number of pages: 54 Posted: 20 Sep 2009 Last Revised: 22 Feb 2012
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 223 (157,704)
Citation 4

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Higher-Order Expectations, Stock Market Forecasts, Forecaster Heterogeneity

25.

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

Downloads 219 (160,398)
Citation 12

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 and Andreas Schrimpf
Deutsche Bundesbank, Deutsche Bundesbank, Queen's University - Smith School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 117 (273,067)
Citation 15

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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 and Andreas Schrimpf
Deutsche Bundesbank, Deutsche Bundesbank, Queen's University - Smith School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 76 (362,469)

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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 and Andreas Schrimpf
Deutsche Bundesbank, Deutsche Bundesbank, Queen's University - Smith School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 26 (570,965)

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

26.

Downsized FX Markets: Causes and Implications

BIS Quarterly Review December 2016
Number of pages: 17 Posted: 22 Dec 2016
Michael Moore, Andreas Schrimpf and Vladyslav Sushko
University of Warwick - Warwick Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 218 (161,089)
Citation 6

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27.

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 and Andreas Schrimpf
Eberhard Karls Universität Tübingen and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 191 (182,187)

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

28.

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
Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 167 (205,977)
Citation 4

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

29.

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 and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 165 (210,263)
Citation 3

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Monetary Policy, Stock Returns, Intermediation, Market Frictions

30.

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 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 Department
Downloads 162 (211,359)
Citation 3

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

31.

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 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 Department
Downloads 162 (210,263)
Citation 5

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

32.

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

Downloads 139 (238,433)
Citation 11

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 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 Department
Downloads 79 (354,191)
Citation 12

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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 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 Department
Downloads 60 (412,252)

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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 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 Department
Downloads 0
Citation 1
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event study, Exchange Rates, forward guidance, High Frequency Data, Unconventional Monetary Policy

33.

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 and Andreas Schrimpf
Duke University - Fuqua School of Business, Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
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Central Bank Announcements, Learning, Bayesian Persuasion, Information Design

34.

Explaining Monetary Spillovers: The Matrix Reloaded

Downloads 134 (245,549)
Citation 4

Explaining Monetary Spillovers: The Matrix Reloaded

Number of pages: 64 Posted: 29 Mar 2018
Jonathan Kearns, Andreas Schrimpf and Fan Dora Xia
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 74 (368,042)
Citation 4

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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 and Fan Dora Xia
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 59 (415,801)

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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 and Fan Dora Xia
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
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Financial Integration, high-frequency data, monetary policy spillovers

35.

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 and Michael Schuppli
Eberhard Karls Universität Tübingen, Bank for International Settlements (BIS) - Monetary and Economic Department and University of Muenster
Downloads 131 (249,856)

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

36.

Online Appendix: International Diversification Benefits with Foreign Exchange Investment Styles

Number of pages: 40 Posted: 18 Dec 2012
Tim Alexander Kroencke, Felix Schindler 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 Department
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International Diversification, Foreign Exchange Speculation and Hedging, Carry Trades, Stochastic Dominance, Investment Styles

37.

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

Number of pages: 31 Posted: 29 Nov 2009 Last Revised: 30 Jan 2011
Jesper Rangvid, Maik Schmeling and Andreas Schrimpf
Copenhagen Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 126 (257,293)

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

38.

Peso Problems in the Estimation of the C-CAPM

CREATES Research Paper No. 2012-32
Number of pages: 45 Posted: 10 Jul 2012 Last Revised: 31 Oct 2019
Olaf Posch and Andreas Schrimpf
Universität Hamburg, Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 94 (315,251)
Citation 2

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Rare disasters, Asset pricing errors, C-CAPM

39.

Sizing Up Global Foreign Exchange Markets

BIS Quarterly Review, December 2019
Number of pages: 18 Posted: 17 Dec 2019
Andreas Schrimpf and Vladyslav Sushko
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 88 (328,777)
Citation 1

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40.

Monetary Policy Expectation Errors

Number of pages: 75 Posted: 08 Apr 2020
Maik Schmeling, Andreas Schrimpf and Sigurd Steffensen
Goethe University Frankfurt - Department of Finance, Bank for International Settlements (BIS) - Monetary and Economic Department and Danmarks Nationalbank (central bank of Denmark)
Downloads 77 (358,709)

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Federal Funds Futures, Overnight Index Swaps, Expectation Errors, Monetary Policy, Financial Crises

41.

FX Trade Execution: Complex and Highly Fragmented

BIS Quarterly Review, December 2019
Number of pages: 13 Posted: 17 Dec 2019
Andreas Schrimpf and Vladyslav Sushko
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 59 (409,910)
Citation 1

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42.

Debt De-Risking

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Debt De-Risking

BIS Working Paper No. 868
Number of pages: 44 Posted: 09 Jun 2020
Jannic Cutura, Gianpaolo Parise 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 Department
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corporate bond funds, bond market liquidity, asset managers, risk-taking, competitive pressures

Debt De-risking

Number of pages: 42 Posted: 12 Jun 2020
Gianpaolo Parise, Jannic Cutura 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 Department
Downloads 18 (627,981)

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De-risking, bonds, mutual funds, tournaments, liquidity, 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 and Andreas Schrimpf
EDHEC Business School and CEPR and Bank for International Settlements (BIS) - Monetary and Economic Department
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bonds, De-risking, liquidity, Mutual funds, swing pricing, tournaments

43.

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 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 Department
Downloads 24 (567,448)

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44.

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, Michael Schröder and Richard Stehle
Bank for International Settlements (BIS) - Monetary and Economic Department, 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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45.

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

Number of pages: 8 Posted: 13 Jan 2021
Andreas Schrimpf, Hyun Song Shin and Vladyslav Sushko
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
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46.

Currency Value

CEPR Discussion Paper No. DP11324
Number of pages: 56 Posted: 13 Jun 2016
Lukas Menkhoff, Lucio Sarno, Maik Schmeling 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 Department
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Citation 6
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Currency value, macro fundamentals, predictability, real exchange rate

47.

Intermediation Markups and Monetary Policy Pass-Through

CEPR Discussion Paper No. DP12623
Number of pages: 79 Posted: 22 Jan 2018
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
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