Details about Maik Schmeling

Access statistics for papers by Maik Schmeling.

Last updated 2023-09-08. Update your information in the RePEc Author Service.

Short-id: psc117

Working Papers

2023

1. Crypto carry
   BIS Working Papers, Bank for International Settlements

2022

2. Deciphering Monetary Policy Shocks
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
3. Foreign exchange intervention: A new database
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2020) View citations (1)
   Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel) (2020) View citations (1)
4. Monetary policy expectation errors
   BIS Working Papers, Bank for International Settlements View citations (13)
   See also Journal Article Monetary policy expectation errors, Journal of Financial Economics, Elsevier (2022) View citations (2) (2022)
5. What moves markets?
   Discussion Papers, Deutsche Bundesbank

2021

6. Exchange Rates and Sovereign Risk
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Exchange Rates and Sovereign Risk, Management Science, INFORMS (2022) View citations (9) (2022)
7. Non-performing loans - new risks and policies? NPL resolution after COVID-19: Main differences to previous crises
   SAFE White Paper Series, Leibniz Institute for Financial Research SAFE View citations (2)
8. Short-term Momentum
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   See also Journal Article Short-term Momentum, The Review of Financial Studies, Society for Financial Studies (2022) View citations (3) (2022)
9. The FOMC risk shift
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (13)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (14)
   See also Journal Article The FOMC Risk Shift, Journal of Monetary Economics, Elsevier (2021) View citations (8) (2021)

2019

10. Does Central Bank Tone Move Asset Prices?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (58)
11. What is Libra? Understanding Facebook's currency
    SAFE Policy Letters, Leibniz Institute for Financial Research SAFE View citations (3)

2016

12. Currency Value
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Currency Value, The Review of Financial Studies, Society for Financial Studies (2017) View citations (6) (2017)

2015

13. Global Asset Allocation Shifts
    BIS Working Papers, Bank for International Settlements View citations (17)

2013

14. Information flows in foreign exchange markets: dissecting customer currency trades
    BIS Working Papers, Bank for International Settlements View citations (9)
    See also Journal Article Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades, Journal of Finance, American Finance Association (2016) View citations (64) (2016)
15. Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective, Journal of Money, Credit and Banking, Blackwell Publishing (2014) View citations (42) (2014)

2012

16. A Comprehensive Look at Financial Volatility Prediction by Economic Variables
    BIS Working Papers, Bank for International Settlements View citations (182)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (4)
    See also Journal Article A comprehensive look at financial volatility prediction by economic variables, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (174) (2012)
17. Currency Momentum Strategies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (213)
    Also in BIS Working Papers, Bank for International Settlements (2011) View citations (15)
    Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (213)
    See also Journal Article Currency momentum strategies, Journal of Financial Economics, Elsevier (2012) View citations (193) (2012)

2011

18. Carry Trades and Global Foreign Exchange Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (27)
    See also Journal Article Carry Trades and Global Foreign Exchange Volatility, Journal of Finance, American Finance Association (2012) View citations (403) (2012)
19. Quantifying survey expectations: What's wrong with the probability approach?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article Quantifying survey expectations: What’s wrong with the probability approach?, International Journal of Forecasting, Elsevier (2013) View citations (18) (2013)

2010

20. Dividend predictability around the world
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Dividend Predictability Around the World, Journal of Financial and Quantitative Analysis, Cambridge University Press (2014) View citations (38) (2014)
21. Limit-Order Submission Strategies under Asymmetric Information
    CESifo Working Paper Series, CESifo View citations (40)
    See also Journal Article Limit-order submission strategies under asymmetric information, Journal of Banking & Finance, Elsevier (2010) View citations (38) (2010)
22. Macro Expectations, Aggregate Uncertainty, and Expected Term Premia
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2010) View citations (3)
    See also Journal Article Macro-expectations, aggregate uncertainty, and expected term premia, European Economic Review, Elsevier (2013) View citations (21) (2013)

2009

23. Carry Trades and Global FX Volatility
    MPRA Paper, University Library of Munich, Germany View citations (4)
24. Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book
    CESifo Working Paper Series, CESifo View citations (28)
    See also Journal Article Exchange rate management in emerging markets: Intervention via an electronic limit order book, Journal of International Economics, Elsevier (2009) View citations (28) (2009)
25. Global Asset Pricing: Is There a Role for Long-run Consumption Risk?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
26. Higher-order beliefs among professional stock market forecasters: some first empirical tests
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research View citations (6)
27. Trader see, trader do: How do (small) FX traders react to large counterparties' trades?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article Trader see, trader do: How do (small) FX traders react to large counterparties' trades?, Journal of International Money and Finance, Elsevier (2010) View citations (11) (2010)

2008

28. Are all professional investors sophisticated?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
29. Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book
    CESifo Working Paper Series, CESifo View citations (2)
30. Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?, European Economic Review, Elsevier (2011) View citations (40) (2011)
31. Investor sentiment and stock returns: Some international evidence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (6)
    See also Journal Article Investor sentiment and stock returns: Some international evidence, Journal of Empirical Finance, Elsevier (2009) View citations (326) (2009)

2007

32. Whose trades convey information? Evidence from a cross-section of traders
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
    See also Journal Article Whose trades convey information? Evidence from a cross-section of traders, Journal of Financial Markets, Elsevier (2010) View citations (34) (2010)

2006

33. A Prospect-Theoretical Interpretation of Momentum Returns
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (7)
    See also Journal Article A prospect-theoretical interpretation of momentum returns, Economics Letters, Elsevier (2006) View citations (7) (2006)
34. Institutional and Individual Sentiment: Smart Money and Noise Trader Risk
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (3)
    See also Journal Article Institutional and individual sentiment: Smart money and noise trader risk?, International Journal of Forecasting, Elsevier (2007) View citations (56) (2007)
35. Local Information in Foreign Exchange Markets
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article Local information in foreign exchange markets, Journal of International Money and Finance, Elsevier (2008) View citations (25) (2008)

Journal Articles

2022

1. Exchange Rates and Sovereign Risk
   Management Science, 2022, 68, (8), 5591-5617 View citations (9)
   See also Working Paper Exchange Rates and Sovereign Risk, CEPR Discussion Papers (2021) (2021)
2. Monetary policy expectation errors
   Journal of Financial Economics, 2022, 146, (3), 841-858 View citations (2)
   See also Working Paper Monetary policy expectation errors, BIS Working Papers (2022) View citations (13) (2022)
3. Short-term Momentum
   The Review of Financial Studies, 2022, 35, (3), 1480-1526 View citations (3)
   See also Working Paper Short-term Momentum, CEPR Discussion Papers (2021) View citations (1) (2021)

2021

4. The FOMC Risk Shift
   Journal of Monetary Economics, 2021, 120, (C), 21-39 View citations (8)
   See also Working Paper The FOMC risk shift, SAFE Working Paper Series (2021) View citations (13) (2021)

2017

5. Currency Value
   The Review of Financial Studies, 2017, 30, (2), 416-441 View citations (6)
   See also Working Paper Currency Value, CEPR Discussion Papers (2016) (2016)

2016

6. Capital market integration and consumption risk sharing over the long run
   Journal of International Economics, 2016, 103, (C), 27-43 View citations (33)
7. Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades
   Journal of Finance, 2016, 71, (2), 601-634 View citations (64)
   See also Working Paper Information flows in foreign exchange markets: dissecting customer currency trades, BIS Working Papers (2013) View citations (9) (2013)

2014

8. Dividend Predictability Around the World
   Journal of Financial and Quantitative Analysis, 2014, 49, (5-6), 1255-1277 View citations (38)
   See also Working Paper Dividend predictability around the world, CREATES Research Papers (2010) View citations (1) (2010)
9. Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective
   Journal of Money, Credit and Banking, 2014, 46, (2-3), 267-292 View citations (42)
   See also Working Paper Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective, CEPR Discussion Papers (2013) View citations (1) (2013)

2013

10. Macro-expectations, aggregate uncertainty, and expected term premia
    European Economic Review, 2013, 58, (C), 58-80 View citations (21)
    See also Working Paper Macro Expectations, Aggregate Uncertainty, and Expected Term Premia, CREATES Research Papers (2010) (2010)
11. Quantifying survey expectations: What’s wrong with the probability approach?
    International Journal of Forecasting, 2013, 29, (1), 142-154 View citations (18)
    See also Working Paper Quantifying survey expectations: What's wrong with the probability approach?, Hannover Economic Papers (HEP) (2011) (2011)
12. What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests?
    Journal of Empirical Finance, 2013, 20, (C), 109-129 View citations (12)

2012

13. A comprehensive look at financial volatility prediction by economic variables
    Journal of Applied Econometrics, 2012, 27, (6), 956-977 View citations (174)
    See also Working Paper A Comprehensive Look at Financial Volatility Prediction by Economic Variables, BIS Working Papers (2012) View citations (182) (2012)
14. Carry Trades and Global Foreign Exchange Volatility
    Journal of Finance, 2012, 67, (2), 681-718 View citations (403)
    See also Working Paper Carry Trades and Global Foreign Exchange Volatility, CEPR Discussion Papers (2011) View citations (27) (2011)
15. Currency momentum strategies
    Journal of Financial Economics, 2012, 106, (3), 660-684 View citations (193)
    See also Working Paper Currency Momentum Strategies, CEPR Discussion Papers (2012) View citations (213) (2012)

2011

16. Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?
    European Economic Review, 2011, 55, (5), 702-719 View citations (40)
    See also Working Paper Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?, SFB 649 Discussion Papers (2008) (2008)

2010

17. Limit-order submission strategies under asymmetric information
    Journal of Banking & Finance, 2010, 34, (11), 2665-2677 View citations (38)
    See also Working Paper Limit-Order Submission Strategies under Asymmetric Information, CESifo Working Paper Series (2010) View citations (40) (2010)
18. Trader see, trader do: How do (small) FX traders react to large counterparties' trades?
    Journal of International Money and Finance, 2010, 29, (7), 1283-1302 View citations (11)
    See also Working Paper Trader see, trader do: How do (small) FX traders react to large counterparties' trades?, Hannover Economic Papers (HEP) (2009) (2009)
19. Whose trades convey information? Evidence from a cross-section of traders
    Journal of Financial Markets, 2010, 13, (1), 101-128 View citations (34)
    See also Working Paper Whose trades convey information? Evidence from a cross-section of traders, Hannover Economic Papers (HEP) (2007) View citations (2) (2007)

2009

20. Exchange rate management in emerging markets: Intervention via an electronic limit order book
    Journal of International Economics, 2009, 79, (1), 54-63 View citations (28)
    See also Working Paper Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book, CESifo Working Paper Series (2009) View citations (28) (2009)
21. Investor sentiment and stock returns: Some international evidence
    Journal of Empirical Finance, 2009, 16, (3), 394-408 View citations (326)
    See also Working Paper Investor sentiment and stock returns: Some international evidence, Hannover Economic Papers (HEP) (2008) View citations (6) (2008)

2008

22. Local information in foreign exchange markets
    Journal of International Money and Finance, 2008, 27, (8), 1383-1406 View citations (25)
    See also Working Paper Local Information in Foreign Exchange Markets, Hannover Economic Papers (HEP) (2006) (2006)

2007

23. Institutional and individual sentiment: Smart money and noise trader risk?
    International Journal of Forecasting, 2007, 23, (1), 127-145 View citations (56)
    See also Working Paper Institutional and Individual Sentiment: Smart Money and Noise Trader Risk, Hannover Economic Papers (HEP) (2006) View citations (3) (2006)

2006

24. A prospect-theoretical interpretation of momentum returns
    Economics Letters, 2006, 93, (3), 360-366 View citations (7)
    See also Working Paper A Prospect-Theoretical Interpretation of Momentum Returns, Hannover Economic Papers (HEP) (2006) View citations (7) (2006)