Details about Andreas Schrimpf

Access statistics for papers by Andreas Schrimpf.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: psc349

Working Papers

2024

1. An Intermediation-Based Model of Exchange Rates
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (11)
   BIS Working Papers, Bank for International Settlements (2018) View citations (11)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018) View citations (11)
2. Central clearing in government bond markets: keeping the "safe asset" safe?
   BIS Bulletins, Bank for International Settlements
3. Constrained Liquidity Provision in Currency Markets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in BIS Working Papers, Bank for International Settlements (2023)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022) View citations (1)
4. Global Bank Lending and Exchange Rates
   BIS Working Papers, Bank for International Settlements
5. Relationship Discounts in Corporate Bond Trading
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Bank of England working papers, Bank of England (2023)
   BIS Working Papers, Bank for International Settlements (2023)
6. The market turbulence and carry trade unwind of August 2024
   BIS Bulletins, Bank for International Settlements

2023

7. Addressing the risks in crypto: laying out the options
   BIS Bulletins, Bank for International Settlements
8. Crypto carry
   BIS Working Papers, Bank for International Settlements
9. Decentralised finance (DeFi): a functional approach
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Decentralized Finance (DeFi): A Functional Approach, Journal of Financial Regulation, Oxford University Press (2024) View citations (1) (2024)
10. Global Production Linkages and Stock Market Comovement
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022)
    BIS Working Papers, Bank for International Settlements (2022)
    CESifo Working Paper Series, CESifo (2023)
11. Margins, debt capacity, and systemic risk
    BIS Working Papers, Bank for International Settlements View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)
12. The demand for government debt
    BIS Working Papers, Bank for International Settlements View citations (2)

2022

13. Constrained Dealers and Market Efficiency
    VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association View citations (1)
14. DeFi lending: intermediation without information?
    BIS Bulletins, Bank for International Settlements
15. 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)
16. Non-bank Financial Intermediaries and Financial Stability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in BIS Working Papers, Bank for International Settlements (2021) View citations (12)
    See also Chapter Non-bank financial intermediaries and financial stability, Chapters, Edward Elgar Publishing (2023) (2023)
17. Persuasion by Dimension Reduction
    Papers, arXiv.org View citations (2)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2021) View citations (3)

2021

18. Liquidity management and asset sales by bond funds in the face of investor redemptions in March 2020
    BIS Bulletins, Bank for International Settlements
19. Optimal Transport of Information
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2021) View citations (1)
    Papers, arXiv.org (2021) View citations (1)
20. Peso Problems in the Estimation of the C-CAPM
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Peso problems in the estimation of the C‐CAPM, Quantitative Economics, Econometric Society (2022) (2022)
21. 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)

2020

22. Banking across borders: At the crossroads in the transition away from LIBOR - from overnight to term rates
    BIS Working Papers, Bank for International Settlements
23. Debt De-risking
    BIS Working Papers, Bank for International Settlements
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020)
24. Explaining Monetary Spillovers: The Matrix Reloaded
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in BIS Working Papers, Bank for International Settlements (2018) View citations (24)
    RBA Research Discussion Papers, Reserve Bank of Australia (2019)
    See also Journal Article Explaining Monetary Spillovers: The Matrix Reloaded, Journal of Money, Credit and Banking, Blackwell Publishing (2023) View citations (4) (2023)
25. Leverage and margin spirals in fixed income markets during the Covid-19 crisis
    BIS Bulletins, Bank for International Settlements View citations (84)
26. Policy Announcement Design
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
27. US dollar funding markets during the Covid-19 crisis - the international dimension
    BIS Bulletins, Bank for International Settlements View citations (26)
28. US dollar funding markets during the Covid-19 crisis - the money market fund turmoil
    BIS Bulletins, Bank for International Settlements View citations (21)

2019

29. Covered Interest Parity Arbitrage
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
    See also Journal Article Covered Interest Parity Arbitrage, The Review of Financial Studies, Society for Financial Studies (2022) View citations (14) (2022)

2018

30. Intermediation markups and monetary policy pass-through
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in 2017 Meeting Papers, Society for Economic Dynamics (2017) View citations (2)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2016) View citations (6)
31. Non-Monetary News in Central Bank Communication
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)
    Also in BIS Working Papers, Bank for International Settlements (2018) View citations (31)
    See also Chapter Non-Monetary News in Central Bank Communication, NBER Chapters, National Bureau of Economic Research, Inc (2018) View citations (31) (2018)
    Journal Article Non-monetary news in central bank communication, Journal of International Economics, Elsevier (2019) View citations (208) (2019)

2017

32. Monetary policy's rising FX impact in the era of ultra-low rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (48)
    Also in BIS Working Papers, Bank for International Settlements (2017) View citations (34)
    See also Journal Article Monetary policy’s rising FX impact in the era of ultra-low rates, Journal of Banking & Finance, Elsevier (2021) View citations (17) (2021)
33. Scarcity effects of QE: A transaction-level analysis in the Bund market
    Discussion Papers, Deutsche Bundesbank View citations (31)
    Also in BIS Working Papers, Bank for International Settlements (2017) View citations (29)
34. Segmented money markets and covered interest parity arbitrage
    BIS Working Papers, Bank for International Settlements View citations (57)
    Also in Working Paper, Norges Bank (2017) View citations (54)

2016

35. 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)
36. Has the Pricing of Stocks Become More Global?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)
    BIS Working Papers, Bank for International Settlements (2016) View citations (1)
37. When the walk is not random: commodity prices and exchange rates
    BIS Working Papers, Bank for International Settlements View citations (25)
    See also Journal Article When the Walk Is Not Random: Commodity Prices and Exchange Rates, International Journal of Central Banking, International Journal of Central Banking (2017) View citations (41) (2017)

2015

38. Global Asset Allocation Shifts
    BIS Working Papers, Bank for International Settlements View citations (17)
39. Size and Momentum Profitability in International Stock Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2015) View citations (5)

2013

40. 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)
41. Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM
    VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (3)
42. The response of tail risk perceptions to unconventional monetary policy
    BIS Working Papers, Bank for International Settlements View citations (10)
    See also Journal Article The Response of Tail Risk Perceptions to Unconventional Monetary Policy, American Economic Journal: Macroeconomics, American Economic Association (2016) View citations (74) (2016)

2012

43. 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)
44. Currency Momentum Strategies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (214)
    Also in BIS Working Papers, Bank for International Settlements (2011) View citations (15)
    Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (214)
    See also Journal Article Currency momentum strategies, Journal of Financial Economics, Elsevier (2012) View citations (194) (2012)

2011

45. 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)
46. International Diversification Benefits with Foreign Exchange Investment Styles
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (12)
    Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2011) View citations (3)
    See also Journal Article International Diversification Benefits with Foreign Exchange Investment Styles, Review of Finance, European Finance Association (2014) View citations (40) (2014)
47. On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
    CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich View citations (25)

2010

48. 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)
49. 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

50. Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (3)
    Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2007)
    See also Journal Article Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns, Review of Financial Economics, Elsevier (2009) View citations (2) (2009)
51. Carry Trades and Global FX Volatility
    MPRA Paper, University Library of Munich, Germany View citations (4)
52. 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)
53. 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)
54. Long-horizon consumption risk and the cross-section of returns: New tests and international evidence
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) View citations (2)
    See also Journal Article Long-horizon consumption risk and the cross-section of returns: new tests and international evidence, The European Journal of Finance, Taylor & Francis Journals (2009) View citations (2) (2009)

2008

55. 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)
56. International Stock Return Predictability Under Model Uncertainty
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research
    See also Journal Article International stock return predictability under model uncertainty, Journal of International Money and Finance, Elsevier (2010) View citations (21) (2010)

2006

57. Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research
58. Evaluating conditional asset pricing models for the German stock market
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research View citations (3)

Journal Articles

2024

1. Decentralized Finance (DeFi): A Functional Approach
   Journal of Financial Regulation, 2024, 10, (1), 1-27 View citations (1)
   See also Working Paper Decentralised finance (DeFi): a functional approach, CEPR Discussion Papers (2023) (2023)
2. Tackling the risks in crypto: Choosing among bans, containment and regulation
   Journal of the Japanese and International Economies, 2024, 71, (C)

2023

3. CP and CDs markets: a primer
   BIS Quarterly Review, 2023
4. Explaining Monetary Spillovers: The Matrix Reloaded
   Journal of Money, Credit and Banking, 2023, 55, (6), 1535-1568 View citations (4)
   See also Working Paper Explaining Monetary Spillovers: The Matrix Reloaded, CEPR Discussion Papers (2020) View citations (5) (2020)

2022

5. Covered Interest Parity Arbitrage
   The Review of Financial Studies, 2022, 35, (11), 5185-5227 View citations (14)
   See also Working Paper Covered Interest Parity Arbitrage, CEPR Discussion Papers (2019) View citations (12) (2019)
6. Foreword: OTC foreign exchange and interest rate derivatives markets through the prism of the Triennial Survey
   BIS Quarterly Review, 2022
7. 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)
8. Peso problems in the estimation of the C‐CAPM
   Quantitative Economics, 2022, 13, (1), 259-313
   See also Working Paper Peso Problems in the Estimation of the C-CAPM, CEPR Discussion Papers (2021) (2021)

2021

9. DeFi risks and the decentralisation illusion
   BIS Quarterly Review, 2021 View citations (39)
10. Monetary policy’s rising FX impact in the era of ultra-low rates
    Journal of Banking & Finance, 2021, 129, (C) View citations (17)
    See also Working Paper Monetary policy's rising FX impact in the era of ultra-low rates, CEPR Discussion Papers (2017) View citations (48) (2017)
11. 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)

2020

12. Changes in monetary policy operating procedures over the last decade: insights from a new database
    BIS Quarterly Review, 2020 View citations (4)
13. The Market Microstructure of Central Bank Bond Purchases
    Journal of Financial and Quantitative Analysis, 2020, 55, (1), 193-221 View citations (11)

2019

14. Beyond LIBOR: a primer on the new benchmark rates
    BIS Quarterly Review, 2019 View citations (23)
15. Common risk factors in international stock markets
    Financial Markets and Portfolio Management, 2019, 33, (3), 213-241 View citations (19)
16. FX trade execution: complex and highly fragmented
    BIS Quarterly Review, 2019 View citations (12)
17. Non-monetary news in central bank communication
    Journal of International Economics, 2019, 118, (C), 293-315 View citations (208)
    See also Working Paper Non-Monetary News in Central Bank Communication, NBER Working Papers (2018) View citations (32) (2018)
    Chapter Non-Monetary News in Central Bank Communication, NBER Chapters, 2018, 293-315 (2018) View citations (31) (2018)
18. Sizing up global foreign exchange markets
    BIS Quarterly Review, 2019 View citations (23)

2017

19. 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)
20. When the Walk Is Not Random: Commodity Prices and Exchange Rates
    International Journal of Central Banking, 2017, 13, (2), 121-158 View citations (41)
    See also Working Paper When the walk is not random: commodity prices and exchange rates, BIS Working Papers (2016) View citations (25) (2016)

2016

21. Downsized FX markets: causes and implications
    BIS Quarterly Review, 2016 View citations (20)
22. Hanging up the phone - electronic trading in fixed income markets and its implications
    BIS Quarterly Review, 2016 View citations (13)
23. 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)
24. The Response of Tail Risk Perceptions to Unconventional Monetary Policy
    American Economic Journal: Macroeconomics, 2016, 8, (2), 111-36 View citations (74)
    See also Working Paper The response of tail risk perceptions to unconventional monetary policy, BIS Working Papers (2013) View citations (10) (2013)

2014

25. 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)
26. International Diversification Benefits with Foreign Exchange Investment Styles
    Review of Finance, 2014, 18, (5), 1847-1883 View citations (40)
    See also Working Paper International Diversification Benefits with Foreign Exchange Investment Styles, CREATES Research Papers (2011) View citations (12) (2011)

2013

27. 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)
28. The anatomy of the global FX market through the lens of the 2013 Triennial Survey
    BIS Quarterly Review, 2013 View citations (38)
29. 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

30. 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)
31. 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)
32. Currency momentum strategies
    Journal of Financial Economics, 2012, 106, (3), 660-684 View citations (194)
    See also Working Paper Currency Momentum Strategies, CEPR Discussion Papers (2012) View citations (214) (2012)

2011

33. 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)
34. FX strategies in periods of distress
    BIS Quarterly Review, 2011 View citations (9)

2010

35. A reappraisal of the leading indicator properties of the yield curve under structural instability
    International Journal of Forecasting, 2010, 26, (4), 836-857 View citations (30)
36. International stock return predictability under model uncertainty
    Journal of International Money and Finance, 2010, 29, (7), 1256-1282 View citations (21)
    See also Working Paper International Stock Return Predictability Under Model Uncertainty, ZEW Discussion Papers (2008) (2008)

2009

37. Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns
    Review of Financial Economics, 2009, 18, (3), 113-123 View citations (2)
    Also in Review of Financial Economics, 2009, 18, (3), 113-123 (2009) View citations (2)
    See also Working Paper Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns, CFR Working Papers (2009) View citations (3) (2009)
38. Long-horizon consumption risk and the cross-section of returns: new tests and international evidence
    The European Journal of Finance, 2009, 15, (5-6), 511-532 View citations (2)
    See also Working Paper Long-horizon consumption risk and the cross-section of returns: New tests and international evidence, CFR Working Papers (2009) View citations (2) (2009)
39. Rendite und Risiko von Carry Trade Strategien auf Devisenmärkten
    ZEW Wachstums- und Konjunkturanalysen, 2009, 12, (3), 10-11

2007

40. Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market
    European Financial Management, 2007, 13, (5), 880-907 View citations (33)
41. Zinsstruktur als Konjunkturindikator: Wie variabel ist die Prognosekraft?
    ZEW Wachstums- und Konjunkturanalysen, 2007, 10, (1), 6-7

2006

42. Methoden mittelfristiger gesamtwirtschaftlicher Projektionen
    ZEW Wachstums- und Konjunkturanalysen, 2006, 9, (2), 10-11

Chapters

2023

1. Non-bank financial intermediaries and financial stability
   Chapter 7 in Research Handbook of Financial Markets, 2023, pp 147-170
   See also Working Paper Non-bank Financial Intermediaries and Financial Stability, C.E.P.R. Discussion Papers (2022) (2022)

2018

2. Non-Monetary News in Central Bank Communication
   A chapter in NBER International Seminar on Macroeconomics 2018, 2018, pp 293-315 View citations (31)
   See also Working Paper Non-Monetary News in Central Bank Communication, National Bureau of Economic Research, Inc (2018) View citations (32) (2018)
   Journal Article Non-monetary news in central bank communication, Elsevier (2019) View citations (208) (2019)