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Details about Andreas Schrimpf

Workplace:Bank for International Settlements (BIS), (more information at EDIRC)

Access statistics for papers by Andreas Schrimpf.

Last updated 2019-10-16. Update your information in the RePEc Author Service.

Short-id: psc349


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Working Papers

2019

  1. Covered Interest Parity Arbitrage
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
  2. Explaining Monetary Spillovers: The Matrix Reloaded
    RBA Research Discussion Papers, Reserve Bank of Australia Downloads
    Also in BIS Working Papers, Bank for International Settlements (2018) Downloads View citations (3)
  3. The FOMC Risk Shift
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2018

  1. An Intermediation-Based Model of Exchange Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018) Downloads View citations (2)
    BIS Working Papers, Bank for International Settlements (2018) Downloads View citations (2)
  2. Intermediation markups and monetary policy pass-through
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2016) Downloads
    2017 Meeting Papers, Society for Economic Dynamics (2017) Downloads View citations (1)
  3. Non-Monetary News in Central Bank Communication
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in BIS Working Papers, Bank for International Settlements (2018) Downloads View citations (9)

    See also Chapter (2018)
    Journal Article in Journal of International Economics (2019)

2017

  1. Monetary policy's rising FX impact in the era of ultra-low rates
    BIS Working Papers, Bank for International Settlements Downloads View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (9)
  2. Scarcity effects of QE: A transaction-level analysis in the Bund market
    BIS Working Papers, Bank for International Settlements Downloads View citations (11)
    Also in Discussion Papers, Deutsche Bundesbank (2017) Downloads View citations (14)
  3. Segmented money markets and covered interest parity arbitrage
    BIS Working Papers, Bank for International Settlements Downloads View citations (15)
    Also in Working Paper, Norges Bank (2017) Downloads View citations (15)

2016

  1. Currency Value
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Review of Financial Studies (2017)
  2. Has the Pricing of Stocks Become More Global?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    Also in BIS Working Papers, Bank for International Settlements (2016) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads
  3. When the walk is not random: commodity prices and exchange rates
    BIS Working Papers, Bank for International Settlements Downloads View citations (9)
    See also Journal Article in International Journal of Central Banking (2017)

2015

  1. Global Asset Allocation Shifts
    BIS Working Papers, Bank for International Settlements Downloads View citations (6)
  2. Size and Momentum Profitability in International Stock Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2015) Downloads View citations (2)

2013

  1. Information flows in foreign exchange markets: dissecting customer currency trades
    BIS Working Papers, Bank for International Settlements Downloads View citations (9)
    See also Journal Article in Journal of Finance (2016)
  2. Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM
    Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (3)
  3. The response of tail risk perceptions to unconventional monetary policy
    BIS Working Papers, Bank for International Settlements Downloads View citations (9)
    See also Journal Article in American Economic Journal: Macroeconomics (2016)

2012

  1. A Comprehensive Look at Financial Volatility Prediction by Economic Variables
    BIS Working Papers, Bank for International Settlements Downloads View citations (54)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (3)

    See also Journal Article in Journal of Applied Econometrics (2012)
  2. Currency Momentum Strategies
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (80)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (79)
    BIS Working Papers, Bank for International Settlements (2011) Downloads View citations (13)

    See also Journal Article in Journal of Financial Economics (2012)

2011

  1. Carry Trades and Global Foreign Exchange Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (24)
    See also Journal Article in Journal of Finance (2012)
  2. International Diversification Benefits with Foreign Exchange Investment Styles
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (10)
    Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2011) Downloads View citations (2)

    See also Journal Article in Review of Finance (2014)
  3. 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 Downloads View citations (17)

2010

  1. Dividend predictability around the world
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Financial and Quantitative Analysis (2014)
  2. Macro Expectations, Aggregate Uncertainty, and Expected Term Premia
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2010) Downloads View citations (2)

    See also Journal Article in European Economic Review (2013)

2009

  1. 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) Downloads
    Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2007) Downloads

    See also Journal Article in Review of Financial Economics (2009)
  2. Carry Trades and Global FX Volatility
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  3. Global Asset Pricing: Is There a Role for Long-run Consumption Risk?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
  4. Higher-order beliefs among professional stock market forecasters: some first empirical tests
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research Downloads View citations (2)
  5. 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) Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2009)

2008

  1. Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    See also Journal Article in European Economic Review (2011)
  2. International Stock Return Predictability Under Model Uncertainty
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research Downloads
    See also Journal Article in Journal of International Money and Finance (2010)

2006

  1. 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 Downloads
  2. Evaluating conditional asset pricing models for the German stock market
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research Downloads View citations (3)

Journal Articles

2019

  1. Beyond LIBOR: a primer on the new benchmark rates
    BIS Quarterly Review, 2019 Downloads
  2. Common risk factors in international stock markets
    Financial Markets and Portfolio Management, 2019, 33, (3), 213-241 Downloads
  3. Non-monetary news in central bank communication
    Journal of International Economics, 2019, 118, (C), 293-315 Downloads View citations (3)
    See also Chapter (2018)
    Working Paper (2018)

2017

  1. Currency Value
    Review of Financial Studies, 2017, 30, (2), 416-441 Downloads View citations (6)
    See also Working Paper (2016)
  2. When the Walk Is Not Random: Commodity Prices and Exchange Rates
    International Journal of Central Banking, 2017, 13, (2), 121-158 Downloads View citations (10)
    See also Working Paper (2016)

2016

  1. Downsized FX markets: causes and implications
    BIS Quarterly Review, 2016 Downloads View citations (11)
  2. Hanging up the phone - electronic trading in fixed income markets and its implications
    BIS Quarterly Review, 2016 Downloads View citations (10)
  3. Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades
    Journal of Finance, 2016, 71, (2), 601-634 Downloads View citations (19)
    See also Working Paper (2013)
  4. The Response of Tail Risk Perceptions to Unconventional Monetary Policy
    American Economic Journal: Macroeconomics, 2016, 8, (2), 111-36 Downloads View citations (14)
    See also Working Paper (2013)

2014

  1. Dividend Predictability Around the World
    Journal of Financial and Quantitative Analysis, 2014, 49, (5-6), 1255-1277 Downloads View citations (20)
    See also Working Paper (2010)
  2. International Diversification Benefits with Foreign Exchange Investment Styles
    Review of Finance, 2014, 18, (5), 1847-1883 Downloads View citations (11)
    See also Working Paper (2011)

2013

  1. Macro-expectations, aggregate uncertainty, and expected term premia
    European Economic Review, 2013, 58, (C), 58-80 Downloads View citations (16)
    See also Working Paper (2010)
  2. The anatomy of the global FX market through the lens of the 2013 Triennial Survey
    BIS Quarterly Review, 2013 Downloads View citations (28)
  3. 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 Downloads View citations (1)

2012

  1. A comprehensive look at financial volatility prediction by economic variables
    Journal of Applied Econometrics, 2012, 27, (6), 956-977 View citations (55)
    See also Working Paper (2012)
  2. Carry Trades and Global Foreign Exchange Volatility
    Journal of Finance, 2012, 67, (2), 681-718 Downloads View citations (219)
    See also Working Paper (2011)
  3. Currency momentum strategies
    Journal of Financial Economics, 2012, 106, (3), 660-684 Downloads View citations (82)
    See also Working Paper (2012)

2011

  1. Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?
    European Economic Review, 2011, 55, (5), 702-719 Downloads View citations (26)
    See also Working Paper (2008)
  2. FX strategies in periods of distress
    BIS Quarterly Review, 2011 Downloads View citations (8)

2010

  1. A reappraisal of the leading indicator properties of the yield curve under structural instability
    International Journal of Forecasting, 2010, 26, (4), 836-857 Downloads View citations (21)
  2. International stock return predictability under model uncertainty
    Journal of International Money and Finance, 2010, 29, (7), 1256-1282 Downloads View citations (14)
    See also Working Paper (2008)

2009

  1. 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 Downloads
    See also Working Paper (2009)
  2. 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 Downloads View citations (1)
    See also Working Paper (2009)
  3. Rendite und Risiko von Carry Trade Strategien auf Devisenmärkten
    ZEW Wachstums- und Konjunkturanalysen, 2009, 12, (3), 10-11 Downloads

2007

  1. Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market
    European Financial Management, 2007, 13, (5), 880-907 Downloads View citations (29)
  2. Zinsstruktur als Konjunkturindikator: Wie variabel ist die Prognosekraft?
    ZEW Wachstums- und Konjunkturanalysen, 2007, 10, (1), 6-7 Downloads

2006

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

Chapters

2018

  1. Non-Monetary News in Central Bank Communication
    A chapter in NBER International Seminar on Macroeconomics 2018, 2018, pp 293-315 View citations (7)
    See also Journal Article in Journal of International Economics (2019)
    Working Paper (2018)
 
Page updated 2019-12-10