Andreas Schrimpf
Andreas Schrimpf
Verified email at bis.org
Title
Cited by
Cited by
Year
Carry trades and global foreign exchange volatility
L Menkhoff, L Sarno, M Schmeling, A Schrimpf
The Journal of Finance 67 (2), 681-718, 2012
8292012
DP8747 Currency Momentum Strategies
L Menkhoff, L Sarno, M Schmeling, A Schrimpf
491*2012
A comprehensive look at financial volatility prediction by economic variables
C Christiansen, M Schmeling, A Schrimpf
Journal of Applied Econometrics 27 (6), 956-977, 2012
1792012
Non-monetary news in central bank communication
A Cieslak, A Schrimpf
Journal of International Economics 118, 293-315, 2019
1202019
Common risk factors in international stock markets
PS Schmidt, U von Arx, A Schrimpf, AF Wagner, A Ziegler
Financial Markets and Portfolio Management 33 (3), 213-241, 2019
117*2019
Currency value
L Menkhoff, L Sarno, M Schmeling, A Schrimpf
The Review of Financial Studies 30 (2), 416-441, 2017
111*2017
Segmented money markets and covered interest parity arbitrage
D Rime, A Schrimpf, O Syrstad
Norges Bank Working Paper 15/17, 2017
109*2017
The anatomy of the global FX market through the lens of the 2013 Triennial Survey
D Rime, A Schrimpf
BIS Quarterly Review, December, 2013
1042013
Cross‐sectional tests of conditional asset pricing models: evidence from the German stock market
A Schrimpf, M Schröder, R Stehle
European Financial Management 13 (5), 880-907, 2007
1012007
Dividend predictability around the world
J Rangvid, M Schmeling, A Schrimpf
Journal of Financial and Quantitative Analysis, 1255-1277, 2014
962014
Information flows in foreign exchange markets: Dissecting customer currency trades
L Menkhoff, L Sarno, M Schmeling, A Schrimpf
The Journal of Finance 71 (2), 601-634, 2016
93*2016
International diversification benefits with foreign exchange investment styles
TA Kroencke, F Schindler, A Schrimpf
Review of Finance 18 (5), 1847-1883, 2014
88*2014
Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?
M Schmeling, A Schrimpf
European Economic Review 55 (5), 702-719, 2011
852011
The response of tail risk perceptions to unconventional monetary policy
M Hattori, A Schrimpf, V Sushko
American Economic Journal: Macroeconomics 8 (2), 111-36, 2016
842016
When the walk is not random: commodity prices and exchange rates
E Kohlscheen, FH Avalos, A Schrimpf
BIS Working Paper, 2016
76*2016
Monetary policy’s rising FX impact in the era of ultra-low rates
M Ferrari, J Kearns, A Schrimpf
Journal of Banking & Finance, 106142, 2021
60*2021
Downsized FX markets: causes and implications
M Moore, A Schrimpf, V Sushko
BIS Quarterly Review December, 2016
56*2016
International stock return predictability under model uncertainty
A Schrimpf
Journal of International Money and Finance 29 (7), 1256-1282, 2010
482010
Leverage and margin spirals in fixed income markets during the Covid-19 crisis
A Schrimpf, HS Shin, V Sushko
Available at SSRN 3761873, 2020
442020
Macro-expectations, aggregate uncertainty, and expected term premia
CD Dick, M Schmeling, A Schrimpf
European Economic Review 58, 58-80, 2013
422013
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Articles 1–20