Andreas Schrimpf joined the Financial Markets group of the BIS's Monetary and Economic Department in March 2011. Previously, he was a post-doctoral researcher at Aarhus University / CREATES (Centre for Research in Econometric Analysis of Time Series) from October 2009 to March 2011, and a researcher in the financial markets department of the Centre for European Economic Research (ZEW) in Mannheim (2005-09). He obtained his doctorate from the University of Tübingen in 2009. His research focuses on empirical asset pricing, financial markets and international finance.
Fields of interest
- Financial markets
- International finance
- Exchange rates
|Date||BIS research papers|
Working Papers No 497
BIS Quarterly Review December 2013
Other authors: Dagfinn Rime
Working Papers No 425
Working Papers No 405
Working Papers No 374
Working Papers No 366
BIS Quarterly Review December 2011
Other authors: Jacob Gyntelberg
- "Dividend predictability around the world" (with J Rangvid and M Schmeling), Journal of Financial and Quantitative Analysis, forthcoming.
- "The response of tail risk perceptions to unconventional monetary policy" (with M Hattori and V Sushko), American Economic Journal: Macroeconomics, forthcoming.
- " Dividend predictability around the world" (with J Rangvid and M Schmeling), Journal of Financial and Quantitative Analysis, 2015, forthcoming.
- " International diversification benefits with foreign exchange investment styles" (with T Kröncke and F Schindler), Review of Finance, vol 18, no 5, 2014, pp 1847-83.
- "Currency momentum strategies" (with L Menkhoff, L Sarno and M Schmeling), Journal of Financial Economics, vol 106, 2012, pp 660-84.
- "A comprehensive look at financial volatility prediction by economic variables" (with C Christiansen and M Schmeling), Journal of Applied Econometrics, vol 27, 2012, pp 956-77.
- "Carry trades and global foreign exchange volatility" (with L Menkhoff, L Sarno and M Schmeling), Journal of Finance, vol 67, 2012, pp 681-718.