Andreas Schrimpf

Monetary and Economic Department, Financial Markets

Andreas Schrimpf joined the Financial Markets group of the Monetary and Economic Department of the BIS 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), Mannheim (2005-2009). He obtained his Doctorate from University of Tübingen in 2009. His main research areas are empirical asset pricing, international finance and forecasting.

Fields of interest

  • Financial markets
  • International finance
  • Econometrics

Selected Publications

BIS Research papers

Date Research papers
Dec 2013

The anatomy of the global FX market through the lens of the 2013 Triennial Survey

BIS Quarterly Review December 2013

Other authors: Dagfinn Rime

Sep 2013

The response of tail risk perceptions to unconventional monetary policy

Working Papers No 425

Other authors: Masazumi Hattori and Vladyslav Sushko

Mar 2013

Information Flows in Dark Markets: Dissecting Customer Currency Trades

Working Papers No 405

Other authors: Lukas Menkhoff, Lucio Sarno and Maik Schmeling

Mar 2012

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Working Papers No 374

Other authors: Charlotte Christiansen and Maik Schmeling

Dec 2011

Currency Momentum Strategies

Working Papers No 366

Other authors: Lukas Menkhoff, Lucio Sarno and Maik Schmeling

Dec 2011

FX strategies in periods of distress

BIS Quarterly Review December 2011

Other authors: Jacob Gyntelberg