Andreas Schrimpf joined the BIS in early 2011. He took over his current role as Secretary to the Markets Committee in May 2016, after five years in the Financial Markets unit of the Monetary and Economic Department. Previously, he was a post-doctoral researcher at Aarhus University (2009-11) and a researcher at the Centre for European Economic Research (ZEW) in Mannheim (2005-09). He obtained his doctorate from the University of Tübingen in 2009. In recent years, his research has mostly focused on financial markets, asset pricing and the financial determinants of exchange rates.
Fields of interest
- Financial markets
- International finance
- Exchange rates
|Date||BIS research papers|
Working Papers No 560
Working Papers No 551
BIS Quarterly Review March 2016
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
- "Currency value" (with L Menkhoff, M Schmeling and L Sarno), Review of Financial Studies, 2016, forthcoming.
- " Information flows in foreign exchange markets: dissecting customer currency trades" (with L Menkhoff, L Sarno and M Schmeling), Journal of Finance, vol 71, 2016, pp 601-34. Also published as BIS Working Papers, no 405.
- " The response of tail risk perceptions to unconventional monetary policy" (with M Hattori and V Sushko), American Economic Journal: Macroeconomics, vol 8, no 2, 2016, pp 111-36. Also published as BIS Working Papers, no 425.
- " Dividend predictability around the world" (with J Rangvid and M Schmeling), Journal of Financial and Quantitative Analysis, vol 49, 2014, pp 1255-77.
- " Currency momentum strategies" (with L Menkhoff, L Sarno and M Schmeling), Journal of Financial Economics, vol 106, 2012, pp 660-84.
- " Carry trades and global foreign exchange volatility" (with L Menkhoff, L Sarno and M Schmeling), Journal of Finance, vol 67, 2012, pp 681-718.
- "When the walk is not random: commodity prices and exchange rates" (with E Kohlscheen and F Avalos), International Journal of Central Banking, forthcoming. Also published as BIS Working Papers, no 551.
- " 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.
- "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.