Andreas Schrimpf

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

• Dividend Predictability Around the World (with Jesper Rangvid and Maik Schmeling), Journal of Financial and Quantitative Analysis (forthcoming)
• Currency Momentum Strategies (with Lukas Menkhoff, Lucio Sarno and Maik Schmeling), Journal of Financial Economics, 2012, Vol.106, 660-684
• A Comprehensive Look at Financial Volatility Prediction by Economic Variables (with Charlotte Christiansen and Maik Schmeling), Journal of Applied Econometrics, 2012, Vol.27, 956-977
• Carry Trades and Global Foreign Exchange Volatility (with Lukas Menkhoff, Lucio Sarno and Maik Schmeling), Journal of Finance, 2012, Vol. 67, 681-718
• Expected Inflation, Expected Stock Returns and Money Illusion: What can we learn from Survey Expectations? (with Maik Schmeling), 2011, European Economic Review 55, 702-19.
• International Stock Return Predictability under Model Uncertainty, 2010, Journal of International Money and Finance 29, 1256-82.
• A Reappraisal of the Leading Indicator Properties of the Yield Curve under Structural Instability (with Qingwei Wang), 2010, International Journal of Forecasting 26, 836-57.