Andreas Schrimpf

Monetary and Economic Department, Financial Markets

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
Mar 2015

Global Asset Allocation Shifts

Working Papers No 497

Other authors: Tim A Kroencke and Maik Schmeling

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

  • " 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.