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

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