Andreas Schrimpf
Andreas Schrimpf joined the BIS in early 2011. Prior to his current position, he served for several years as Secretary to the Markets Committee (May 2016-September 2020). In this context, he coordinated international work in the central bank community on, inter alia, the impact of large central bank balance sheets on market functioning, the FX Triennial Survey and the monitoring of fast-paced electronic markets. 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. His research in recent years has focused on the role of intermediaries in financial markets, financial drivers of exchange rates and the intersection of monetary policy and financial markets. Andreas' work is published in leading academic journals, including the Journal of Finance, Review of Financial Studies, Journal of Financial Economics and American Economic Journal: Macroeconomics. Andreas is also a CEPR Research Affiliate.
Fields of interest
- Financial markets
- International finance
- Exchange rates and reserves
- "" The FOMC risk shift" (with T Kroencke and M Schmeling), Journal of Monetary Economics, forthcoming.
- "The microstructure of central bank bond purchases" (with K Schlepper, H Hofer and R Riordan), Journal of Financial and Quantitative Analysis, forthcoming.
- "Non-monetary news in central bank communication" (with A Cieslak), Journal of International Economics, May 2019. Also published as BIS Working Papers, no 761.
- " Currency value" (with L Menkhoff, M Schmeling and L Sarno), Review of Financial Studies, vol 30, issue 2, 2017.
- " Carry trades and global foreign exchange volatility" (with L Menkhoff, L Sarno and M Schmeling), Journal of Finance, vol 67, 2012, pp 681-718.
- " Monetary policy's rising FX impact in the era of ultra-low rates" (with M Ferrari and J Kearns), Journal of Banking & Finance, vol 129, August 2021.
- " When the walk is not random: commodity prices and exchange rates" (with E Kohlscheen and F Avalos), International Journal of Central Banking, vol 13, no 2, June 2017, pp 121-58. Also published as BIS Working Papers, no 551.
- " 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.
- " 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.
- " Dividend predictability around the world" (with J Rangvid and M Schmeling), Journal of Financial and Quantitative Analysis, vol 49, 2014, pp 1255-77.
- " 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.
- " Currency momentum strategies" (with L Menkhoff, L Sarno and M Schmeling), Journal of Financial Economics, vol 106, 2012, pp 660-84. Also published as BIS Working Papers, no 366.
- " Expected inflation, expected stock returns, and money illusion: what can we learn from survey expectations?" (with M Schmeling), European Economic Review, vol 55, 2011, pp 702-19.
- " A reappraisal of the leading indicator properties of the yield curve under structural instability" (with Q Wang), International Journal of Forecasting, vol 26, 2010, pp 836-57.
- " International stock return predictability under model uncertainty", Journal of International Money and Finance, vol 29, 2010, pp 1256-82.