Andreas Schrimpf
Principal Economist, Secretary to the Markets Committee
Monetary and Economic Department, Committee on the Global Financial System
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 and reserves
- "Non-monetary news in central bank communication" (with A Cieslak), Journal of International Economics, forthcoming. Also published as BIS Working Papers, no 761.
- "The microstructure of central bank bond purchases" (with K Schlepper, H Hofer and R Riordan), Journal of Financial and Quantitative Analysis, forthcoming.
- " Currency value" (with L Menkhoff, M Schmeling and L Sarno), Review of Financial Studies, vol 30, issue 2, 2017.
- " 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.
- " 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, 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.
- " 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.