Andreas Schrimpf : Citation Profile

Are you Andreas Schrimpf?

Bank for International Settlements (BIS)

20

H index

30

i10 index

1729

Citations

RESEARCH PRODUCTION:

39

Articles

72

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2006 - 2022). See details.
   Cites by year: 108
   Journals where Andreas Schrimpf has often published
   Relations with other researchers
   Recent citing documents: 325.    Total self citations: 39 (2.21 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc349
   Updated: 2023-05-27    RAS profile: 2023-04-07    
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Relations with other researchers

Works with:

Sushko, Vladyslav (6)

Schmeling, Maik (5)

Kroencke, Tim (3)

Eren, Egemen (2)

Kearns, Jonathan (2)

Auer, Raphael (2)

Xia, Fan Dora (2)

Shin, Hyun Song (2)

Aramonte, Sirio (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andreas Schrimpf.

Is cited by:

Sarno, Lucio (28)

Kose, Ayhan (24)

Sakemoto, Ryuta (21)

Claessens, Stijn (21)

Ranaldo, Angelo (19)

Cenedese, Gino (17)

Menkhoff, Lukas (16)

Byrne, Joseph (14)

Christiansen, Charlotte (14)

MacDonald, Ronald (14)

Nitschka, Thomas (13)

Cites to:

Campbell, John (70)

Bekaert, Geert (40)

Cochrane, John (36)

Pedersen, Lasse (26)

Verdelhan, Adrien (26)

Swanson, Eric (24)

Fama, Eugene (23)

Shin, Hyun Song (23)

Sarno, Lucio (23)

French, Kenneth (23)

Eichenbaum, Martin (21)

Main data

Where Andreas Schrimpf has published?

Journals with more than one article published# docs
BIS Quarterly Review10
ZEW Wachstums- und Konjunkturanalysen3
Review of Financial Studies2
Journal of Financial and Quantitative Analysis2
Journal of Finance2
European Economic Review2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
BIS Working Papers / Bank for International Settlements19
CEPR Discussion Papers / C.E.P.R. Discussion Papers13
Swiss Finance Institute Research Paper Series / Swiss Finance Institute9
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research7
BIS Bulletins / Bank for International Settlements3
Papers / arXiv.org2
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)2

Recent works citing Andreas Schrimpf (2023 and 2022)

YearTitle of citing document
2023The Voice of Monetary Policy. (2023). Talavera, Oleksandr ; Pham, Tho ; Gorodnichenko, Yuriy. In: American Economic Review. RePEc:aea:aecrev:v:113:y:2023:i:2:p:548-84.

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2023An Alternative Explanation for the Fed Information Effect. (2023). Swanson, Eric T ; Bauer, Michael D. In: American Economic Review. RePEc:aea:aecrev:v:113:y:2023:i:3:p:664-700.

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2022.

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2021Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

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2022Synthetic forwards and cost of funding in the equity derivative market. (2020). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2011.03795.

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2021Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:2101.04308.

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2022Enhancing Cross-Sectional Currency Strategies by Ranking Refinement with Transformer-based Architectures. (2021). Zohren, Stefan ; Lim, Bryan ; Poh, Daniel ; Roberts, Stephen. In: Papers. RePEc:arx:papers:2105.10019.

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2022Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control. (2021). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2112.02269.

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2023MicroVelocity: rethinking the Velocity of Money for digital currencies. (2022). Tessone, Claudio J ; D'Errico, Marco ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2201.13416.

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2022Information Design in Concave Games. (2022). Yamashita, Takuro ; Smolin, Alex. In: Papers. RePEc:arx:papers:2202.10883.

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2022The return of (I)DeFiX. (2022). Jimenez-Garces, Sonia ; Dumas, Guillaume ; Csoiman, Florentina. In: Papers. RePEc:arx:papers:2204.00251.

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2023The Evolution Of Centralisation on Cryptocurrency Platforms. (2022). Tessone, Claudio J ; Nicolo' Vallarano, ; Yan, Tao ; de Collibus, Francesco Maria ; Cristodaro, Raffaele ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2206.05081.

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2023Dealing with multi-currency inventory risk in FX cash markets. (2022). Gu, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Papers. RePEc:arx:papers:2207.04100.

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2022150 Years of Return Predictability Around the World: A Holistic View. (2022). Bai, Yang. In: Papers. RePEc:arx:papers:2209.00121.

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2022Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. (2022). Gu, Olivier ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2212.00336.

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2022Decentralized lending and its users: Insights from Compound. (2022). Saengchote, Kanis. In: Papers. RePEc:arx:papers:2212.05734.

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2023FTXs downfall and Binances consolidation: the fragility of Centralized Digital Finance. (2023). Aste, Tomaso ; Briola, Antonio ; Vidal-Tom, David. In: Papers. RePEc:arx:papers:2302.11371.

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2023Government Guarantees and Banks Income Smoothing. (2023). , Felipe ; Merkley, Kenneth J ; Dantas, Manuela M. In: Papers. RePEc:arx:papers:2303.03661.

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2023Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2023). M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Papers. RePEc:arx:papers:2303.16149.

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2021Centralizing Over-the-Counter Markets?. (2021). Allen, Jason ; Wittwer, Milena. In: Staff Working Papers. RePEc:bca:bocawp:21-39.

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2022More Than Words: Fed Chairs’ Communication During Congressional Testimonies. (2022). Zhang, Xu ; Kryvtsov, Oleksiy ; Alexopoulos, Michelle. In: Staff Working Papers. RePEc:bca:bocawp:22-20.

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2022House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data. (2022). Kudlyak, Marianna ; Kryvtsov, Oleksiy ; Gorea, Denis. In: Staff Working Papers. RePEc:bca:bocawp:22-39.

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2022Lending Relationships and Currency Hedging. (2022). Araujo, Gustavo ; Oliveira, Raquel F ; Schiozer, Rafael ; Leo, Sergio . In: Working Papers Series. RePEc:bcb:wpaper:565.

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2021The economics of non-bank financial intermediation: why do we need to fill the regulation gap?. (2021). Trapanese, Maurizio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_625_21.

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2023Stablecoins and the Financing of the Real Economy. (2023). Nguyen, Benoit ; Gardin, Paul ; Barthelemy, Jean. In: Working papers. RePEc:bfr:banfra:908.

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2021Convergence trading, arbitrage and systemic risk in the United States. (2021). Hugues, Dastarac. In: Bulletin de la Banque de France. RePEc:bfr:bullbf:2021:235:01.

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2021The Voice of Monetary Policy. (2021). Talavera, Oleksandr ; Pham, Tho ; Gorodnichenko, Yuriy. In: Discussion Papers. RePEc:bir:birmec:21-02.

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2021Non-bank financial institutions and the functioning of government bond markets. (2021). Wooldridge, Philip ; Eren, Egemen. In: BIS Papers. RePEc:bis:bisbps:119.

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2021Investor size, liquidity and prime money market fund stress. (2021). Avalos, Fernando ; Xia, Dora. In: BIS Quarterly Review. RePEc:bis:bisqtr:2103b.

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2021Dollar funding of non-US banks through Covid-19. (2021). Aldasoro, Iñaki ; Huang, Wenqian ; Eren, Egemen. In: BIS Quarterly Review. RePEc:bis:bisqtr:2103c.

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2022The post-Libor world: a global view from the BIS derivatives statistics. (2022). Todorov, Karamfil ; Huang, Wenqian. In: BIS Quarterly Review. RePEc:bis:bisqtr:2212e.

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2022The global foreign exchange market in a higher-volatility environment. (2022). Sushko, Vladyslav ; Drehmann, Mathias. In: BIS Quarterly Review. RePEc:bis:bisqtr:2212f.

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2022The internationalisation of EME currency trading. (2022). Xia, Dora ; Wooldridge, Philip ; Maurin, Alexis ; Caballero, Julian. In: BIS Quarterly Review. RePEc:bis:bisqtr:2212g.

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2022Effects of Banco de la Republicas communication on the yield curve. (2022). Parra-Polania, Julian A ; Ospina-Tejeiro, Juan J ; Melo, Luis Fernando . In: BIS Working Papers. RePEc:bis:biswps:1022.

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2022Risk capacity, portfolio choice and exchange rates. (2022). SHIM, ILHYOCK ; Hofmann, Boris ; Shin, Hyun Song. In: BIS Working Papers. RePEc:bis:biswps:1031.

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2022Emerging market bond flows and exchange rate returns. (2022). Valente, Giorgio ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:1042.

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2022Cryptocurrencies and Decentralised Finance. (2022). , Antoinetteschoar ; Makarov, Igor. In: BIS Working Papers. RePEc:bis:biswps:1061.

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2023The Technology of Decentralized Finance (DeFi). (2023). Auer, Raphael ; Victor, Friedhelm ; Saggese, Pietro ; Kitzler, Stefan ; Haslhofer, Bernhard. In: BIS Working Papers. RePEc:bis:biswps:1066.

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2021A global database on central banks monetary responses to Covid-19. (2021). Yetman, James ; Cantu Garcia, Carlos ; Cavallino, Paolo ; de Fiore, Fiorella. In: BIS Working Papers. RePEc:bis:biswps:934.

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2021The Fed takes on corporate credit risk: an analysis of the efficacy of the SMCCF. (2021). Zakrajek, Egon ; Yue, Vivian Z ; Wei, Bin ; Gilchrist, Simon. In: BIS Working Papers. RePEc:bis:biswps:963.

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2021The Treasury market in spring 2020 and the response of the Federal Reserve. (2021). Vissing-Jorgensen, Annette. In: BIS Working Papers. RePEc:bis:biswps:966.

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2022Tail risk in the fossil fuel industry: an option implied analysis around the unburnable carbon news. (2022). Neudorfer, Pablo. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:493-511.

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2022Global equity fund performance adjusted for equity and currency factors. (2022). Warren, Geoffrey J ; Schmidt, Camille H ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1535-1565.

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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2022Does the Federal Open Market Committee cycle affect credit risk?. (2022). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Huang, Difang. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:143-167.

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2022Doubly heterogeneous monetary spillovers. (2022). Shah, Nihar. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:126-150.

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2021The predictive power of macroeconomic uncertainty for commodity futures volatility. (2021). Huang, Zhuo ; Tong, Chen ; Liang, Fang. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:989-1012.

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2022Common Risk Factors in Cryptocurrency. (2022). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1133-1177.

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2022Factor Momentum and the Momentum Factor. (2022). Linnainmaa, Juhani T ; Ehsani, Sina. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1877-1919.

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2021Shadow banking and financial intermediation. (2021). oZGuR, Goker . In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:4:p:731-757.

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2021COVID?19, asset markets and capital flows. (2021). Volz, Ulrich ; Beirne, John ; Renzhi, Nuobu ; Sugandi, Eric. In: Pacific Economic Review. RePEc:bla:pacecr:v:26:y:2021:i:4:p:498-538.

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2021Measuring the effectiveness of US monetary policy during the COVID?19 recession. (2021). Pfarrhofer, Michael ; Huber, Florian ; Feldkircher, Martin. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:68:y:2021:i:3:p:287-297.

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2021How do secured funding markets behave under stress? Evidence from the gilt repo market. (2021). Veraart, Luitgard ; Lepore, Caterina ; Huser, Anne-Caroline. In: Bank of England working papers. RePEc:boe:boeewp:0910.

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2021Dash for dollars. (2021). Eguren Martin, Fernando ; Cesa-Bianchi, Ambrogio ; Eguren-Martin, Fernando. In: Bank of England working papers. RePEc:boe:boeewp:0932.

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2021An unintended consequence of holding dollar assets. (2021). Czech, Robert ; Lou, Dong ; Huang, Shiyang ; Wang, Tianyu. In: Bank of England working papers. RePEc:boe:boeewp:0953.

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2022FX option volume. (2022). Wang, Tianyu ; Huang, Shiyang ; Della Corte, Pasquale ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0964.

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2022A tale of two global monetary policies. (2022). Nenova, Tsvetelina ; Agrippino, Silvia Miranda ; Mirandaagrippino, Silvia. In: Bank of England working papers. RePEc:boe:boeewp:0972.

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2022What drives repo haircuts? Evidence from the UK market. (2022). Todorov, Karamfil ; Pinter, Gabor ; Yuan, Kathy ; Julliard, Christian. In: Bank of England working papers. RePEc:boe:boeewp:0985.

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2022Links between government bond and futures markets: dealer-client relationships and price discovery in the UK. (2022). Mankodi, Aakash ; Lazarov, Vladimir ; di Gangi, Domenico ; Silvestri, Laura. In: Bank of England working papers. RePEc:boe:boeewp:0991.

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2022Rise of NBFIs and the Global Structural Change in the Transmission of Market Shocks. (2022). Shinozaki, Yuji ; Koide, Yoshiyasu ; Hogen, Yoshihiko. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp22e14.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2022Non-bank mortgage lending in Ireland: recent developments and macroprudential considerations. (2022). McCann, Feargal ; Hennessy, Christina ; Gaffney, Edward. In: Financial Stability Notes. RePEc:cbi:fsnote:3/fs/22.

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2022Who Should You Listen to in a Crisis? Differences in Communication of Central Bank Policymakers. (2022). Palmu, Marianne ; Lehtimaki, Jonne. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:11:y:2022:i:3:p:33-57.

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2021Forecasting Realized Volatility Using Machine Learning and Mixed-Frequency Data (the Case of the Russian Stock Market). (2021). Leonova, Aleksandra ; Elizarov, Pavel ; Pyrlik, Vladimir. In: CERGE-EI Working Papers. RePEc:cer:papers:wp713.

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2022Can Time-Varying Currency Risk Hedging Explain Exchange Rates?. (2022). Hau, Harald ; Brauer, Leonie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10065.

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2023Breaking Monetary Policy News: The Role of Mass Media Coverage of ECB Announcements for Public Inflation Expectations. (2023). Feld, Lars ; Kohler, Ekkehard A ; Hirsch, Patrick. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10285.

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2021The Global Economic Impact of Politicians: Evidence from an International Survey RCT. (2021). Potrafke, Niklas ; Ruthardt, Fabian ; Grundler, Klaus ; Boumans, Dorine. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8833.

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2021Interest Rate Skewness and Biased Beliefs. (2021). Chernov, Mikhail ; Bauer, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9150.

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2022A Reassessment of Monetary Policy Surprises and High-Frequency Identification. (2022). Swanson, Eric T ; Bauer, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9642.

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2022Trading with the Informed and against the Uninformed: Flows and Positioning in the Global Currency Market. (2022). Melvin, Michael ; Giovanardi, Davide ; Franolic, Rob ; Barrios, Aldo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9921.

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2021The Global Economic Impact of Politicians: Evidence from an International Survey RCT. (2021). Potrafke, Niklas ; Ruthardt, Fabian ; Grundler, Klaus ; Boumans, Dorine. In: EconPol Working Paper. RePEc:ces:econwp:_56.

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2022Meeting Investor Outflows in Czech Bond and Equity Funds: Horizontal or Vertical?. (2022). Szabo, Milan. In: Working Papers. RePEc:cnb:wpaper:2022/6.

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2021The Voice of Monetary Policy. (2021). Talavera, Oleksandr ; Pham, Tho ; Gorodnichenko, Yuriy. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15932.

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2022Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era. (2022). Siklos, Pierre ; Kanelis, Dimitrios. In: CQE Working Papers. RePEc:cqe:wpaper:10322.

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2022How QE changes the nature of sovereign risk. (2022). van den End, Jan Willem ; de Haan, Leo ; Broeders, Dirk. In: Working Papers. RePEc:dnb:dnbwpp:737.

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2022Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment. (2022). Coenen, Günter ; On, Taskforce. In: Occasional Paper Series. RePEc:ecb:ecbops:2022290.

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2021Issuance and valuation of corporate bonds with quantitative easing. (2021). Pegoraro, Stefano ; Montagna, Mattia. In: Working Paper Series. RePEc:ecb:ecbwps:20212520.

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2022Market-stabilization QE. (2022). Ozen, Kadir ; Motto, Roberto. In: Working Paper Series. RePEc:ecb:ecbwps:20222640.

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2022Evaluating market risk from leveraged derivative exposures. (2022). Jukonis, Audrius. In: Working Paper Series. RePEc:ecb:ecbwps:20222722.

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2022Boosting carry with equilibrium exchange rate estimates. (2022). Kwas, Marek ; Ca, Michele ; Michele Ca, ; Beckmann, Joscha ; Rubaszek, Micha. In: Working Paper Series. RePEc:ecb:ecbwps:20222731.

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2022The impact of derivatives collateralisation on liquidity risk: evidence from the investment fund sector. (2022). Rousova, Linda ; Letizia, Elisa ; Jukonis, Audrius. In: Working Paper Series. RePEc:ecb:ecbwps:20222756.

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2021Immune or at-risk? Stock markets and the significance of the COVID-19 pandemic. (2021). Shannon, Darren ; Odonnell, Niall ; Sheehan, Barry. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000216.

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2022Global momentum: The optimal trading approach. (2022). Muradoglu, Yaz ; Tsitsianis, Nicholas ; Muradolu, Yaz Gulnur ; Wouassom, Alain. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:36:y:2022:i:c:s2214635022000788.

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2023Is the Peoples Bank of China consistent in words and deeds?. (2023). Zhu, Chuanqi ; Chen, Liangyuan ; Mei, Ziwei ; Lin, Jianhao. In: China Economic Review. RePEc:eee:chieco:v:78:y:2023:i:c:s1043951x23000044.

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2021Strategic insider trading in foreign exchange markets. (2021). Szilagyi, Peter ; Batten, Jonathan ; Lonarski, Igor. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119920302625.

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2022Momentum and the Cross-section of Stock Volatility. (2022). Liu, Jiadong ; Kearney, Fearghal ; Fan, Minyou. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002287.

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2022Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions. (2022). Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide ; Gardini, Laura ; Westerhoff, Frank. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002482.

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2022Herding behaviour heterogeneity under economic and political risks: Evidence from GCC. (2022). Molyneux, Philip ; Albaity, Mohamed ; Mallek, Ray Saadaoui. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:345-361.

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2022Do oil price shocks have any implications for stock return momentum?. (2022). Kang, Sanghoon ; Maitra, Debasish ; Dash, Saumya Ranjan ; Balakumar, Suganya. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:637-663.

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2022Asymmetric effects of foreign capital on income inequality: The case of the Post-China 16 countries. (2022). Brůna, Karel ; Brna, Karel ; Kabrt, Toma. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:76:y:2022:i:c:p:613-626.

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2021Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

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2022A new comprehensive database of financial crises: Identification, frequency, and duration. (2022). Wood, Justine ; Castro, Vitor ; Nguyen, Thanh Cong. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999322000165.

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2022Why exchange rate pass-through matters in forward exchange markets. (2022). Choi, Kwan E. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000414.

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2022Market regime detection via realized covariances. (2022). Ciciretti, Vito ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000785.

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2022Exchange rate predictability, risk premiums, and predictive system. (2022). Park, Cheolbeom ; Bak, Yuhyeon. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002632.

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2021A filtered currency carry trade. (2021). Suh, Sangwon ; Ho, Jin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000930.

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2021Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market. (2021). Jiang, Cuixia ; Li, Mengting ; Xu, Qifa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001224.

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2021Forecasting stock market volatility: Can the risk aversion measure exert an important role?. (2021). Chang, Xiaoming ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001297.

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2021The COVID-19 Pandemic and Sovereign Bond Risk. (2021). Andrieș, Alin Marius ; Sprincean, Nicu ; Ongena, Steven. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001431.

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2022Rigid payment breaking, default spread and yields of Chinese treasury bonds. (2022). Xu, Xiangyun ; Jia, Fei ; Chen, Yunping ; Yu, Cong ; Huang, Xiaoyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001777.

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2022Hedging local currency risk with precious metals. (2022). Kunkler, Michael. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001923.

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More than 100 citations found, this list is not complete...

Works by Andreas Schrimpf:

YearTitleTypeCited
2009Global Asset Pricing: Is There a Role for Long-run Consumption Risk? In: CREATES Research Papers.
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2010Dividend predictability around the world In: CREATES Research Papers.
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2014Dividend Predictability Around the World.(2014) In: Journal of Financial and Quantitative Analysis.
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2010Macro Expectations, Aggregate Uncertainty, and Expected Term Premia In: CREATES Research Papers.
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2013Macro-expectations, aggregate uncertainty, and expected term premia.(2013) In: European Economic Review.
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2010Macro expectations, aggregate uncertainty, and expected term premia.(2010) In: ZEW Discussion Papers.
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2010A Comprehensive Look at Financial Volatility Prediction by Economic Variables In: CREATES Research Papers.
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2012A Comprehensive Look at Financial Volatility Prediction by Economic Variables.(2012) In: BIS Working Papers.
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2012A comprehensive look at financial volatility prediction by economic variables.(2012) In: Journal of Applied Econometrics.
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2011International Diversification Benefits with Foreign Exchange Investment Styles In: CREATES Research Papers.
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2014International Diversification Benefits with Foreign Exchange Investment Styles.(2014) In: Review of Finance.
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2011International diversification benefits with foreign exchange investment styles.(2011) In: ZEW Discussion Papers.
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2012Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM In: CREATES Research Papers.
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2013Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM.(2013) In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
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2016The Response of Tail Risk Perceptions to Unconventional Monetary Policy In: American Economic Journal: Macroeconomics.
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2013The response of tail risk perceptions to unconventional monetary policy.(2013) In: BIS Working Papers.
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2021Optimal Transport of Information In: Papers.
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2021Optimal Transport of Information.(2021) In: Swiss Finance Institute Research Paper Series.
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2021Optimal Transport of Information.(2021) In: CEPR Discussion Papers.
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2022Persuasion by Dimension Reduction In: Papers.
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2021Persuasion by Dimension Reduction.(2021) In: Swiss Finance Institute Research Paper Series.
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2020US dollar funding markets during the Covid-19 crisis - the money market fund turmoil In: BIS Bulletins.
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2020US dollar funding markets during the Covid-19 crisis - the international dimension In: BIS Bulletins.
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2020Leverage and margin spirals in fixed income markets during the Covid-19 crisis In: BIS Bulletins.
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2011FX strategies in periods of distress In: BIS Quarterly Review.
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2013The anatomy of the global FX market through the lens of the 2013 Triennial Survey In: BIS Quarterly Review.
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2016Hanging up the phone - electronic trading in fixed income markets and its implications In: BIS Quarterly Review.
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2016Downsized FX markets: causes and implications In: BIS Quarterly Review.
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2019Beyond LIBOR: a primer on the new benchmark rates In: BIS Quarterly Review.
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2019Sizing up global foreign exchange markets In: BIS Quarterly Review.
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2019FX trade execution: complex and highly fragmented In: BIS Quarterly Review.
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2020Changes in monetary policy operating procedures over the last decade: insights from a new database In: BIS Quarterly Review.
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2021DeFi risks and the decentralisation illusion In: BIS Quarterly Review.
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2022Foreword: OTC foreign exchange and interest rate derivatives markets through the prism of the Triennial Survey In: BIS Quarterly Review.
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2022Global production linkages and stock market co-movement In: BIS Working Papers.
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2022Global Production Linkages and Stock Market Comovement.(2022) In: Swiss Finance Institute Research Paper Series.
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2023Crypto carry In: BIS Working Papers.
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2011Currency Momentum Strategies In: BIS Working Papers.
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2012Currency Momentum Strategies.(2012) In: CEPR Discussion Papers.
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2012Currency momentum strategies.(2012) In: Journal of Financial Economics.
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2012Currency Momentum Strategies.(2012) In: Working Paper series.
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2013Information flows in foreign exchange markets: dissecting customer currency trades In: BIS Working Papers.
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2016Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades.(2016) In: Journal of Finance.
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2015Global Asset Allocation Shifts In: BIS Working Papers.
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2016When the walk is not random: commodity prices and exchange rates In: BIS Working Papers.
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2017When the Walk Is Not Random: Commodity Prices and Exchange Rates.(2017) In: International Journal of Central Banking.
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2016Has the pricing of stocks become more global? In: BIS Working Papers.
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2016Has the Pricing of Stocks Become More Global?.(2016) In: Swiss Finance Institute Research Paper Series.
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2015Has the Pricing of Stocks Become More Global?.(2015) In: CEPR Discussion Papers.
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2017Scarcity effects of QE: A transaction-level analysis in the Bund market In: BIS Working Papers.
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2017Scarcity effects of QE: A transaction-level analysis in the Bund market.(2017) In: Discussion Papers.
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2017Monetary policys rising FX impact in the era of ultra-low rates In: BIS Working Papers.
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2017Monetary policys rising FX impact in the era of ultra-low rates.(2017) In: CEPR Discussion Papers.
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2021Monetary policy’s rising FX impact in the era of ultra-low rates.(2021) In: Journal of Banking & Finance.
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2017Segmented money markets and covered interest parity arbitrage In: BIS Working Papers.
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2017Segmented money markets and covered interest parity arbitrage.(2017) In: Working Paper.
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2018An intermediation-based model of exchange rates In: BIS Working Papers.
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2018An Intermediation-Based Model of Exchange Rates.(2018) In: Swiss Finance Institute Research Paper Series.
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2018An Intermediation-Based Model of Exchange Rates.(2018) In: CEPR Discussion Papers.
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2018Explaining Monetary Spillovers: The Matrix Reloaded In: BIS Working Papers.
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2020Explaining Monetary Spillovers: The Matrix Reloaded.(2020) In: CEPR Discussion Papers.
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2018Non-monetary news in central bank communication In: BIS Working Papers.
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2019Non-monetary news in central bank communication.(2019) In: Journal of International Economics.
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2018Non-Monetary News in Central Bank Communication.(2018) In: NBER Chapters.
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2018Non-Monetary News in Central Bank Communication.(2018) In: NBER Working Papers.
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2020Debt De-risking In: BIS Working Papers.
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2020Debt De-risking.(2020) In: CEPR Discussion Papers.
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2020Banking across borders: At the crossroads in the transition away from LIBOR - from overnight to term rates In: BIS Working Papers.
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2021Non-bank financial intermediaries and financial stability In: BIS Working Papers.
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2022Monetary policy expectation errors In: BIS Working Papers.
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2022Monetary policy expectation errors.(2022) In: Journal of Financial Economics.
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2007Cross?sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market In: European Financial Management.
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2012Carry Trades and Global Foreign Exchange Volatility In: Journal of Finance.
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2011Carry Trades and Global Foreign Exchange Volatility.(2011) In: CEPR Discussion Papers.
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2015Size and Momentum Profitability in International Stock Markets In: Swiss Finance Institute Research Paper Series.
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2015Size and Momentum Profitability in International Stock Markets.(2015) In: CEPR Discussion Papers.
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2016Intermediation Markups and Monetary Policy Passthrough In: Swiss Finance Institute Research Paper Series.
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2018Intermediation markups and monetary policy pass-through.(2018) In: CEPR Discussion Papers.
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2017Intermediation Markups and Monetary Policy Passthrough.(2017) In: 2017 Meeting Papers.
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2020Policy Announcement Design In: Swiss Finance Institute Research Paper Series.
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2022Constrained Liquidity Provision in Currency Markets In: Swiss Finance Institute Research Paper Series.
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2016Currency Value In: CEPR Discussion Papers.
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2017Currency Value.(2017) In: Review of Financial Studies.
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2019Covered Interest Parity Arbitrage In: CEPR Discussion Papers.
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2022Covered Interest Parity Arbitrage.(2022) In: Review of Financial Studies.
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2019The FOMC Risk Shift In: CEPR Discussion Papers.
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2021The FOMC Risk Shift.(2021) In: Journal of Monetary Economics.
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2021The FOMC risk shift.(2021) In: SAFE Working Paper Series.
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2020The Market Microstructure of Central Bank Bond Purchases In: Journal of Financial and Quantitative Analysis.
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2011Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations? In: European Economic Review.
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2008Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?.(2008) In: SFB 649 Discussion Papers.
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2013What do professional forecasters stock market expectations tell us about herding, information extraction and beauty contests? In: Journal of Empirical Finance.
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2010A reappraisal of the leading indicator properties of the yield curve under structural instability In: International Journal of Forecasting.
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2010International stock return predictability under model uncertainty In: Journal of International Money and Finance.
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2008International Stock Return Predictability Under Model Uncertainty.(2008) In: ZEW Discussion Papers.
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2009Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns In: Review of Financial Economics.
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2009Asset pricing with a reference level of consumption: New evidence from the cross?section of stock returns.(2009) In: Review of Financial Economics.
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2009Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns.(2009) In: CFR Working Papers.
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2007Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns.(2007) In: ZEW Discussion Papers.
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2011On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications In: CER-ETH Economics working paper series.
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2019Common risk factors in international stock markets In: Financial Markets and Portfolio Management.
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2009Carry Trades and Global FX Volatility In: MPRA Paper.
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2009Long-horizon consumption risk and the cross-section of returns: new tests and international evidence In: The European Journal of Finance.
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2009Long-horizon consumption risk and the cross-section of returns: New tests and international evidence.(2009) In: CFR Working Papers.
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2022Peso problems in the estimation of the C?CAPM In: Quantitative Economics.
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2009Higher-order beliefs among professional stock market forecasters: some first empirical tests In: ZEW Discussion Papers.
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2006Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns In: ZEW Discussion Papers.
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2006Evaluating conditional asset pricing models for the German stock market In: ZEW Discussion Papers.
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2006Methoden mittelfristiger gesamtwirtschaftlicher Projektionen In: ZEW Wachstums- und Konjunkturanalysen.
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2007Zinsstruktur als Konjunkturindikator: Wie variabel ist die Prognosekraft? In: ZEW Wachstums- und Konjunkturanalysen.
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2009Rendite und Risiko von Carry Trade Strategien auf Devisenmärkten In: ZEW Wachstums- und Konjunkturanalysen.
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