Andreas Schrimpf
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View article: Debt Derisking
Debt Derisking Open
We examine how corporate bond fund managers manipulate portfolio risk in response to incentives. We find that liquidity risk concerns drive the allocation decisions of underperforming funds, whereas tournament incentives are of secondary i…
View article: Benign Autoencoders
Benign Autoencoders Open
Recent progress in Generative Artificial Intelligence (AI) relies on efficient data representations, often featuring encoder-decoder architectures. We formalize the mathematical problem of finding the optimal encoder-decoder pair and chara…
View article: Covered Interest Parity Arbitrage
Covered Interest Parity Arbitrage Open
To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when i…
View article: Replication Data for: "Covered Interest Parity Arbitrage" by Dagfinn Rime, Andreas Schrimpf and Olav Syrstad
Replication Data for: "Covered Interest Parity Arbitrage" by Dagfinn Rime, Andreas Schrimpf and Olav Syrstad Open
Replication data and code for "Covered Interest Parity Arbitrage" by Dagfinn Rime, Andreas Schrimpf and Olav Syrstad. Forthcoming in Review of Financial Studies.
View article: Peso problems in the estimation of the C‐CAPM
Peso problems in the estimation of the C‐CAPM Open
This paper shows that the consumption‐based capital asset pricing model (C‐CAPM) with low‐probability disaster risk rationalizes pricing errors. We find that implausible estimates of risk aversion and time preference are not puzzling if ma…
View article: Optimal Transport of Information
Optimal Transport of Information Open
We study the general problem of Bayesian persuasion (optimal information design) with continuous actions and continuous state space in arbitrary dimensions. First, we show that with a finite signal space, the optimal information design is …
View article: Non-monetary news in central bank communication
Non-monetary news in central bank communication Open
Using evidence from four major central banks, we decompose news conveyed by central-bank communication into news about monetary policy (monetary news), as well as non-monetary news, i.e., news about economic growth and news affecting finan…