Federico Gavazzoni

INSEAD

Assistant Professor of Finance

Boulevard de Constance

F-77305 Fontainebleau Cedex

France

http://federicogavazzoni.com

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

1.

Currency Risk Factors in a Recursive Multi-Country Economy

Journal of Finance, Forthcoming, Simon Business School Working Paper No. FR 15-10, INSEAD Working Paper No. 2015/40/FIN
Number of pages: 51 Posted: 24 Dec 2014 Last Revised: 25 Aug 2018
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, INSEAD and University of Oregon - Department of Finance
Downloads 689 (36,600)
Citation 22

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Recursive Risk Sharing, Carry Trade, Currency Risk Factors

2.

Monetary Policy and the Uncovered Interest Rate Parity Puzzle

Number of pages: 72 Posted: 06 Jul 2010 Last Revised: 14 Aug 2013
David K. Backus, Federico Gavazzoni, Chris Telmer and Stanley E. Zin
NYU Stern School of Business, INSEAD, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 467 (60,578)

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Uncovered interest parity, carry trade, exchange rates, Taylor rule

3.
Downloads 295 (102,773)
Citation 10

Currency Risk and Pricing Kernel Volatility

INSEAD Working Paper No. 2013/91/FIN
Number of pages: 40 Posted: 24 Nov 2012 Last Revised: 14 Aug 2013
Federico Gavazzoni, Batchimeg Sambalaibat and Chris Telmer
INSEAD, Indiana University, Kelley School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 241 (126,472)
Citation 11

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Currency Risk and Pricing Kernel Volatility

Number of pages: 35 Posted: 04 Oct 2013
Federico Gavazzoni, Batchimeg Sambalaibat and Chris Telmer
INSEAD, Indiana University, Kelley School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 54 (381,568)
Citation 12

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Asset Pricing, International Finance, Exchange Rate

4.

Nominal Frictions, Monetary Policy, and Long-Run Risk

INSEAD Working Paper No. 2012/97/FIN
Number of pages: 74 Posted: 15 Oct 2012 Last Revised: 26 Oct 2012
Federico Gavazzoni
INSEAD
Downloads 127 (223,476)

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5.

International R&D Spillovers and Asset Prices

FRB St. Louis Working Paper No. 2015-41
Number of pages: 63 Posted: 04 Dec 2015 Last Revised: 01 May 2019
Federico Gavazzoni and Ana Maria Santacreu
INSEAD and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 110 (248,424)

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international asset pricing, recursive preferences, long-run risk, innovation, international diffusion

6.

Monetary Policy and the Uncovered Interest Parity Puzzle

NBER Working Paper No. w16218
Number of pages: 55 Posted: 26 Jul 2010
David K. Backus, Federico Gavazzoni, Chris Telmer and Stanley E. Zin
NYU Stern School of Business, INSEAD, Carnegie Mellon University - David A. Tepper School of Business and New York University (NYU)
Downloads 47 (398,936)

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7.

Currency Risk Factors in a Recursive Multicountry Economy

CEPR Discussion Paper No. DP12610
Number of pages: 79 Posted: 22 Jan 2018
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, INSEAD and University of Rochester
Downloads 0 (670,601)
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