Federico Gavazzoni PhD Student in Financial Economics Tepper School of Business 5000 Forbes Avenue Carnegie Mellon University Pittsburgh, PA 15213 Office: Tepper 312 (GSIA) Phone: (412) 268-5355 Email: federicogavazzoni@cmu.edu Curriculum Vitae: click here

Areas of Interest

Asset Pricing, International Finance, Macroeconomics, Monetary Policy.

Working Papers

I examine the uncovered interest rate parity puzzle in a two-country economy where agents have recursive preferences. The model rationalizes the anomaly thanks to the presence of two ingredients: preference for the early resolution of risk and stochastic volatility in consumption growth. When U.S. consumption volatility is relatively low, exchange rate variability is closely tied to shocks in U.K. consumption. This is foreign exchange risk for the U.K. investor. At the same time, the preference for the early resolution of risk drives the U.S. interest rate up when U.S. volatility is low, thus solving the puzzle.

Work in Progress