Andrea Vedolin

About

Andrea Vedolin is a Professor and Department Chair of Finance at Boston University Questrom School of Business. His research focuses on various aspects of financial economics, including interest rate risk management, exchange rates, asset prices, and monetary policy uncertainty. Vedolin has contributed to the understanding of central bank communication, model complexity in expectations, and the global factor structure of exchange rates, among other topics. His work has been published in leading journals such as the Journal of Financial Economics, The Review of Financial Studies, and the Journal of Finance. Vedolin's research provides insights into the behavior of financial markets and the impact of economic uncertainty, and he is recognized for his significant contributions to the field of finance.

Research topics

• Computer Science
• Economics
• Econometrics
• Macroeconomics
• Financial economics
• Monetary economics
• Mathematics
• Political Science
• Artificial Intelligence
• Business

Selected publications

• Central bank communication and the yield curve

  Journal of Financial Economics · 2021 · 100 citations

  PublisherOA PDFDOI

• Interest Rate Risk Management in Uncertain Times

  Review of Financial Studies · 2018-04-04 · 41 citations

  articleSenior author

  We revisit evidence of real effects of uncertainty shocks in the context of interest rate uncertainty. We document that adverse movements in interest rate uncertainty predict significant slowdowns in real activity, both at the aggregate and at the firm levels. To understand how firms cope with interest rate uncertainty, we develop a dynamic model of corporate investment, financing, and risk management and test it using a rich data set on corporate swap usage. We find that interest rate uncertain…

  PublisherDOI

• The global factor structure of exchange rates

  Journal of Financial Economics · 2023 · 19 citations

  Senior authorCorresponding

  We propose a model-free methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international stocks, bonds, and currencies in markets with frictions. We theoretically establish a SDF decomposition into one global factor and a currency basket. We show that our global factor prices a large cross-section of international asset returns, not just in- but also out-of-sample, across different currency denominations. Moreover, the pricing ability of…

  PublisherDOI

• Skewness and Time-Varying Second Moments in a Nonlinear Production Network: Theory and Evidence

  National Bureau of Economic Research · 2021-11-01 · 17 citations

  preprintSenior author

  This paper studies asymmetry in economic activity over the business cycle. It develops a tractable multisector model of the economy in which complementarity across inputs causes aggregate activity to be left skewed with countercyclical volatility. We then examine implications of the model regarding the time-series skewness of activity at the sector level, cyclicality of dispersion and skewness across sectors, and the conditional covariances of sector growth rates, finding support for each in the…

  PublisherDOI

• Model Complexity, Expectations, and Asset Prices

  The Review of Economic Studies · 2023 · 13 citations

  Senior authorCorresponding

  Abstract This paper analyses how limits to the complexity of statistical models used by market participants can shape asset prices. We consider an economy in which the stochastic process that governs the evolution of economic variables may not have a simple representation, and yet, agents are only capable of entertaining statistical models with a certain level of complexity. As a result, they may end up with a lower-dimensional approximation that does not fully capture the intertemporal complexi…

  PublisherDOI

Frequent coauthors

• Philippe Mueller

  32 shared

• Fabio Trojani

  University of Geneva

  26 shared

• Alireza Tahbaz-Salehi

  Northwestern University

  23 shared

• Aytek Malkhozov

  Queen Mary University of London

  11 shared

• Gyuri Venter

  University of Warwick

  10 shared

• Sofonias Alemu Korsaye

  Swiss Finance Institute

  8 shared

• Hao Xing

  Citadel

  7 shared

• Andrea Buraschi

  Centre for Economic Policy Research

  7 shared

Education

• Ph.D., Finance

  University of California, Berkeley

  2003

• M.S., Finance

  University of California, Berkeley

  1999

• B.A., Economics

  University of California, Santa Barbara

  1997