Title:Modeling and Forecasting Exchange-Rates With a Bayesian Time-Varying Coefficient Model Author(s):CANOVA, FabioDate:1993Citation:
- Journal of Economic Dynamics & Control, 1993, 17, 01-feb, 233-261
Type:ArticleAbstract:This paper employs a multivariate Bayesian time-varying coefficients (TVC) approach to model and forecast exchange rate data. It is shown that, if used as a data-generating mechanism, a TVC model induces nonlinearities in ...
Title:Profits, Risk, and Uncertainty in Foreign-Exchange Markets Author(s):CANOVA, Fabio; MARRINAN, JaneDate:1993Citation:
- Journal of Monetary Economics, 1993, 32, 2, 259-286
Type:ArticleAbstract:This paper examines the properties of nominal profits from speculation in dollar-dominated forward contracts using a representative agent cash-in-advance model, modified to allow for heteroscedasticity in the exogenous ...
Title:Trade Interdependence and the International-Business Cycle Author(s):CANOVA, Fabio; DELLAS, H.Date:1993Citation:
- Journal of International Economics, 1993, 34, 01-feb, 23-47
Type:ArticleAbstract:A stochastic general equilibrium model of the world economy is developed to analyze the contribution of trade interdependence to international business cycles. We test some of the implications of the model using data from ...
Title:Sources and Propagation of International Business Cycles: Common Shocks or Transmission? Author(s):CANOVA, FabioDate:1993Type:Working PaperSeries/Number:EUI ECO; 1993/25