Conditional Dependence between Oil Prices and Exchange Rates in BRICS Countries: An Application of the Copula-GARCH Model

• He, Yijin

• 羽森, 茂之

抄録

We studied the dependence structure between West Texas Intermediate (WTI) oil prices and the exchange rates of BRICS1 countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We found that negative dependence and significant tail dependence exist in all pairs considered. The Russian Ruble (RUB)-WTI pair has the strongest dependence. Moreover, we treated five exchange rate-oil pairs as portfolios and evaluated the Value at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil price falls sharply.

収録刊行物

• Journal of Risk and Financial Management

  Journal of Risk and Financial Management 12 (2), 99-99, 2019-06

  MDPI

キーワード

• exchange rate
• oil price
• BRICS
• dependence structure
• copula

詳細情報

• CRID: 1050012570392475520
• NII論文ID: 120006775981
• DOI: 10.3390/jrfm12020099
• ISSN: 19118074
• ISSN: 19118066
• HANDLE: 20.500.14094/90006637
• Web Site: https://www.mdpi.com/1911-8074/12/2/99/pdf
• 本文言語コード: en
• 資料種別: journal article
• データソース種別:
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  • Crossref
  • CiNii Articles
  • KAKEN