Volatility spillover between crude oil and exchange rate: A copula-CARR approach

2017 International Conference on New Energy and Future Energy System

Pu, Y.J.^1 ; Guo, M.Y.^1

College of Management and Economics, Tianjin University, Tianjin

300072, China^1

关键词: Clayton copulas;    Correlation structure;    Crude oil prices;    Hot research topics;    Marginal models;    Socio-economic development;    Structural break;    Volatility spillovers;   

Others  :  https://iopscience.iop.org/article/10.1088/1755-1315/93/1/012034/pdf
DOI  :  10.1088/1755-1315/93/1/012034

来源: IOP

【 摘 要 】

Oil provides a powerful impetus for modern society's production and life. The influences of oil price fluctuations on socio-economic development are obvious, and it draws more attention from scholars. However, the distribution of oil is highly centralized, which leads to the vast majority of oil trading through foreign trade. As a result, exchange rate plays an important role in the oil business. Study on the relationship between exchange rate and crude oil gradually becomes a hot research topic in recent years. In this paper, we use copula and CARR model to study correlation structure and relationship between crude oil price and exchange rate. We establish CARR models as marginal models and use five copulas which are Gaussian Copula, Student-t Copula, Gumbel Copula, Clayton Copula and Frank Copula to study the correlation structure between NYMEX crude oil price range and U. S. Dollar Index range. Furthermore, we use Copula-CARR model with structural breaks to detect the change points in the correlation structure between NYMEX crude oil price range and U. S. Dollar Index range. Empirical results show that the change points are closely related to the actual economic events.