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

Journal of Risk and Financial Management

卷:12

Shigeyuki Hamori¹  Yijin He¹ 

[1] Graduate School of Economics, Kobe University, 2-1, Rokkodai, Kobe 657-8501, Japan;

关键词: exchange rate;    oil price;    BRICS;    dependence structure;    copula;   

DOI  :  10.3390/jrfm12020099

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown