Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach

2013 ◽  
Vol 32 ◽  
pp. 719-738 ◽  
Author(s):  
Riadh Aloui ◽  
Mohamed Safouane Ben Aïssa ◽  
Duc Khuong Nguyen
Keyword(s):  
Exchange Rates ◽  
Oil Prices ◽  
Dependence Structure ◽  
Conditional Dependence

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

2019 ◽  
Vol 12 (2) ◽  
pp. 99
Author(s):  
Yijin He ◽  
Shigeyuki Hamori
Keyword(s):  
Exchange Rates ◽  
Value At Risk ◽  
Tail Dependence ◽  
Oil Prices ◽  
Dependence Structure ◽  
Copula Models ◽  
Conditional Dependence ◽  
Brics Countries ◽  
T Copula ◽  
Student’S T

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.

Has the dependence structure of the BRICS exchange rates changed after the financial crisis? Evidence from R-Vine copula model

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhuoqun Zhang ◽  
Tao Zhang
Keyword(s):  
Financial Crisis ◽  
Exchange Rates ◽  
Trade Policy ◽  
Design Methodology ◽  
Policy Design ◽  
Oil Prices ◽  
Dependence Structure ◽  
Copula Model ◽  
Content Type ◽  
Vine Copula

PurposeThe authors examine the dependence structure of the BRICS exchange rates.Design/methodology/approachThe authors construct a regular vine copula model to study the co-movements of exchange rates in BRICS controlling the influences from the SDR currencies and the oil prices.FindingsThe main findings show that, after the financial crisis, RMB pursued a more balanced strategy shifting from USD-centered to USD-EUR dependency and the oil prices become more dependent on RUB than USD, which could weaken the dollar hegemony. From robustness tests, we find that the inclusion of RMB in SDR has certain but limited impacts on the dependence structure and the influence of the GBP weakened as well. The results have important implications for currency trade, policy design and the future of the BRICS.Originality/valueThe contribution of this paper is twofold. First, we examine the interdependence structure of the BRICS exchange rates controlling for the influence of SDR currencies and the oil prices with R-Vine copula model. Second, we compare the pre- and after-crisis structure and see if the financial crisis and the BRICS summits have changed the structure.

Conditional dependence structure between oil prices and international stock markets

2019 ◽  
Vol 14 (2) ◽  
pp. 439-467 ◽  
Author(s):  
Wajdi Hamma ◽  
Bassem Salhi ◽  
Ahmed Ghorbel ◽  
Anis Jarboui
Keyword(s):  
Stock Markets ◽  
Oil Prices ◽  
Conditional Variance ◽  
Optimal Portfolio ◽  
Dependence Structure ◽  
Hedging Strategy ◽  
Content Type ◽  
Conditional Dependence ◽  
Hedge Ratios ◽  
Stock Portfolio

Purpose The purpose of this paper is to analyze the optimal hedging strategy of the oil-stock dependence structure. Design/methodology/approach The methodology consists to model the data over the daily period spanning from January 02, 2002 to May 19, 2016 by a various copula functions to better modeling the dependence between crude oil market and stock markets, and to use dependence coefficients and conditional variance to calculate optimal portfolio weights and optimal hedge ratios, and to suggest the best hedging strategy for oil-stock portfolio. Findings The findings show that the Gumbel copula is the best model for modeling the conditional dependence structure of the oil and stock markets in most cases. They also indicate that the best hedging strategy for oil price by stock market varies considerably over time, but this variation depends on both the index introduced and the model used. However, the conditional copula method with skewed student more effective than the other models to minimize the risk of oil-stock portfolio. Originality/value This research implication can be valuable for portfolio managers and individual investors who seek to make earnings by diversifying their portfolios. The findings of this study provide evidence of the importance of stock assets for making an optimal portfolio consisting of oil in the case of investments in oil and stock markets. This paper attempts to fill the voids in the literature on volatility among oil prices and stock markets in two important areas. First, it uses copulas to investigate the conditional dependence structure of the oil crude and stock markets in the oil exporting and importing countries. Second, it uses the dependence coefficients and conditional variance to calculate dynamic hedge ratios and risk-minimizing optimal portfolio weights for oil–stock.

On the study of conditional dependence structure between oil, gold and USD exchange rates

2018 ◽  
Vol 59 ◽  
pp. 134-146 ◽  
Author(s):  
Rihab Bedoui ◽  
Sana Braeik ◽  
Stéphane Goutte ◽  
Khaled Guesmi
Keyword(s):  
Exchange Rates ◽  
Dependence Structure ◽  
Conditional Dependence

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

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