CASISD OpenIR
Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates
Liu, Bing-Yue; Ji, Qiang; Nguyen, Duc Khuong; Fan, Ying
Source PublicationINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
AbstractThis article aims at investigating the dynamic dependence and extreme risk comovement of oil price and exchange rates in seven oil-importing and seven oil-exporting countries. For this purpose, we use six representative time-varying copula models and four kinds of tail dependences to assess the downside and upside conditional value-at-risk measures (CoVaRs). Our findings indicate that the dependence of crude oil returns and exchange rates is negative for most pairs, that is, the rise (fall) in oil prices was accompanied by the appreciation (depreciation) of foreign currency against the US dollar. The oil price-exchange rate dependences in oil exporters is slightly larger than in oil importers, even though the dependence is weak in general. More interestingly, we find strong evidence of significant risk comovement between crude oil returns and exchange rates through the analysis of lower-upper and upper-lower tail dependence as well as downside and upside CoVaRs. This comovement particularly showed asymmetric effects. Finally, we sum up some implications for investors, policymakers and exchange rate regulators from a holistic perspective of empirical findings.
2020
DOI10.1002/ijfe.1924
Language英语
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Document Type期刊论文
Identifierhttp://ir.casisd.cn/handle/190111/9782
Collection中国科学院科技战略咨询研究院
Recommended Citation
GB/T 7714
Liu, Bing-Yue,Ji, Qiang,Nguyen, Duc Khuong,et al. Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates[J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS,2020.
APA Liu, Bing-Yue,Ji, Qiang,Nguyen, Duc Khuong,&Fan, Ying.(2020).Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates.INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS.
MLA Liu, Bing-Yue,et al."Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates".INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2020).
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