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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
economics, econometrics and finance
Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach
Journal of International Money and Finance, Volume 32, No. 1, Year 2013
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Description
We study the conditional dependence structure between crude oil prices and U.S. dollar exchange rates using a copula-GARCH approach. Various copula functions of the elliptical, Archimedean and quadratic families are used to model the underlying dependence structure in both bearish and bullish market phases. Over the 2000-2011 period, we find evidence of significant and symmetric dependence for almost all the oil-exchange rate pairs considered. The rise in the price of oil is found to be associated with the depreciation of the dollar. Moreover, we show that Student-t copulas best capture the extreme dependence, and that taking the extreme comovement into account leads to improve the accuracy of VaR forecasts. Our main results remain unchanged when considering alternative GARCH-type specifications and the crisis period, but are sensitive to the use of raw returns. © 2012 Elsevier Ltd.
Authors & Co-Authors
Aloui, Riadh
Tunisia, Tunis
Faculté Des Sciences Economiques et de Gestion de Tunis
Ben Aïssa, Mohamed Safouane
Tunisia, Tunis
Faculté Des Sciences Economiques et de Gestion de Tunis
Nguyen, Duc Khuong
France, Paris
Isc Paris Business School
Statistics
Citations: 285
Authors: 3
Affiliations: 2
Identifiers
Doi:
10.1016/j.jimonfin.2012.06.006
ISSN:
02615606