作者:Ji, Q (Ji, Qiang)[ 1,2,3 ] ; Liu, BY (Liu, Bing- Yue)[ 4 ] ; Fan, Y (Fan, Ying)[ 4 ]
ENERGY ECONOMICS
卷: 77页: 80-92特刊: SI
DOI: 10.1016/j.eneco.2018.07.012
出版年: JAN 2019
文献类型:Article; Proceedings Paper
摘要
This paper analyses the dynamic dependence between WTI crude oil and the exchange rates of the United States and China, taking structural changes of dependence into account by using six time-varying copula models. Upside and downside conditional values at risk (CoVaRs) are introduced specifically to measure the upward and downward risk dependences between oil prices and exchange rates. The findings indicate a structural break point of dependence exists between daily or weekly crude oil and the US dollar index. The dependence between crude oil and the RMB exchange rate is faintly positive with lower tail dependence, while the dependence between crude oil and the US dollar index is significantly negative with lower-upper and upper-lower tail dependence. Finally, the CoVaRs results show that there is significant risk spillover from crude oil to Chinese and the US exchange rate markets. Furthermore, the spillover effect is significantly asymmetry in Chinese exchange rate market in response to rising and falling oil returns, while the asymmetry of spillover effect for the US dollar index is not significant. (C) 2018 Elsevier B.V. All rights reserved.
关键词
作者关键词:Dynamic dependence; CoVaR; Time-varying copula; Structural change; Oil price; Exchange rate
KeyWords Plus:INTERNATIONAL CRUDE-OIL; SYSTEMIC RISK; NONLINEAR CAUSALITY; STOCK RETURNS; CHINA; MARKET; VOLATILITY; RENMINBI; NEXUS; SPILLOVERS
通讯作者地址:
Beihang University Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China.
通讯作者地址: Liu, BY (通讯作者)
