A quantile-copula approach to dependence between financial assets

Jong-Min Kim, Lucia Tabacu and Hojin Jung

The North American Journal of Economics and Finance, 2020, vol. 51, issue C

Abstract: This article unveils the dependence structure between United States stock prices, crude oil prices, exchange rates, and U.S. interest rates. In particular, we employ linear and nonlinear estimation methods, such as quantile regression and the quantile-copula approach. Over the 1998–2017 period, we find that there is a positive relationship between the dollar value and the S&P 500 stock price, with the exception of the lower and upper tails of the stock return distribution. Further evidence is obtained on the dependence structure between other asset returns. The stock returns are negatively related to oil prices but positively to U.S. interest rates. Our results highlight the way that financial assets are linked, which have implications for risk management and monetary policy.

Keywords: Quantile regression; Tail dependence; Quantile-copula (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300105

DOI: 10.1016/j.najef.2019.101066

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