A model of dynamic tail dependence between crude oil prices and exchange rates

Ranran Guo and Wuyi Ye

The North American Journal of Economics and Finance, 2021, vol. 58, issue C

Abstract: We explore the tail dependence between crude oil prices and exchange rates via a dynamic quantile association regression model based on the flexible Fourier form. This method allows us to describe the quantile dependence between conditional distributions of assets. We first perform simulation exercises to gauge the estimation precision of our model. We then undertake empirical analyses to examine the dynamic relation between crude oil and nine exchange rates. We reveal a mildly symmetric tail dependence between these two assets but it increases sharply during the Great Recession of 2008. Further robustness check substantiates the baseline results.

Keywords: Crude oil prices; Simulation analyses; CoVaR; Tail dependence (search for similar items in EconPapers)
JEL-codes: C18 F31 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001534

DOI: 10.1016/j.najef.2021.101543

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