Economics at your fingertips  

Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach

Xingyu Dai, Qunwei Wang (), Donglan Zha and Dequn Zhou

Energy Economics, 2020, vol. 88, issue C

Abstract: This study makes a systemic analysis of dependence and risk contagion among oil, gold, and the US dollar foreign exchange (US FX) markets, employing the wavelet method and a time-varying tri-variate vine-copula model. Compared to previous research, our empirical findings not only reveal the impact of co-variate instead of pairwise analysis, but also reveal the patterns of heterogeneity influence in different time horizons. Both dynamic average dependence and tail dependence show that the three assets are better integrated in the medium-run time scales than the short-run time scales, whereby US FX connects the three assets in the short-term, while gold does so in the medium-term. All three multi-variate scenarios show that risk contagion is temporal at different time scales. The oil market was found to be more sensitive to the upside and downside risk contagion of the gold market in the short-run time scales, and vice versa. Asymmetry also shows that both the US FX and gold market are more sensitive to upside and downside risk contagion in the medium-run time scales.

Keywords: Dependence structure; Risk contagion; Oil price; Wavelet decomposition; Vine-copula model (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.eneco.2020.104774

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-06-30
Handle: RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301146