 A study of the interactive relationship between oil price and exchange rate: A copula approach and a DCC-MGARCH modelAngham ben Brayek, Saber Sebai and Kamel Naoui () The Journal of Economic Asymmetries, 2015, vol. 12, issue 2, 173-189 Abstract: This paper examines the relationship between oil prices and the US dollar exchange rate using a copula approach and the DCC-MGARCH model. In order to identify a possible impact and interdependence between oil prices and exchange rates during the global financial crisis, we divided the study period into sub-periods, pre-crisis, crisis and post-crisis periods. We found that oil prices and exchange rates are independent during the pre-crisis period. However, evidence of this impact and a positive dependence between our variables were reported after the crisis onset. In addition, we found that oil prices influenced exchange rates and vice versa during the crisis period, but not during the pre-crisis period. These results have important implications on risk management and monetary policy to control inflationary pressures from oil prices and fiscal policy in oil-exporting countries. Keywords: E44; C22; keywords; Copulas; DCC-MGARCH; Dependence measures; Crude oil price; U.S. dollar exchange rates (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:12:y:2015:i:2:p:173-189 DOI: 10.1016/j.jeca.2015.09.002 Access Statistics for this article The Journal of Economic Asymmetries is currently edited by A.G. Malliaris More articles in The Journal of Economic Asymmetries from Elsevier |
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