Risk Measure between Exchange Rate and Oil Price during Crises: Evidence from Oil-Importing and Oil-Exporting Countries

Mouna Ben Saad Zorgati ()
Additional contact information
Mouna Ben Saad Zorgati: Institute of High Commercial Studies (IHEC) of Sousse, LaREMFiQ, B.P. 40, Sousse 4054, Tunisia

JRFM, 2023, vol. 16, issue 4, 1-21

Abstract: This study investigates the risk spillover effect between the exchange rate of importing and exporting oil countries and the oil price. The analysis is supported by the utilization of a set of double-long memories. Thereafter, a multivariate GARCH type model is adopted to analyze the dynamic conditional correlations. Moreover, the Gumbel copula is employed to define the nonlinear structure of dependence and to evaluate the optimal portfolio. The conditional Value-at-Risk (CoVaR) is adopted as a risk measure. Findings indicate a long-run dependence and asymmetry of bidirectional risk spillover among oil price and exchange rate and confirm that the risk spillover intensity is different between the former and the latter. They show that the oil price has a stronger spillover effect in the case of oil exporting countries and the lowest spillover effect in the case of oil importing countries.

Keywords: oil imports/exports; exchange rate; risk management; ?CVaR; optimal hedge ratio; quantile regression (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/1911-8074/16/4/250/pdf (application/pdf)
https://www.mdpi.com/1911-8074/16/4/250/ (text/html)

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: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:250-:d:1128413

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().