Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model

Daniel Henrique Salgado and Osvaldo Candido

Journal of Risk

Abstract: The objective of this paper is to assess the dependence dynamics among Brazilian real exchange rates, commodity ;prices and the Brazilian stock market using a regular vine copula combined with the stochastic autoregressive copula model. The results suggest that the Brazilian financial;;markets are strongly dependent on the US dollar (USD), Petrobras stock prices and oil prices, and the dependence dynamics of the variables that comprise these markets are volatile ;and persistent over time.

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Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ4:6202621

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