 Oil price and FX-rates dependencyJoscha Beckmann, Theo Berger and Robert Czudaj Quantitative Finance, 2016, vol. 16, issue 3, 477-488 Abstract: Oil prices and exchange rates against the dollar have both experienced long swings over the recent decade. Regardless of the great amount of research, some issues are still open to debate. In this vein, this paper focuses on the evolution of the relationship between oil prices and dollar exchange rates of 12 oil exporting and oil importing countries based on a dynamic copula approach. We use daily data for two 5-year periods between 2003 and 2013, taking the collapse of Lehman Brothers as the dividing point. Our results have four main implications: first, the intensity of relationship between oil prices and FX-rates has increased over time even if the peak of the financial crisis is included. Second, the increased tail dependency shows that extreme events are likelier to occur simultaneously for both series. Third, the dependency has become more dynamic after the financial crisis and is therefore better characterized by time-varying copulas. Finally, currencies of oil importers and oil exporters display a different dependency structure against the US dollar in the case of rising oil prices with the latter appreciating and the former depreciating. Date: 2016 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:16:y:2016:i:3:p:477-488 Ordering information: This journal article can be ordered from DOI: 10.1080/14697688.2015.1045930 Access Statistics for this article Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral More articles in Quantitative Finance from Taylor & Francis Journals |
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