On the risk comovements between the crude oil market and U.S. dollar exchange rates

Gilles de Truchis and Benjamin Keddad ()

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Abstract: This article examines the volatility dependence between crude oil market and four US dollar exchange rates by means of both fractional cointegration and copula techniques. The former exploits the long memory behavior of volatility processes to investigate whether they are tied through a common long-run equilibrium. The latter is complementary as it allows exploring whether the market volatility is linked over the short run. The cointegration results conclude in favor of long-run independence for the Canadian and Japanese exchange rates while few evidence of long-run dependence is found for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when we consider the static copulas. Considering the time-varying copulas, it appears that dependence is sensitive to market conditions as we found increasing linkages just before the 2008 market collapse and more recently, in the aftermath of the European debt crisis.

Keywords: Comovement; Copula; exchange; Exchange rate; Fractional cointegration; Oil market; rate; Volatility linkage (search for similar items in EconPapers)
Date: 2016-01
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Citations: View citations in EconPapers (17)

Published in Economic Modelling, 2016, Special Issue on Recent Developments in Decision-Making, Monetary Policy and Financial Markets, 52, Part A, pp.206--215. ⟨10.1016/j.econmod.2014.11.014⟩

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Related works:
Journal Article: On the risk comovements between the crude oil market and U.S. dollar exchange rates (2016)
Working Paper: On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates (2014)
Working Paper: On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates (2014)
Working Paper: On the risk comovements between the crude oil market and the U.S. dollar exchange rates (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01447859

DOI: 10.1016/j.econmod.2014.11.014

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