کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7383216 | 1480431 | 2018 | 35 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Extreme co-movements and dependencies among major international exchange rates: A copula approach
ترجمه فارسی عنوان
جنبش های افراطی و وابستگی در بین مبادلات بین المللی عمده: یک رویکرد مشترک
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper investigates the bivariate dependence structure between four international exchange rates (EUR, GBP, CAD, JPY), against the US Dollar, using daily data for the time-span 1999-2014. We use different time-invariant and time-varying copula functions with different forms of tail dependence, and discover a positive dependence between all exchange rates, although the dependence is less strong for the JPY-pairs of exchange rates. Furthermore, we find evidence of symmetric tail dependence. Finally, the dependence is time-varying and intensifies after the onset of the recent global financial crisis, with the exception of the JPY-pairs. These findings provide additional insight for policy makers and for understanding spillover effects on FX market, given the fact that the tail dependence is either positive or negative, is time-varying, and has different structures.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 69, August 2018, Pages 56-69
Journal: The Quarterly Review of Economics and Finance - Volume 69, August 2018, Pages 56-69
نویسندگان
Claudiu Tiberiu Albulescu, Christian Aubin, Daniel Goyeau, Aviral Kumar Tiwari,