Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7383216 | The Quarterly Review of Economics and Finance | 2018 | 35 Pages |
Abstract
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.
Related Topics
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Authors
Claudiu Tiberiu Albulescu, Christian Aubin, Daniel Goyeau, Aviral Kumar Tiwari,