scholarly journals Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: a semi-parametric approach

2010 ◽  
Vol 16 (4) ◽  
pp. 357-374 ◽  
Author(s):  
Gianna Boero ◽  
Param Silvapulle ◽  
Ainura Tursunalieva
Keyword(s):  
Exchange Rates ◽  
Dependence Structure ◽  
Parametric Approach ◽  
Before And After ◽  
Bivariate Dependence

scholarly journals Examining the Interdependence between the Exchange Rates of China and ASEAN Countries: A Canonical Vine Copula Approach

2019 ◽  
Vol 11 (19) ◽  
pp. 5487 ◽  
Author(s):  
Liu ◽  
Wang ◽  
Sriboonchitta
Keyword(s):  
Exchange Rates ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Positive Dependence ◽  
Asymmetric Dependence ◽  
Before And After ◽  
Copula Approach ◽  
Asean Countries ◽  
Vine Copula ◽  
Vine Copulas

Based on the canonical vine (C-vine) copula approach, this paper examines the interdependence between the exchange rates of the Chinese Yuan (CNY) and the currencies of major Association of Southeast Asian Nations (ASEAN) countries. The differences in the dependence structure and degree between currencies before and after the Belt and Road (B&R) Initiative were compared in order to investigate the changing role of the Renminbi (RMB) in the ASEAN foreign exchange markets. The results indicate a positive dependence between the exchange rate returns of CNY and the currencies of ASEAN countries and show the rising power of RMB in the regional currency markets after the B&R Initiative was launched. Besides this, the Malaysian Ringgit proved to be most relevant to the other ASEAN currencies, thus playing an important role in the stability of regional financial markets. Moreover, evidence of tail dependence was found in the returns of three currency pairs after the B&R Initiative, which implies the presence of asymmetric dependence between exchange rates. The results from time-varying C-vine copulas further confirmed the robustness of the results from the static C-vine copulas.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

scholarly journals Measuring compound flood potential from river discharge and storm surge extremes at the global scale

2020 ◽  
Vol 20 (2) ◽  
pp. 489-504 ◽  
Author(s):  
Anaïs Couasnon ◽  
Dirk Eilander ◽  
Sanne Muis ◽  
Ted I. E. Veldkamp ◽  
Ivan D. Haigh ◽  
...  
Keyword(s):  
Storm Surge ◽  
River Discharge ◽  
Flood Hazard ◽  
Joint Probability ◽  
Global Scale ◽  
Statistical Dependence ◽  
Dependence Structure ◽  
Meteorological Forcing ◽  
Continental Scale ◽  
Bivariate Dependence

Abstract. The interaction between physical drivers from oceanographic, hydrological, and meteorological processes in coastal areas can result in compound flooding. Compound flood events, like Cyclone Idai and Hurricane Harvey, have revealed the devastating consequences of the co-occurrence of coastal and river floods. A number of studies have recently investigated the likelihood of compound flooding at the continental scale based on simulated variables of flood drivers, such as storm surge, precipitation, and river discharges. At the global scale, this has only been performed based on observations, thereby excluding a large extent of the global coastline. The purpose of this study is to fill this gap and identify regions with a high compound flooding potential from river discharge and storm surge extremes in river mouths globally. To do so, we use daily time series of river discharge and storm surge from state-of-the-art global models driven with consistent meteorological forcing from reanalysis datasets. We measure the compound flood potential by analysing both variables with respect to their timing, joint statistical dependence, and joint return period. Our analysis indicates many regions that deviate from statistical independence and could not be identified in previous global studies based on observations alone, such as Madagascar, northern Morocco, Vietnam, and Taiwan. We report possible causal mechanisms for the observed spatial patterns based on existing literature. Finally, we provide preliminary insights on the implications of the bivariate dependence behaviour on the flood hazard characterisation using Madagascar as a case study. Our global and local analyses show that the dependence structure between flood drivers can be complex and can significantly impact the joint probability of discharge and storm surge extremes. These emphasise the need to refine global flood risk assessments and emergency planning to account for these potential interactions.

scholarly journals Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana

Risks ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 55
Author(s):  
Prince Osei Mensah ◽  
Anokye M. Adam
Keyword(s):  
Exchange Rates ◽  
Foreign Currency ◽  
Tail Dependence ◽  
Time Range ◽  
Dependence Structure ◽  
Joint Movement ◽  
Positive Dependence ◽  
Study Results ◽  
Foreign Currencies ◽  
Dependence Measures

This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between the time range of 24 February 2009 and 19 December 2019. We use different sets of both static (time-invariant) and time-varying copulas with different levels of dependence and tail dependence measures, and the study results reveal positive dependence between all exchange rates pairs, though the dependencies for EUR-USD and GBP-USD pairs are not as strong as the EUR-GBP pair. The findings also reveal symmetric tail dependence, and dependence evolves over time. Notwithstanding this, the asymmetric tail dependence copulas provide evidence of upper tail dependence. We compare the copula results to DCC(1,1)-GARCH(1,1) model result and find the copula to be more sensitive to extreme co-movement between the currency pairs. The afore-mentioned findings, therefore, offer forex market players the opportunity to relax in hoarding a particular foreign currency in anticipation of domestic currency depreciation.

scholarly journals Measuring compound flood potential from river discharge and storm surge extremes at the global scale and its implications for flood hazard

2019 ◽  
Author(s):  
Anaïs Couasnon ◽  
Dirk Eilander ◽  
Sanne Muis ◽  
Ted I. E. Veldkamp ◽  
Ivan D. Haigh ◽  
...  
Keyword(s):  
Storm Surge ◽  
River Discharge ◽  
Flood Hazard ◽  
Joint Probability ◽  
Global Scale ◽  
Statistical Dependence ◽  
Dependence Structure ◽  
Meteorological Forcing ◽  
Continental Scale ◽  
Bivariate Dependence

Abstract. The interaction between physical drivers from oceanographic, hydrological, and meteorological processes in coastal areas can result in compound flooding. Compound flood events, like Cyclone Idai and Hurricane Harvey, have revealed the devastating consequences of the co-occurrence of coastal and river floods. A number of studies have recently investigated the likelihood of compound flooding at the continental scale based on simulated variables of flood drivers such as storm surge, precipitation, and river discharges. At the global scale, this has only been performed based on observations, thereby excluding a large extent of the global coastline. The purpose of this study is to fill this gap and identify potential hotspots of compound flooding from river discharge and storm surge extremes in river mouths globally. To do so, we use daily time-series of river discharge and storm surge from state-of-the-art global models driven with consistent meteorological forcing from reanalysis datasets. We measure the compound flood potential by analysing both variables with respect to their timing, joint statistical dependence, and joint return period. We find many hotspot regions of compound flooding that could not be identified in previous global studies based on observations alone, such as: Madagascar, Northern Morocco, Vietnam, and Taiwan. We report possible causal mechanisms for the observed spatial patterns based on existing literature. Finally, we provide preliminary insights on the implications of the bivariate dependence behaviour on the flood hazard characterisation using Madagascar as a case study. Our global and local analyses show that the dependence structure between flood drivers can be complex and can significantly impact the joint probability of discharge and storm surge extremes. These emphasise the need to refine global flood risk assessments and emergency planning to account for these potential interactions.

scholarly journals Topological Properties of Network of Global Currency Exchange Rates

2020 ◽  
Vol 8 (5) ◽  
pp. 5450-5459
Keyword(s):  
Exchange Rates ◽  
Portfolio Management ◽  
Geographical Location ◽  
Centrality Measures ◽  
Crisis Period ◽  
Currency Exchange ◽  
Rolling Window ◽  
Before And After ◽  
Network Properties ◽  
Highly Correlated

We study time series of exchange rates of 37 global currencies expressed in terms of US dollars. We take US dollar is as the base currency because it is one of dominant currencies, which is used almost in 66 countries as their currency. The average volatility is computed from returns using overlapped rolling window technique. To study the effects of crisis on the structure and dynamics, we consider three sub periods; before crisis, during crisis and after crisis. Different statistical properties and network properties in three sub periods. From analysis of currency network at different thresholds, we find change in the structure of network in the period of crisis. We find the highly correlated and weakly correlated currencies in the calm and crisis period using threshold networks, which can help the investors in portfolio management. The group of most correlated currencies in the crisis period is different from that in before and after crisis period. Different centrality measures can differentiate the currencies according to their geographical location.

Has the dependence structure of the BRICS exchange rates changed after the financial crisis? Evidence from R-Vine copula model

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhuoqun Zhang ◽  
Tao Zhang
Keyword(s):  
Financial Crisis ◽  
Exchange Rates ◽  
Trade Policy ◽  
Design Methodology ◽  
Policy Design ◽  
Oil Prices ◽  
Dependence Structure ◽  
Copula Model ◽  
Content Type ◽  
Vine Copula

PurposeThe authors examine the dependence structure of the BRICS exchange rates.Design/methodology/approachThe authors construct a regular vine copula model to study the co-movements of exchange rates in BRICS controlling the influences from the SDR currencies and the oil prices.FindingsThe main findings show that, after the financial crisis, RMB pursued a more balanced strategy shifting from USD-centered to USD-EUR dependency and the oil prices become more dependent on RUB than USD, which could weaken the dollar hegemony. From robustness tests, we find that the inclusion of RMB in SDR has certain but limited impacts on the dependence structure and the influence of the GBP weakened as well. The results have important implications for currency trade, policy design and the future of the BRICS.Originality/valueThe contribution of this paper is twofold. First, we examine the interdependence structure of the BRICS exchange rates controlling for the influence of SDR currencies and the oil prices with R-Vine copula model. Second, we compare the pre- and after-crisis structure and see if the financial crisis and the BRICS summits have changed the structure.

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