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.

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.

Impact of Chinese Yuan Devaluation on the Dependence Structure: The Archimedean Copula Approach

2019 ◽  
Vol 22 (01) ◽  
pp. 1950005
Author(s):  
Wing-Choong Lai ◽  
Kim-Leng Goh
Keyword(s):  
Regression Analysis ◽  
Linear Regression ◽  
Extreme Event ◽  
Linear Regression Analysis ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Before And After ◽  
Copula Approach ◽  
Upper Tail Dependence ◽  
Chinese Yuan

This paper investigates the linkages of Chinese yuan to other currencies before and after the yuan devaluation on 11 August 2015. Linear regression analysis shows that only a few of the 14 currencies considered are significantly affected by the devaluation. However, the devaluation of Chinese yuan has been associated with larger fluctuations in these currencies and the occurrence of extreme positive and negative returns. The regression method may under estimate the tail dependence between currencies, as financial data are usually non-normally distributed, especially when extreme event occurs. We apply the Archimedean copulas to capture the presence of lower and upper tail dependence between the exchange rate returns of Chinese yuan and the selected currencies, and found dependencies not revealed by the linear regression analysis. The extreme returns after the Chinese yuan devaluation have resulted in higher dependence with the selected currencies. While the dependence structure was dominated by risks due to unusual currency gains before the devaluation, the market responses to large losses and gains have become more symmetric after the devaluation.

scholarly journals Asymmetric Dependence between Oil Prices and Maritime Freight Rates: A Time-Varying Copula Approach

2020 ◽  
Vol 12 (24) ◽  
pp. 10687
Author(s):  
Ki-Hong Choi ◽  
Seong-Min Yoon
Keyword(s):  
Tail Dependence ◽  
Oil Prices ◽  
Dependence Structure ◽  
Time Varying ◽  
Freight Rates ◽  
Asymmetric Dependence ◽  
Long Run ◽  
Copula Approach ◽  
Short Run ◽  
The Baltic

Changes in crude oil price affect the shipping freight market via three different channels. This study explores the dependence structure between oil prices and maritime freight rates to identify the effective channel. Therefore, it investigates the relationship between oil prices and three major maritime freight rates; the Baltic Dry Index (BDI), the Baltic Dirty Tanker Index (BDTI), and the Baltic Clean Tanker Index (BCTI). We employ the decomposition method, not studied in the existing literature, and the copula approach which can identify the time-varying effects and asymmetry in the tail dependence structure between oil prices and freight rates. The main results of this analysis are as follows: the decomposed components display different conditional dependence patterns, and asymmetry is revealed in the upper and lower tail dependence. In the long-run, we find more dependence in extreme periods like the financial crises. In short-run fluctuations, we find the dependence increases in an economic boom. The implications of the results suggest that dependence can vary over time and may change depending on extreme events, implying that the complementary strategies should be different the long-run and short-run.

scholarly journals Asymmetric Dependence between Oil Prices and Maritime Freight Rates: A Time-Varying Copula Approach

2020 ◽  
Author(s):  
Ki-Hong Choi ◽  
Seong-Min Yoon
Keyword(s):  
Tail Dependence ◽  
Oil Prices ◽  
Dependence Structure ◽  
Time Varying ◽  
Freight Rates ◽  
Asymmetric Dependence ◽  
Long Run ◽  
Copula Approach ◽  
Short Run ◽  
The Baltic

Changes in crude oil price affect the shipping freight market in three different channels. This study explores the dependence structure between oil prices and maritime freight rates to identify the strongest channel. Therefore, it investigates the relationship between oil prices and three major maritime freight rates; the Baltic Dry Index (BDI), the Baltic Dirty Tanker Index (BDTI), and the Baltic Clean Tanker Index (BCTI). We employ the decomposition method, not studied in the existing literature. The copula approach identifies the time-varying effects and asymmetry in the tail dependence structure between oil prices and freight rates. The main results of this analysis are as follows. The decomposed components display different conditional dependence patterns, and asymmetry is revealed in the upper and lower tail dependence. In the long run, we find more dependence in extreme periods like the financial crises. In short-run fluctuations, we find the dependence increases in an economic boom. The implications of the results suggest that dependence can vary over time and may change depending on extreme events, implying that the complementary strategies of the long run and short run should be different.

scholarly journals Streamflow estimation at partially gaged sites using multiple dependence conditions via vine copulas

2020 ◽  
Author(s):  
Kuk-Hyun Ahn
Keyword(s):  
Missing Values ◽  
The Other ◽  
Dependence Structure ◽  
Proposed Model ◽  
Pee Dee ◽  
Streamflow Estimation ◽  
Vine Copula ◽  
Bivariate Copula ◽  
Pee Dee River ◽  
Vine Copulas

Abstract. Reliable estimates of missing streamflow values are relevant for water resources planning and management. This study proposes a multiple dependence condition model via vine copulas for the purpose of estimating streamflow at partially gaged sites. The proposed model is attractive in modeling the high dimensional joint distribution by building a hierarchy of conditional bivariate copulas when provided a complex streamflow gage network. The usefulness of the proposed model is firstly highlighted using a synthetic streamflow scenario. In this analysis, the bivariate copula model and a variant of the vine copulas are also employed to show the ability of the multiple dependence structure adopted in the proposed model. Furthermore, the evaluations are extended to a case study of 54 gages located within the Yadkin-Pee Dee River Basin, the eastern U. S. Both results inform that the proposed model is better suited for infilling missing values. After that, the performance of the vine copula is compared with six other infilling approaches to confirm its applicability. Results demonstrate that the proposed model produces more reliable streamflow estimates than the other approaches. In particular, when applied to partially gaged sites with sufficient available data, the proposed model clearly outperforms the other models. Even though the model is illustrated by a specific case, it can be extended to other regions with diverse hydro-climatological variables for the objective of infilling.

scholarly journals Asymmetric Dependence Analysis of International Crude Oil Spot and Futures Based on the Time Varying Copula-GARCH

2015 ◽  
Vol 8 (1) ◽  
pp. 463-467
Author(s):  
He Xin ◽  
Zhang Jun
Keyword(s):  
Parameter Estimation ◽  
Crude Oil ◽  
Significant Influence ◽  
Tail Dependence ◽  
Sliding Window ◽  
Dependence Structure ◽  
Dependence Analysis ◽  
Time Varying ◽  
Daily Return ◽  
Asymmetric Dependence

Taking daily return of international crude oil spot and futures as sample, this paper analyzed the time varying and asymmetric dependence structure of them by time varying Copula-GARCH model based on sliding window and semi parameter estimation. This paper analyzed the regular changing between dependence structure of crude oil spot and futures and the return fluctuation, and confirmed that there is significant time varying asymmetric tail dependence. This paper found that the size of the sliding window had no significant influence on the conclusion, and the data of weekly return is more suitable for analysis of the trend of dependence structure of spot.

scholarly journals The Relationship between Economic Growth, Small and Medium Enterprises and the Number of Employees in Malaysia using Vine Copula Approach

2021 ◽  
Vol 50 (8) ◽  
pp. 2455-2468
Author(s):  
Mazmira Adan ◽  
Saiful Izzuan Hussain
Keyword(s):  
Economic Growth ◽  
Small And Medium Enterprises ◽  
Value Added ◽  
Data Sets ◽  
Strong Positive Correlation ◽  
Copula Approach ◽  
Vine Copula ◽  
Medium Enterprises ◽  
The Relationship ◽  
Vine Copulas

This paper investigates the dynamic linkages of dependency between economic growth, the development of small and medium enterprises (SMEs) in Malaysia represented by SMEs’ value-added, and the number of employees in Malaysia, shown by the total number of SMEs’ employees in Malaysia as an additional variable. A vine copula methods was used to assess the linkage between these three variables by utilizing the panel data sets from 1998-2017. The results confirmed that dependency modeling, using vine copulas, is useful for high dimensional distributions of binding affinity between these variables. Vine copulas provide a versatile and flexible approach to the study. The results show that there is a strong positive correlation among the variables. The dependence between the SMEs’ growth and the total number of employees is the strongest, followed by the dependence between SMEs’ growth and economic growth. This study also found that the interrelation among the variables and reliance structure is also influenced by the country’s economic system and situation.

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