On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates

Gilles de Truchis and Benjamin Keddad ()

No 1421, AMSE Working Papers from Aix-Marseille School of Economics, France

Abstract: This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility processes to investigate whether they are tied through a common long-run equilibrium. The latter is complementary as it allows to explore whether the volatility of the markets are linked in the short run. The cointegration results conclude in favor of long-run independence for the Canadian and Japan exchange rates while few evidence of long-run dependence are found for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when we consider static copulas. Considering 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; volatility linkage; Fractional cointegration; copula; oil market; exchange rate (search for similar items in EconPapers)
JEL-codes: C22 E44 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2014-05, Revised 2014-05
New Economics Papers: this item is included in nep-cba and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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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 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)
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Persistent link: https://EconPapers.repec.org/RePEc:aim:wpaimx:1421

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