Dependence Dynamics Among Exchange Rates, Commodities and the Brazilian Stock Market Using the R-Vine SCAR Model

Abstract

The objective of this paper is to assess the dependence dynamics among Brazilian real exchange rates, commodity prices and the Brazilian stock market using a regular vine copula combined with the stochastic autoregressive copula model. The results suggest that the Brazilian financial markets are strongly dependent on the US dollar (USD), Petrobras stock prices and oil prices, and the dependence dynamics of the variables that comprise these markets are volatile and persistent over time.