用Copula建立通货膨胀与汇率关系的模型

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2020-06-17 DOI:10.1155/2020/2345746

C. Kwofie, I. Akoto, K. Opoku-Ameyaw

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引用次数: 1

摘要

本文提出了一种衡量通货膨胀与汇率相关性的联结法。在揭示这种依赖性时，我们首先估计了这两个变量的最佳GARCH模型。然后，我们从GARCH中导出了标准化残差的边际分布。对于通货膨胀和汇率，拉普拉斯分布和广义t分布分别最好地模拟了GARCH(1,1)模型的残差。然后使用这些边际将标准化残差转换为单位区间[0,1]上的均匀随机变量，用于估计copulas。我们的研究结果表明，加纳的通货膨胀和汇率之间的依赖关系约为7%。

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Modelling the Dependency between Inflation and Exchange Rate Using Copula

In this paper, we propose a copula approach in measuring the dependency between inflation and exchange rate. In unveiling this dependency, we first estimated the best GARCH model for the two variables. Then, we derived the marginal distributions of the standardised residuals from the GARCH. The Laplace and generalised t distributions best modelled the residuals of the GARCH(1,1) models, respectively, for inflation and exchange rate. These marginals were then used to transform the standardised residuals into uniform random variables on a unit interval [0, 1] for estimating the copulas. Our results show that the dependency between inflation and exchange rate in Ghana is approximately 7%.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.