用copula分析矿产价格与兰特/美元汇率的依赖结构

Q4 Economics, Econometrics and Finance

Journal for Studies in Economics and Econometrics Pub Date : 2020-12-14 DOI:10.1080/03796205.2020.1919425

K. Malandala, J. Olaomi

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引用次数: 0

摘要

摘要Copula函数是对变量之间的依赖结构进行建模的灵活工具。在本研究中，我们使用copula对货币商品关系的文献进行了扩展。我们考察了黄金、铂矿价格与兰德/美元汇率之间的依赖结构。在包括正态、student-t和偏斜student-t在内的不同误差项下，ARMA（1,1）-EGARCH（1,1）和ARMA（1,1）-APARCH（1,1。然后使用常数和时变copula来检验商品货币依赖结构。结果表明，黄金、铂金价格与兰德/美元汇率之间存在着积极、强烈的相关性。该分析依赖于克莱顿、旋转克莱顿、Student-t、甘贝尔、旋转甘贝尔、Plackett和Joe Clayton交配，并提供杠杆效应的指示。时变正态copula的结果表明，黄金和铂价格的波动会产生兰德/美元的波动。

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ANALYSIS OF THE DEPENDENCE STRUCTURE BETWEEN MINERALS PRICES AND THE RAND/USD EXCHANGE RATE USING COPULAS

Abstract Copula functions are flexible tools for modelling the dependence structure between variables. In this research, we extend the literature on currency-commodity relationship using copulas. We examine the dependence structure between gold, platinum mineral prices and RAND/USD exchange rate. ARMA (1, 1)-EGARCH (1, 1) and ARMA(1, 1)-APARCH (1, 1) models under different error terms including normal, student-t and skewed student-t were fitted to the returns of commodity prices and the exchange rate. Constants and time varying copulas were then employed to examine the commodity-currency dependence structure. The results show evidence of a positive, strong dependence between gold, platinum prices and the RAND/USD exchange rate. The analysis relies on Clayton, rotated Clayton, Student-t, Gumbel, rotated Gumbel, Plackett and Joe Clayton copulas and provide an indication of leverage effects. The results of the time varying Normal copula indicate that fluctuations in gold and platinum prices generate Rand/USD volatility.

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来源期刊

Journal for Studies in Economics and Econometrics Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

0.80

自引率

0.00%

发文量

期刊介绍： Published by the Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch. Articles in the field of study of Economics (in the widest sense of the word).