The economic value of co-movement between oil price and exchange rate using copula-based GARCH models
|關鍵字:||原油;匯率;共移性;關連結構;經濟價值;Oil;Exchange rate;Co-movement;Copula;Economic value|
The US dollar is used as the major currency of international crude oil trading, and thus the substantial depreciation of US dollar results in the soar of crude oil prices in recent years. In addition, the oil and exchange rate returns have been shown to be skew and leptokurtic and exhibit asymmetric or tail dependence structure. Therefore, this study uses the dynamic copula-based GARCH models to flexibly explore the dependence structure between the oil and US dollar exchange rate, and the empirical results demonstrate that the GARCH model with symmetric copulas has better explanatory ability. Furthermore, an asset allocation strategy is implemented to evaluate economic value and confirm the efficiency of the copula-based GARCH models. In terms of out-of-sample forecasting performance, a dynamic strategy based on the GARCH model with Frank copula exhibits larger economic benefits than static and other dynamic strategies. An investor with a higher risk aversion attitude also generates higher fee for switching from a static strategy to a dynamic strategy based on copula-based GARCH models.
|Appears in Collections:||Thesis|
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