IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v53y2017i10p2347-2360.html
   My bibliography  Save this article

A Mixed Dependence Between the Exchange Rate and International Crude Oil Returns: An Application of Dynamic Mixture Copula

Author

Listed:
  • Kuang-Liang Chang

Abstract

In this study, the dynamic dependence between the international crude oil return and the exchange rate return for Taiwan is examined. Two mixture copulas (symmetric Joe–Clayton, SJC, and mixture of Gumbel and survival Gumbel, GSG) and two dynamic dependences (a Markov-switching type and an AR-like type) are considered in order to study whether the dynamic dependence is mixed and asymmetric. The empirical results show that the Markov-switching GSG copula performs the best when compared to other specifications investigated in this article. The relationship is positive and symmetric during periods of volatile crude oil prices, while it is independent during periods of stable crude oil prices.

Suggested Citation

  • Kuang-Liang Chang, 2017. "A Mixed Dependence Between the Exchange Rate and International Crude Oil Returns: An Application of Dynamic Mixture Copula," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(10), pages 2347-2360, October.
  • Handle: RePEc:mes:emfitr:v:53:y:2017:i:10:p:2347-2360
    DOI: 10.1080/1540496X.2016.1204909
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2016.1204909
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/1540496X.2016.1204909?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dibooglu, Sel & Erdogan, Seyfettin & Yildirim, Durmus Cagri & Cevik, Emrah Ismail, 2020. "Financial conditions and monetary policy in the US," Economic Systems, Elsevier, vol. 44(4).
    2. Kuang-Liang Chang, 2021. "A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 965-999, December.
    3. Li, Kaifeng & Devpura, Neluka & Cheng, Sijia, 2022. "How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:53:y:2017:i:10:p:2347-2360. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.