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Article Dans Une Revue Quarterly Review of Economics and Finance Année : 2018

Extreme co-movements and dependencies among major international exchange rates

Résumé

This paper investigates the bivariate dependence structure between four international exchange rates (EUR, GBP, CAD, JPY), against the US Dollar, using daily data for the time-span 1999-2014. We use different time-invariant and time-varying copula functions, with different forms of tail dependence, and discover a positive dependence between all exchange rates, although the dependence is less strong for the JPY-pairs of exchange rates. Furthermore, we find evidence of symmetric tail dependence. Finally, the dependence is time-varying and intensifies after the onset of the recent global financial crisis, with the exception of the JPY-pairs. These findings provide additional insight for international investors, risk managers and for policy makers, given the fact that the tail dependence is either positive or negative, is time-changing, and have different structures.
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Dates et versions

hal-01394675 , version 1 (09-11-2016)

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Claudiu Tiberiu Albulescu, Christian Aubin, Daniel Goyeau, Aviral Kumar Tiwari. Extreme co-movements and dependencies among major international exchange rates: a copula approach. Quarterly Review of Economics and Finance, 2018, 69, pp.56-69. ⟨10.1016/j.qref.2018.03.007⟩. ⟨hal-01394675⟩
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