دانلود مقاله ISI انگلیسی شماره 45967
عنوان فارسی مقاله

رابطه متقارن و مثبت بین نفت خام و بازده نرخ اسمی ارز

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
45967 2014 19 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The symmetrical and positive relationship between crude oil and nominal exchange rate returns
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : The North American Journal of Economics and Finance, Volume 29, July 2014, Pages 266–284

کلمات کلیدی
نفت خام - قیمت ارز - رابطه متقارن - ارتباط وقوع -
پیش نمایش مقاله
پیش نمایش مقاله رابطه متقارن و مثبت بین نفت خام و بازده نرخ اسمی ارز

چکیده انگلیسی

This paper investigates both the static and dynamic relationships between daily crude oil returns and US dollar exchange rate returns using a test for symmetrical exceedance correlations and two mixture copulas. Empirical results demonstrate that the exceedance correlations between oil and exchange rate returns are both positive and symmetrical, indicating that the two return rates move in the same direction and that the relationship between them is symmetrical for the upper and lower quantiles. The crude oil-exchange rate relationship is sensitive to the sample period investigated. Before the 1998 financial crisis, exceedance correlations are close to zero, showing almost no correlation between the oil and exchange rate markets. However, the positive co-movement has significantly increased since the 2008 financial crisis. Furthermore, Kendall's tau coefficients of two symmetrized copulas greatly increase after the 2008 financial crisis, revealing that the probability of both returns moving in the same direction is higher than it is in the opposite direction.

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