Conditional Dynamic Dependence and Risk Spillover between Crude Oil Prices and Foreign Exchange Rates: New Evidence from a Dynamic Factor Copula Model
Abstract
:1. Introduction
2. Literature Review
3. Methodology
3.1. Dynamic Dependence Model Based on Factor Copulas
3.1.1. Extraction of Common Factors
3.1.2. Marginal Distribution Model
3.1.3. Time-Varying Copula Dependent Parameter Model
3.2. Risk Spillover Measuring Model
4. Data and Summary Statistics
5. Analysis of Empirical Results
5.1. Model Estimations
5.1.1. Extraction and Analysis of Common Factors
5.1.2. Estimation of Marginal Distribution
5.1.3. Estimation of Time-Varying Factor Copula Model
5.2. Comparison of Dynamic Conditional Dependence
5.2.1. Dynamic Dependence for Oil Importers
5.2.2. Dynamic Dependence for Oil Exporters
5.3. Analysis of Dynamic Risk Spillover
6. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
References
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Variable | Mean | Max. | Min. | Std. dev | Skew. | Kurt. | Jarque–Bera | Q (12) a | Q2 (12) | ARCH (12) b |
---|---|---|---|---|---|---|---|---|---|---|
Panel A: Original series. | ||||||||||
CNY | −0.004 | 1.81 | −2.031 | 0.128 | −0.426 | 27.941 | 178,021.400 *** | 103.720 *** | 220.520 *** | 162.017 *** |
EUR | −0.004 | 4.736 | −4.204 | 0.602 | 0.04 | 3.1 | 2188.842 *** | 24.339 ** | 625.100 *** | 344.356 *** |
GBP | 0.003 | 8.312 | −4.474 | 0.594 | 0.497 | 10.48 | 25,243.100 *** | 39.829 *** | 563.070 *** | 311.139 *** |
JPY | 0 | 3.71 | −4.61 | 0.616 | −0.261 | 4.04 | 3777.227 *** | 11.581 | 378.710 *** | 239.852 *** |
INR | 0.009 | 3.251 | −3.063 | 0.378 | 0.277 | 7.126 | 11,637.190 *** | 69.426 *** | 2258.000 *** | 803.131 *** |
ZAR | 0.015 | 9.807 | −8.523 | 1.0507 | 0.33 | 4.747 | 5231.493 *** | 20.072 * | 1377.000 *** | 657.387 *** |
USDX | 0 | 2.495 | −3.252 | 0.49 | −0.079 | 1.761 | 711.502 *** | 8.003 | 768.050 *** | 657.387 *** |
BRL | 0.0194 | 9.677 | −11.778 | 1.005 | 0.166 | 11.284 | 29,027.280 *** | 46.942 *** | 3010.600 *** | 1199.059 *** |
CAD | −0.002 | 3.419 | −4.007 | 0.548 | 0.168 | 3.259 | 2443.361 *** | 36.003 *** | 4334.700 *** | 1162.439 *** |
DZD | −0.012 | 5.602 | −6.811 | 0.643 | −0.928 | 37.143 | 266,863.300 *** | 168.630 *** | 992.770 *** | 695.574 *** |
NGN | 0.024 | 26.904 | −7.71 | 0.703 | 13.511 | 472.793 | 50,542,830.000 *** | 51.394 *** | 34.115 *** | 33.436 *** |
NOK | 0.001 | 6.35 | −6.458 | 0.756 | 0.142 | 5.209 | 6197.673 *** | 11.707 | 1102.500 *** | 490.434 *** |
RUB | 0.018 | 14.268 | −15.523 | 0.774 | 0.476 | 63.075 | 906,613.200 *** | 118.430 *** | 2741.600 *** | 1808.544 *** |
MXN | 0.013 | 8.114 | −5.96 | 0.695 | 0.753 | 11.844 | 32,470.530 *** | 24.268 * | 3488.500 *** | 1375.312 *** |
WTI | 0.011 | 23.745 | −48.08 | 2.623 | −1.356 | 30.031 | 207,141.200 *** | 38.118 *** | 991.070 *** | 537.136 *** |
Brent | 0.013 | 15.448 | −30.855 | 2.237 | −0.629 | 12.196 | 34,243.380 *** | 25.591 *** | 1017.300 *** | 536.196 *** |
Panel B: Idiosyncratic factor series. | ||||||||||
CNY | −0.005 | 2.284 | −1.767 | 0.305 | 0.097 | 2.236 | 1146.700 *** | 59.046 *** | 558.610 *** | 189.140 *** |
EUR | −0.005 | 4.576 | −4.269 | 0.747 | −0.05 | 1.512 | 522.240 *** | 123.290 *** | 547.270 *** | 247.340 *** |
GBP | 0.005 | 4.649 | −3.776 | 0.773 | −0.032 | 1.579 | 568.440 *** | 73.169 *** | 482.720 *** | 207.460 *** |
JPY | 0 | 3.963 | −6.241 | 0.646 | −0.27 | 5.356 | 6600.600 *** | 16.635 | 823.640 *** | 307.280 *** |
INR | 0.011 | 2.916 | −3.466 | 0.509 | −0.085 | 1.957 | 877.990 *** | 55.332 *** | 826.530 *** | 349.600 *** |
ZAR | 0.02 | 9.328 | −10.199 | 1.051 | 0.339 | 5.081 | 5985.200 *** | 13.028 | 948.100 *** | 742.280 *** |
USDX | −0.003 | 6.987 | −5.288 | 0.764 | 0.032 | 3.991 | 3627.100 *** | 92.181 *** | 335.220 *** | 161.680 *** |
BRL | 0.024 | 9.144 | −11.555 | 1.005 | −0.042 | 10.413 | 24,699.000 *** | 65.344 *** | 971.200 *** | 1052.700 *** |
CAD | −0.003 | 4.524 | −6.344 | 0.672 | −0.287 | 4.761 | 5237.500 *** | 49.359 *** | 862.790 *** | 287.600 *** |
DZD | −0.016 | 6.119 | −6.061 | 0.671 | −0.344 | 5.807 | 7788.400 *** | 21.455 * | 1503.800 *** | 566.030 *** |
NGN | 0.024 | 26.808 | −7.612 | 0.706 | 13.505 | 464.786 | 1146.700 *** | 59.046 *** | 33.882 *** | 189.140 *** |
NOK | 0.002 | 8.339 | −6.518 | 0.825 | 0.163 | 8.123 | 15,051.000 *** | 41.560 *** | 1123.700 *** | 506.300 *** |
RUB | 0.022 | 13.498 | −14.822 | 0.79 | 0.328 | 46.407 | 490,735.000 *** | 84.936 *** | 2594.000 *** | 1636.000 *** |
MXN | 0.014 | 8.227 | −5.591 | 0.696 | 0.769 | 11.186 | 29,041.000 *** | 29.616 *** | 3366.100 *** | 1299.100 *** |
WTI | 0.032 | 58.985 | −96.129 | 4.912 | −1.306 | 38.26 | 95,042.000 *** | 67.517 *** | 1301.700 *** | 723.770 *** |
Brent | 0.037 | 27.675 | −51.841 | 3.966 | −0.506 | 10.192 | 1146.700 *** | 59.046 *** | 1128.700 *** | 189.140 *** |
ϕ0 | ϕ1 | ω | α | β | ν | |
---|---|---|---|---|---|---|
CNY | −0.004 | 0.069 | 0.001 | 0.036 | 0.956 | 9.578 |
(0.004) | (0.013) | (0.000) | (0.005) | (0.006) | (1.197) | |
EUR | 0.003 | −0.145 | 0.010 | 0.052 | 0.931 | 11.918 |
(0.009) | (0.014) | (0.003) | (0.008) | (0.013) | (1.791) | |
GBP | 0.010 | 0.086 | 0.005 | 0.032 | 0.959 | 13.400 |
(0.010) | (0.014) | (0.002) | (0.005) | (0.007) | (2.078) | |
JPY | 0.012 | −0.042 | 0.006 | 0.055 | 0.929 | 7.245 |
(0.010) | (0.015) | (0.002) | (0.008) | (0.011) | (0.705) | |
INR | 0.012 | 0.084 | 0.005 | 0.047 | 0.933 | 11.559 |
(0.007) | (0.014) | (0.001) | (0.007) | (0.011) | (1.676) | |
USDX | 0.007 | −0.106 | 0.007 | 0.039 | 0.950 | 7.386 |
(0.008) | (0.014) | (0.002) | (0.006) | (0.007) | (0.710) | |
ZAR | −0.005 | - | 0.022 | 0.068 | 0.913 | 7.660 |
(0.005) | (0.006) | (0.011) | (0.015) | (0.732) | ||
BRL | 0.011 | −0.016 | 0.024 | 0.103 | 0.872 | 6.594 |
(0.014) | (0.009) | (0.006) | (0.017) | (0.021) | (0.608) | |
CAD | 0.002 | −0.061 | 0.007 | 0.050 | 0.934 | 7.375 |
(0.005) | (0.014) | (0.002) | (0.009) | (0.013) | (0.697) | |
DZD | −0.001 | 0.013 | 0.004 | 0.053 | 0.937 | 8.449 |
(0.007) | (0.041) | (0.001) | (0.009) | (0.010) | (1.015) | |
MXN | −0.011 | 0.004 | 0.005 | 0.094 | 0.896 | 7.394 |
(0.018) | (0.051) | (0.002) | (0.017) | (0.018) | (0.774) | |
NGN | 0.000 | −0.094 | 0.001 | 0.260 | 0.740 | 3.001 |
(0.001) | (0.014) | (0.000) | (0.023) | (0.027) | (0.085) | |
NOK | 0.011 | −0.059 | 0.015 | 0.072 | 0.904 | 8.533 |
(0.025) | (0.014) | (0.006) | (0.019) | (0.027) | (1.073) | |
RUB | 0.012 | −0.006 | 0.005 | 0.081 | 0.908 | 7.334 |
(0.007) | (0.064) | (0.001) | (0.012) | (0.013) | (0.734) | |
WTI | 0.153 | −0.039 | 0.325 | 0.074 | 0.910 | 5.448 |
(0.040) | (0.014) | (0.072) | (0.009) | (0.010) | (0.419) | |
Brent | 0.111 | −0.076 | 0.162 | 0.077 | 0.915 | 5.974 |
(0.052) | (0.014) | (0.048) | (0.011) | (0.012) | (0.489) |
Factor Copula Model | Copula–GARCH Model | |||
---|---|---|---|---|
Model | Kendall | AIC | Kendall | AIC |
Panel 1: Exchange rate—WTI | ||||
CNY-WTI | 0.011 | −176.903 | −0.036 | −62.258 |
EUR-WTI | 0.024 | −72.748 | −0.066 | −140.11 |
GBP-WTI | 0.129 | −264.46 | −0.094 | −201.655 |
JPY-WTI | −0.242 | −1133.3 | 0.01 | −127.041 |
INR-WTI | 0.236 | −842.88 | −0.029 | −32.531 |
ZAR-WTI | 0.095 | −224.727 | −0.117 | −320.095 |
USDX-WTI | 0.056 | −111.725 | −0.108 | −300.123 |
BRL-WTI | 0.05 | −102.913 | −0.109 | −289.389 |
CAD-WTI | 0.348 | −1939.5 | −0.215 | −817.4 |
DZD-WTI | −0.069 | −573.459 | −0.077 | −178.663 |
NGN-WTI | 0.136 | −632.674 | −0.01 | −17.863 |
NOK-WTI | 0.056 | −106.164 | −0.149 | −444.214 |
RUB-WTI | 0.083 | −300.759 | −0.132 | −410.775 |
MXN-WTI | −0.048 | −72.053 | −0.024 | −33.459 |
Panel 2: Exchange rate—Brent | ||||
CNY-Brent | 0.006 | −110.192 | −0.03 | −45.76 |
EUR-Brent | 0.014 | −37.238 | −0.063 | −19.279 |
GBP-Brent | 0.112 | −301.756 | −0.091 | −194.035 |
JPY-Brent | −0.246 | −608.996 | 0.017 | −128.334 |
INR-Brent | 0.224 | −750.27 | −0.06 | −163.396 |
ZAR-Brent | 0.114 | −248.937 | −0.106 | −281.554 |
USDX-Brent | 0.044 | −78.4 | −0.102 | −272.35 |
BRL-Brent | 0.051 | −96.537 | −0.103 | −224.636 |
CAD-Brent | 0.347 | −1943.7 | −0.207 | −732.936 |
DZD-Brent | −0.091 | −485.298 | −0.076 | −175.216 |
NGN-Brent | 0.139 | −654.972 | −0.006 | −25.653 |
NOK-Brent | 0.052 | −102.782 | −0.14 | −382.998 |
RUB-Brent | 0.08 | −298.88 | −0.127 | −38.904 |
MXN-Brent | −0.048 | −79.489 | −0.022 | −35.883 |
Relative Magnitude of Risk Spillover from Exchange Rate Markets to Crude Oil Markets | Relative Magnitude of Risk Spillover from Crude Oil Markets to Exchange Rate Markets | ||||
---|---|---|---|---|---|
WTI | Brent | WTI | Brent | ||
Oil-importing countries | CNY | 0.103% | 0.206% | −41.107% | 14.314% |
EUR | 0.976% | 0.487% | 25.981% | 9.783% | |
GBP | 5.123% | 4.969% | 146.462% | 108.772% | |
JPY | −7.246% | −8.513% | −331.318% | −290.366% | |
INR | 5.965% | 6.485% | 376.709% | 308.864% | |
ZAR | 5.208% | 7.235% | 87.599% | 89.676% | |
USDX | 2.121% | 2.143% | 63.091% | 47.112% | |
Oil-exporting countries | BRL | 2.795% | 3.193% | 62.474% | 52.790% |
CAD | 10.111% | 11.233% | 407.752% | 344.033% | |
DZD | −1.363% | −2.299% | −132.248% | −122.832% | |
NGN | 3.026% | 2.986% | 963.133% | 815.145% | |
NOK | 2.432% | 2.602% | 67.167% | 55.305% | |
RUB | 2.182% | 2.567% | 132.785% | 116.097% | |
MXN | −1.822% | −1.845% | −82.683% | −62.630% |
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Wang, X.; Wu, X.; Zhou, Y. Conditional Dynamic Dependence and Risk Spillover between Crude Oil Prices and Foreign Exchange Rates: New Evidence from a Dynamic Factor Copula Model. Energies 2022, 15, 5220. https://doi.org/10.3390/en15145220
Wang X, Wu X, Zhou Y. Conditional Dynamic Dependence and Risk Spillover between Crude Oil Prices and Foreign Exchange Rates: New Evidence from a Dynamic Factor Copula Model. Energies. 2022; 15(14):5220. https://doi.org/10.3390/en15145220
Chicago/Turabian StyleWang, Xu, Xueyan Wu, and Yingying Zhou. 2022. "Conditional Dynamic Dependence and Risk Spillover between Crude Oil Prices and Foreign Exchange Rates: New Evidence from a Dynamic Factor Copula Model" Energies 15, no. 14: 5220. https://doi.org/10.3390/en15145220