TY - JOUR
T1 - Commodity currencies and commodity prices
T2 - modelling static and time-varying dependence
AU - Ignatieva, Katja
AU - Ponomareva, Natalia
PY - 2017/3/28
Y1 - 2017/3/28
N2 - This article employs the copula approach to study the relationship between exchange rates and commodity prices for large commodity exporters. Using data for the nominal exchange rates of four commodity currencies (Australian, Canadian and New Zealand dollars, and Norwegian krone) against the US dollar and the relevant country-specific commodity price indices, constructed on a daily basis, we find (1) a positive dependence between the values of commodity currencies and commodity indices, i.e. a commodity index increases when a respective currency appreciates and provides several explanations for this finding; (2) no major asymmetries in the tail dependence for most pairs of exchange rates and commodity indices and (3) a pronounced increase in the time-varying tail dependence following the global financial crisis.
AB - This article employs the copula approach to study the relationship between exchange rates and commodity prices for large commodity exporters. Using data for the nominal exchange rates of four commodity currencies (Australian, Canadian and New Zealand dollars, and Norwegian krone) against the US dollar and the relevant country-specific commodity price indices, constructed on a daily basis, we find (1) a positive dependence between the values of commodity currencies and commodity indices, i.e. a commodity index increases when a respective currency appreciates and provides several explanations for this finding; (2) no major asymmetries in the tail dependence for most pairs of exchange rates and commodity indices and (3) a pronounced increase in the time-varying tail dependence following the global financial crisis.
KW - commodity prices
KW - copulas
KW - dependence modelling
KW - Independently floating exchange rates
UR - http://www.scopus.com/inward/record.url?scp=84983534930&partnerID=8YFLogxK
U2 - 10.1080/00036846.2016.1221038
DO - 10.1080/00036846.2016.1221038
M3 - Article
AN - SCOPUS:84983534930
SN - 0003-6846
VL - 49
SP - 1491
EP - 1512
JO - Applied Economics
JF - Applied Economics
IS - 15
ER -