Risk Measure between Exchange Rate and Oil Price during Crises: Evidence from Oil-Importing and Oil-Exporting Countries
Journal of Risk and Financial Management
; 16(4):250, 2023.
Article
in English
| ProQuest Central | ID: covidwho-2300443
ABSTRACT
This study investigates the risk spillover effect between the exchange rate of importing and exporting oil countries and the oil price. The analysis is supported by the utilization of a set of double-long memories. Thereafter, a multivariate GARCH type model is adopted to analyze the dynamic conditional correlations. Moreover, the Gumbel copula is employed to define the nonlinear structure of dependence and to evaluate the optimal portfolio. The conditional Value-at-Risk (CoVaR) is adopted as a risk measure. Findings indicate a long-run dependence and asymmetry of bidirectional risk spillover among oil price and exchange rate and confirm that the risk spillover intensity is different between the former and the latter. They show that the oil price has a stronger spillover effect in the case of oil exporting countries and the lowest spillover effect in the case of oil importing countries.
Business And Economics; oil imports/exports; exchange rate; risk management; ΔCVaR; optimal hedge ratio; quantile regression; Hedging; Consumers; Error correction & detection; Foreign exchange rates; Terms of trade; Pandemics; Volatility; International trade; Emerging markets; Stochastic models; Coronaviruses; Crude oil prices; Crude oil; Disease transmission; COVID-19; West Texas; United States--US; China
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Type of study:
Prognostic study
Language:
English
Journal:
Journal of Risk and Financial Management
Year:
2023
Document Type:
Article
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