English version


来源:  发布时间:2018-12-05 11:30:26 浏览量:

讲座题目:The impact of crude oil prices on exchange rates: Evidence from the quantile association regression model

主讲人:叶五一 副教授, 中国科学技术大学  

时间: 2018129日(周日) 

地点: 文科楼管理学院1400  15:30-16:30  

主持人:马利军 教授,深圳大学管理科学系副系主任  


This paper provides a new evidence on the extreme dependence between crude oil price and exchange rate. We develop a time-varying quantile association regression model based on Fourier transform, which is able to capture the dynamic quantile dependence in the tails of conditional distributions. The rationality of the model construction and the validity of the estimation method are verified by simulation studies. Our analysis focuses on nine countries which represent the major type of the country in the world and we implement the model and compute the qpr on a daily basis between crude oil price and US dollar exchange rate at different quantile levels. Our empirical finding shows a symmetric tail dependence between crude oil and the US exchange rate at 0.1 quantile. In general, the dependence is weak, but there is a rapidly increased and positively related dependence during the subprime crisis. Moreover, the behaviors of qpr show a smaller fluctuation in high level of quantile. Finally, conditioning on equity prices (the S&P500) does not change the patterns of extreme dependence found in the unconditional cases.






电话:+86-755-26536121 传真:+86-755-26534451

Copyright © 2003-2015 All rights reserved 粤ICP备11018045号