Conditional dependence structure between oil prices and exchange rates in Latin America: A copula-GARCH approach

Este trabajo estudia la relación entre los precios del petróleo y las tasas de cambio en Latinoamérica utilizando una metodología copula-GARCH. Esta aproximación permite modelar algunas de las particulariedades conocidas tanto para las tasas de cambio como para los precios del petróleo: exceso de ku...

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Detalles Bibliográficos
Autor Principal: Rico Ramírez, Santiago
Otros Autores: Castro, Carlos
Formato: Tesis de maestría (Master Thesis)
Lenguaje:Inglés (English)
Publicado: Universidad del Rosario 2020
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/24425
id ir-10336-24425
recordtype dspace
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Precios del petróleo
Tasas de cambio
Medidas de dependencia
Copulas
Economía internacional
Producción
Oil Prices
Exchange rates
Dependence measures
Copulas
spellingShingle Precios del petróleo
Tasas de cambio
Medidas de dependencia
Copulas
Economía internacional
Producción
Oil Prices
Exchange rates
Dependence measures
Copulas
Rico Ramírez, Santiago
Conditional dependence structure between oil prices and exchange rates in Latin America: A copula-GARCH approach
description Este trabajo estudia la relación entre los precios del petróleo y las tasas de cambio en Latinoamérica utilizando una metodología copula-GARCH. Esta aproximación permite modelar algunas de las particulariedades conocidas tanto para las tasas de cambio como para los precios del petróleo: exceso de kurtosis, sesgo y la presencia de efectos de apalancamiento. Los resultados muestran que existe comovimiento entre los precios del petróleo y las tasas de cambio Latinoamericanas. Sin embargo, la magnitud de esta relación ha evolucionado a través del tiempo. Mientras que durante los primeros años de la década del 2000 la relación era casi inexistente, en años más recientes, el vínculo se ha fortalecido de forma continua.
author2 Castro, Carlos
author_facet Castro, Carlos
Rico Ramírez, Santiago
format Tesis de maestría (Master Thesis)
author Rico Ramírez, Santiago
author_sort Rico Ramírez, Santiago
title Conditional dependence structure between oil prices and exchange rates in Latin America: A copula-GARCH approach
title_short Conditional dependence structure between oil prices and exchange rates in Latin America: A copula-GARCH approach
title_full Conditional dependence structure between oil prices and exchange rates in Latin America: A copula-GARCH approach
title_fullStr Conditional dependence structure between oil prices and exchange rates in Latin America: A copula-GARCH approach
title_full_unstemmed Conditional dependence structure between oil prices and exchange rates in Latin America: A copula-GARCH approach
title_sort conditional dependence structure between oil prices and exchange rates in latin america: a copula-garch approach
publisher Universidad del Rosario
publishDate 2020
url https://repository.urosario.edu.co/handle/10336/24425
_version_ 1694382449228775424
spelling ir-10336-244252021-03-04T00:42:39Z Conditional dependence structure between oil prices and exchange rates in Latin America: A copula-GARCH approach Estructura de dependencia condicional entre los precios del petróleo y los tipos de cambio en América Latina: un enfoque de cópula-GARCH Rico Ramírez, Santiago Castro, Carlos Precios del petróleo Tasas de cambio Medidas de dependencia Copulas Economía internacional Producción Oil Prices Exchange rates Dependence measures Copulas Este trabajo estudia la relación entre los precios del petróleo y las tasas de cambio en Latinoamérica utilizando una metodología copula-GARCH. Esta aproximación permite modelar algunas de las particulariedades conocidas tanto para las tasas de cambio como para los precios del petróleo: exceso de kurtosis, sesgo y la presencia de efectos de apalancamiento. Los resultados muestran que existe comovimiento entre los precios del petróleo y las tasas de cambio Latinoamericanas. Sin embargo, la magnitud de esta relación ha evolucionado a través del tiempo. Mientras que durante los primeros años de la década del 2000 la relación era casi inexistente, en años más recientes, el vínculo se ha fortalecido de forma continua. This work studies the relationship between oil prices and exchange rates for six Latin American countries using a copula-GARCH methodology. This approach takes into account well-known particularities of both oil prices and exchange rates: excess-kurtosis, skewness and the presence of leverage effects. The results show that a co-movement relationship exists between oil prices and Latin American exchange rates, however, the strength of this relationship has evolved over time. 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