Modelling the Dependency between Inflation and Exchange Rate Using Copula

IF 1 Q3 STATISTICS & PROBABILITY Journal of Probability and Statistics Pub Date : 2020-06-17 DOI:10.1155/2020/2345746
C. Kwofie, I. Akoto, K. Opoku-Ameyaw
{"title":"Modelling the Dependency between Inflation and Exchange Rate Using Copula","authors":"C. Kwofie, I. Akoto, K. Opoku-Ameyaw","doi":"10.1155/2020/2345746","DOIUrl":null,"url":null,"abstract":"In this paper, we propose a copula approach in measuring the dependency between inflation and exchange rate. In unveiling this dependency, we first estimated the best GARCH model for the two variables. Then, we derived the marginal distributions of the standardised residuals from the GARCH. The Laplace and generalised t distributions best modelled the residuals of the GARCH(1,1) models, respectively, for inflation and exchange rate. These marginals were then used to transform the standardised residuals into uniform random variables on a unit interval [0, 1] for estimating the copulas. Our results show that the dependency between inflation and exchange rate in Ghana is approximately 7%.","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":" ","pages":""},"PeriodicalIF":1.0000,"publicationDate":"2020-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1155/2020/2345746","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Probability and Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1155/2020/2345746","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 1

Abstract

In this paper, we propose a copula approach in measuring the dependency between inflation and exchange rate. In unveiling this dependency, we first estimated the best GARCH model for the two variables. Then, we derived the marginal distributions of the standardised residuals from the GARCH. The Laplace and generalised t distributions best modelled the residuals of the GARCH(1,1) models, respectively, for inflation and exchange rate. These marginals were then used to transform the standardised residuals into uniform random variables on a unit interval [0, 1] for estimating the copulas. Our results show that the dependency between inflation and exchange rate in Ghana is approximately 7%.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
用Copula建立通货膨胀与汇率关系的模型
本文提出了一种衡量通货膨胀与汇率相关性的联结法。在揭示这种依赖性时,我们首先估计了这两个变量的最佳GARCH模型。然后,我们从GARCH中导出了标准化残差的边际分布。对于通货膨胀和汇率,拉普拉斯分布和广义t分布分别最好地模拟了GARCH(1,1)模型的残差。然后使用这些边际将标准化残差转换为单位区间[0,1]上的均匀随机变量,用于估计copulas。我们的研究结果表明,加纳的通货膨胀和汇率之间的依赖关系约为7%。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
Journal of Probability and Statistics
Journal of Probability and Statistics STATISTICS & PROBABILITY-
自引率
0.00%
发文量
14
审稿时长
18 weeks
期刊最新文献
Flexible Lévy-Based Models for Time Series of Count Data with Zero-Inflation, Overdispersion, and Heavy Tails Exponentially Generated Modified Chen Distribution with Applications to Lifetime Dataset Bayesian Estimation of the Stress-Strength Reliability Based on Generalized Order Statistics for Pareto Distribution Monitoring Changes in Clustering Solutions: A Review of Models and Applications Fitting Time Series Models to Fisheries Data to Ascertain Age
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1