Analysis Of Exchange Rates Risk Against The Background Of Financial Crisis | Posted on:2013-06-06 | Degree:Master | Type:Thesis | Country:China | Candidate:L Suo | Full Text:PDF | GTID:2249330362966126 | Subject:International Trade | Abstract/Summary: | PDF Full Text Request | This paper investigates the dependence structure of RMB exchange rate against the otherfour economies’ exchange rates including USD、JPY、EUR、HKD respectively by usingtime-varying Copulas after the reform of the exchange rate regime. Meanwhile, thedependence structure of the five economies is modeled applying a Patton dynamic Copulaand a DCC time-varying Copula approach.Specificly,we use Student-t Copula、SJC Copulaand Gaussian Copula. We find that these exchange rates have significant tail dependence.And after the institutional reform in currency of RMB,from right tail dependence oriented,USD and EUR came to have symmetric tail dependence.EUR and JPY had right taildependence comparing left tail dependence before the exchange rate regime.The exchangerates are revalued.Besides,we also conclude Patton’ dynamic Copula yield better AIC andBIC,which give significant reference to risk analysis of exchange rates andinternationalization of RMB.We also use Vine Copula and Monte carlo simulating the VaRof the portfolio composing of USD、JPY and EUR. We find that the crisis didn’t change therelative risk of the three currencies.The VaRs fluctuated severely and And the rate of returndeclined.The Vine Copulas appears better than normal ones in solving the VaR problems,which means a lot to risk measure. | Keywords/Search Tags: | Exchange rates, Copula, Vine Copula, Dependence, Tail dependence, Monte carlo, VaR | PDF Full Text Request | Related items |
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