CAN BRICS’S CURRENCY BE A HEDGE OR A SAFE HAVEN FOR ENERGY PORTFOLIO? AN EVIDENCE FROM VINE COPULA APPROACH-Reference-Cited by-同舟云学术

CAN BRICS’S CURRENCY BE A HEDGE OR A SAFE HAVEN FOR ENERGY PORTFOLIO? AN EVIDENCE FROM VINE COPULA APPROACH

Published:2020-06 Issue:04 Volume:65 Page:805-836
ISSN:0217-5908
Container-title:The Singapore Economic Review
language:en
Short-container-title:Singapore Econ. Rev.

Author:

HE YIJIN¹,NAKAJIMA TADAHIRO¹²,HAMORI SHIGEYUKI¹

Affiliation:

1. Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan

2. The Kansai Electric Power Company, Incorporated, 6-16, Nakanoshima 3-chome, Kita-Ku Osaka 530-8270, Japan

Abstract

In this paper, we examine the role of Brazil, Russia, India, China and South Africa’s (BRICS) currency in energy market by using vine copula method. The value-at-risk (VaR) and expected shortfall of two portfolios are calculated. One is a benchmark portfolio which is consisted of only energy prices, the other is a portfolio which adding the BRICS’s exchange rate into the benchmark portfolio. The data period is from 24 August 2010 to 29 November 2019. Our results show the BRICS’s currency can reduce the risk in energy investment.

Publisher

World Scientific Pub Co Pte Lt

Subject

Economics and Econometrics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0217590820500174

Reference30 articles.

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