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

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dc.contributor.advisorCastro, Carlos
dc.creatorRico Ramírez, Santiago
dc.creator.degreeMagíster en Economíaspa
dc.creator.degreetypeFull timespa
dc.date.accessioned2020-05-28T17:21:24Z
dc.date.available2020-05-28T17:21:24Z
dc.date.created2020-05-18
dc.descriptionEste 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.spa
dc.description.abstractThis 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. While in the first years of the 2000s the relationship was almost non-existent, in more recent years the connection has become increasingly stronger.spa
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dc.identifier.doihttps://doi.org/10.48713/10336_24425
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/24425
dc.language.isoengspa
dc.publisherUniversidad del Rosariospa
dc.publisher.departmentFacultad de Economíaspa
dc.publisher.programMaestría en Economíaspa
dc.rightsAtribución-NoComercial-SinDerivadas 2.5 Colombiaspa
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dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subjectPrecios del petróleospa
dc.subjectTasas de cambiospa
dc.subjectMedidas de dependenciaspa
dc.subjectCopulasspa
dc.subject.ddcEconomía internacionalspa
dc.subject.ddcProducciónspa
dc.subject.keywordOil Pricesspa
dc.subject.keywordExchange ratesspa
dc.subject.keywordDependence measuresspa
dc.subject.keywordCopulasspa
dc.titleConditional dependence structure between oil prices and exchange rates in Latin America: A copula-GARCH approachspa
dc.title.TranslatedTitleEstructura de dependencia condicional entre los precios del petróleo y los tipos de cambio en América Latina: un enfoque de cópula-GARCHeng
dc.typemasterThesiseng
dc.type.documentAnálisis de casospa
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
dc.type.spaTesis de maestríaspa
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