DEPENDENCE ANALYSIS OF ETHANOL, SUGAR, OIL, BRL/USD EXCHANGE RATE AND BOVESPA: A VINE COPULA APPROACH

• Main Authors: Anderson Gomes Resende, Osvaldo Candido
• Format: Article
• Language: Portuguese
• Published: Universidade de São Paulo 2015-09-01
• Series: Economia Aplicada
• Subjects: Commodities; Bio-combustíveis; Dependência multivariada; R-Vine cópulas
• Online Access: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502015000300455&lng=en&tlng=en

AbstractThe aim of this study is to assess the dependence relationship of the sugarcane sector (represented by Ethanol and Sugar), Oil, BRL/USD Exchange Rate and Brazilian stock market (represented by the BOVESPA – Bolsa de Valores de São Paulo – Index). Our methodology is based on paircopulas constructions, in which tree specification are compared: Regular Vine, more general, and two particular cases, Canonical vine (C-vine) and Drawable vine (D-vine). Primary results are shown to be aligned with the existing literature but they can change significantly when conditional dependence is taken into account.