The Copula Analysis of American Domestic Investment MarketBefore and During QE Exit

• Main Authors: Ching-Min Chen, 陳慶銘
• Other Authors: Wo-Chiang Lee
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/88831307786813900274

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 103 === In order to verify the influence of US monetary policy for investment in the US market, This thesis aims at the United States to implement quantitative easing (Quantitative easing, called QE) late QE4- 2012 December to October 2014 and October 2014 to quantify loose end until April 2015 these two time stock prices, interest rates, oil prices, gold, associated with the structure of US debt US investment market analysis. In empirical study, we apply five static copula functions to calculate the rank correlation between different variables, namely normal, student-t, clayton, gumbel and frank copula model. Overall, the rank correlation of relevant variables before QE exit is higher than QE exit. However, if consider the best copula model and found that both before and after the QE exit, the best copula function among all relevant variables are not consistency, but concentrated on normal copula, gumbel copula and clayton copula. We also find that the rank correlation coefficient appears large difference between the Dow Jones index and West Texas crude oil, others are small.