Dependence structure between commodity and currency markets. Evidence from selected MENA-countries: A copula-GARCH approach

      Аннотация: In the last decade, the “Financialization” process of commodity markets accentuated the interaction between commodity prices and other macroeconomic variables and stimulated the economic integration of developing countries. Within this study, we highlighted the emergence of the commodity financial market and its repercussions on the world economy as well as the characteristics of the storage theory. We examined the transmission mechanism between commodity prices and exchange rates. Hence, we have empirically investigated the dependence structure between Brent crude oil and currency values for eleven North African and MENA countries with respect to the EUR within extreme market events using both static and dynamic copula-GARCH models. Our results supported static copulas as the best specifications for all pairs. We found evidence of small and insignificant correlations between Brent oil and EUR exchange rates for all emerging countries except for Jordan and Saudi Arabia for which we found positive downward comovement between oil prices and home currencies with respect to the EUR.

Ключевые слова: Commodity markets, Financialization, Storage theory, Brent oil, Exchange rates, Emerging markets, Copula-GARCH models