Copulas for Modeling the Relationship Between Inflation and the Exchange Rate

  • Laila Ait Hassou
  • Fadoua BadaouiEmail author
  • Okou Guei Cyrille
  • Amine Amar
  • Abdelhak Zoglat
  • Elhadj Ezzahid
Conference paper
Part of the Contributions to Statistics book series (CONTRIB.STAT.)


Copulas are useful tools for formalizing the dependence structure between variables. They have proven to be very valuable in economics, where the dependence plays a key role. In this chapter, we use copulas to analyze the dependence between inflation and US/Euro exchange rates in the Euro area, during different periods. We first explore the dependence between the variables using a nonparametric approach. Then, we select an appropriate parametric copula for each period. Results confirm the sensibility of copulas to macroeconomic fluctuations that occur during the analyzed periods.


Copulas Exchange rate Goodness-of-fit tests Inflation Nonparametric approaches 


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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  • Laila Ait Hassou
    • 1
  • Fadoua Badaoui
    • 2
    Email author
  • Okou Guei Cyrille
    • 3
  • Amine Amar
    • 4
  • Abdelhak Zoglat
    • 1
  • Elhadj Ezzahid
    • 5
  1. 1.Laboratoire de Mathématiques, Statistique et Applications, Faculté des SciencesCentre de Recherche Mathématiques de Rabat, Université Mohammed V de RabatRabatMorocco
  2. 2.Département Statistique, Démographie et ActuariatInstitut National de Statistique et d’Economie AppliquéeRabatMorocco
  3. 3.Unité de Formation et Recherche (UFR) EnvironnementUniversité Jean Lorougnon Guédé de DaloaDaloaCôte d’Ivoire
  4. 4.Moroccan Agency for Sustainable EnergyRabatMorocco
  5. 5.Faculty of Law and Economics, Laboratory of Applied EconomicsMohammed V University in RabatRabatMorocco

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