Abstract
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.
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Ait Hassou, L., Badaoui, F., Guei Cyrille, O., Amar, A., Zoglat, A., Ezzahid, E. (2018). Copulas for Modeling the Relationship Between Inflation and the Exchange Rate. In: Rojas, I., Pomares, H., Valenzuela, O. (eds) Time Series Analysis and Forecasting. ITISE 2017. Contributions to Statistics. Springer, Cham. https://doi.org/10.1007/978-3-319-96944-2_15
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