Modelling the Dependency between Inflation and Exchange Rate Using Copula
Joint Authors
Kwofie, Charles
Opoku-Ameyaw, Kwaku
Akoto, Isaac
Source
Journal of Probability and Statistics
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-06-17
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
In this paper, we propose a copula approach in measuring the dependency between inflation and exchange rate.
In unveiling this dependency, we first estimated the best GARCH model for the two variables.
Then, we derived the marginal distributions of the standardised residuals from the GARCH.
The Laplace and generalised t distributions best modelled the residuals of the GARCH(1,1) models, respectively, for inflation and exchange rate.
These marginals were then used to transform the standardised residuals into uniform random variables on a unit interval [0, 1] for estimating the copulas.
Our results show that the dependency between inflation and exchange rate in Ghana is approximately 7%.
American Psychological Association (APA)
Kwofie, Charles& Akoto, Isaac& Opoku-Ameyaw, Kwaku. 2020. Modelling the Dependency between Inflation and Exchange Rate Using Copula. Journal of Probability and Statistics،Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1190168
Modern Language Association (MLA)
Kwofie, Charles…[et al.]. Modelling the Dependency between Inflation and Exchange Rate Using Copula. Journal of Probability and Statistics No. 2020 (2020), pp.1-7.
https://search.emarefa.net/detail/BIM-1190168
American Medical Association (AMA)
Kwofie, Charles& Akoto, Isaac& Opoku-Ameyaw, Kwaku. Modelling the Dependency between Inflation and Exchange Rate Using Copula. Journal of Probability and Statistics. 2020. Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1190168
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1190168