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Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System

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  • Trabelsi, Nader

Abstract

This paper investigates the potential asymmetry in international oil market and the Saudi Arabia sectors tail dependence. Our methodology incorporates copula-based dependence measures with ARMA-GARCH margins, during the period 2007–2016. Empirically, results are validated by establishing nonparametric tests of independence and Goodness-of-fit test for copula. The aim results have shown that the responses of the sector indices to oil price fluctuations are significantly asymmetric, especially for the left tail, except for Petrochemical sector index and Agricultures & Food sector index where tail dependence is symmetric.

Suggested Citation

  • Trabelsi, Nader, 2017. "Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 26-41.
  • Handle: RePEc:eee:joecas:v:16:y:2017:i:c:p:26-41
    DOI: 10.1016/j.jeca.2017.05.001
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    More about this item

    Keywords

    Oil price shocks; Asymmetry; Major oil exporting countries; Tail dependence; Copula; Goodness-of-fit test;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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