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Can Brics’S Currency Be A Hedge Or A Safe Haven For Energy Portfolio? An Evidence From Vine Copula Approach

Author

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  • YIJIN HE

    (Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan)

  • TADAHIRO NAKAJIMA

    (Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan†The Kansai Electric Power Company, Incorporated, 6-16, Nakanoshima 3-chome, Kita-Ku Osaka 530-8270, Japan)

  • SHIGEYUKI HAMORI

    (Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan)

Abstract

In this paper, we examine the role of Brazil, Russia, India, China and South Africa’s (BRICS) currency in energy market by using vine copula method. The value-at-risk (VaR) and expected shortfall of two portfolios are calculated. One is a benchmark portfolio which is consisted of only energy prices, the other is a portfolio which adding the BRICS’s exchange rate into the benchmark portfolio. The data period is from 24 August 2010 to 29 November 2019. Our results show the BRICS’s currency can reduce the risk in energy investment.

Suggested Citation

  • Yijin He & Tadahiro Nakajima & Shigeyuki Hamori, 2020. "Can Brics’S Currency Be A Hedge Or A Safe Haven For Energy Portfolio? An Evidence From Vine Copula Approach," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(04), pages 805-836, June.
    • Handle: RePEc:wsi:serxxx:v:65:y:2020:i:04:n:s0217590820500174
    DOI: 10.1142/S0217590820500174
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    Cited by:

    1. Dejan Živkov & Boris Kuzman & Jonel Subić, 2022. "Measuring the risk-adjusted performance of selected soft agricultural commodities," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(3), pages 87-96.
    2. Jin Shang & Shigeyuki Hamori, 2023. "Differential Tail Dependence between Crude Oil and Forex Markets in Oil-Importing and Oil-Exporting Countries during Recent Crisis Periods," Sustainability, MDPI, vol. 15(19), pages 1-24, October.

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