Interdependence of the US dollar and Food Price through Copulas
This paper describes the use of mating to study the relationship between the dollar (USD) US and prices for corn, soybeans, wheat and rice. Copulas with different structures and variables conditional dependence on the time dependence of the parameters were used. The empirical results of weekly data...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Ediciones UO
2015-12-01
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| Series: | Anuario Facultad de Ciencias Económicas y Empresariales |
| Subjects: | |
| Online Access: | http://revistas.uo.edu.cu/index.php/aeco/article/view/576 |
| _version_ | 1818111700611629056 |
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| author | Mikel Ugando-Peñate Raimundo Juan Lora-Freyre María Esperanza González-del Foyo |
| author_facet | Mikel Ugando-Peñate Raimundo Juan Lora-Freyre María Esperanza González-del Foyo |
| author_sort | Mikel Ugando-Peñate |
| collection | DOAJ |
| description | This paper describes the use of mating to study the relationship between the dollar (USD) US and prices for corn, soybeans, wheat and rice. Copulas with different structures and variables conditional dependence on the time dependence of the parameters were used. The empirical results of weekly data for January 1998-October 2012 provided evidence of a positive and weak dependence between the USD and food and no extreme dependence on markets corn, wheat and rice, which confirms that price spikes of these foods were not caused by the extreme depreciation of the USD. However, for soybeans it was found evidence of average positive dependence and asymmetric tail dependence, upper tail positive dependence confirming the contribution of the depreciation of the dollar to price spikes soybeans. |
| first_indexed | 2024-12-11T03:07:13Z |
| format | Article |
| id | doaj.art-94814d420b2f498994e55ef947bb5e86 |
| institution | Directory Open Access Journal |
| issn | 2218-3639 |
| language | English |
| last_indexed | 2024-12-11T03:07:13Z |
| publishDate | 2015-12-01 |
| publisher | Ediciones UO |
| record_format | Article |
| series | Anuario Facultad de Ciencias Económicas y Empresariales |
| spelling | doaj.art-94814d420b2f498994e55ef947bb5e862022-12-22T01:22:57ZengEdiciones UOAnuario Facultad de Ciencias Económicas y Empresariales2218-36392015-12-01707591532Interdependence of the US dollar and Food Price through CopulasMikel Ugando-Peñate0Raimundo Juan Lora-Freyre1María Esperanza González-del Foyo2Pontifícia Universidad Católica del Ecuador, Sede Santo DomingoUniversidad de OrienteUniversidad de OrienteThis paper describes the use of mating to study the relationship between the dollar (USD) US and prices for corn, soybeans, wheat and rice. Copulas with different structures and variables conditional dependence on the time dependence of the parameters were used. The empirical results of weekly data for January 1998-October 2012 provided evidence of a positive and weak dependence between the USD and food and no extreme dependence on markets corn, wheat and rice, which confirms that price spikes of these foods were not caused by the extreme depreciation of the USD. However, for soybeans it was found evidence of average positive dependence and asymmetric tail dependence, upper tail positive dependence confirming the contribution of the depreciation of the dollar to price spikes soybeans.http://revistas.uo.edu.cu/index.php/aeco/article/view/576precios de alimentoscópulastipo de cambioDólar de EE.UU.co-movimiento. |
| spellingShingle | Mikel Ugando-Peñate Raimundo Juan Lora-Freyre María Esperanza González-del Foyo Interdependence of the US dollar and Food Price through Copulas Anuario Facultad de Ciencias Económicas y Empresariales precios de alimentos cópulas tipo de cambio Dólar de EE.UU. co-movimiento. |
| title | Interdependence of the US dollar and Food Price through Copulas |
| title_full | Interdependence of the US dollar and Food Price through Copulas |
| title_fullStr | Interdependence of the US dollar and Food Price through Copulas |
| title_full_unstemmed | Interdependence of the US dollar and Food Price through Copulas |
| title_short | Interdependence of the US dollar and Food Price through Copulas |
| title_sort | interdependence of the us dollar and food price through copulas |
| topic | precios de alimentos cópulas tipo de cambio Dólar de EE.UU. co-movimiento. |
| url | http://revistas.uo.edu.cu/index.php/aeco/article/view/576 |
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