讲座主题：Co-movement between oil, gas, coal, and iron ore prices, the Australian dollar and the Chinese RMB exchange rates: Copula approach

主讲人：马轶群博士

时间：2019年4月9日（周二）13：30-15：00

地点：经济学院（6号楼）210

主办单位：浙江省一流学科“应用经济学”国际贸易学方向、经济学院

主讲人简介：

马轶群，荷兰格罗宁根大学博士后，浙江财经大学讲师，Energy Policy, Energy Economics, Resources Policy期刊匿名审稿人。研究领域为能源资源环境经济学，实物期权理论。

内容摘要：

We investigate the dependence structures between prices of crude oil, natural gas, steam coal, and iron ore, the Australian dollar, and the Chinese RMB exchange rates. Dependence structures are analyzed and compared using copula models. Our evidence shows that the rises in the commodity prices are along with a depreciation of the Australian dollar and an appreciation of the Chinese RMB. For the period 2010—2015, the oil prices were main contributors to the dynamics of the Australian dollar and the Chinese RMB exchange rates. For the period 2015—2018, the dominant effect of oil prices on the Australian dollar and the Chinese RMB was diminished. Simultaneously, the weak association between the steam coal prices and the Chinese RMB was seen, accompanied by the prominent relation between the gas prices and the Chinese RMB. Our results may clarify the impact of the China’s national policy to adjust its resource demand on the commodity prices and help policy makers hedge the financial risks from the commodity market.