Co-movement between oil, gas, coal, and iron ore prices, the Australian dollar, and the Chinese RMB exchange rates: A copula approach

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 increases in the commodity prices coincide with an increase in the Australian dollar and a decrease in the Chinese RMB. For the period 2010-2015, a relatively high correlation between oil prices, the Australian dollar, and the Chinese RMB was evident. For the period 2015-2018, the strength of the relationship between oil prices, the Australian dollar, and the Chinese RMB decreased. Simultaneously, the weak association between the steam coal prices and the Chinese RMB was observed, accompanied by a prominent relation between gas prices and the Chinese RMB. Our results may clarify the impact of the China's national policies to adjust its resource demand on commodity prices and help policymakers hedge the financial risks of the commodity market.