Modelling the Dependency between Inflation and Exchange Rate Using Copula

<table class="table-group" id="tab9"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left">Pair</td><td class="align_center"><span style="width: 6.40217ptpx;"><svg height="6.1673pt" id="M91" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -5.96091 6.40217 6.1673" width="6.40217pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M471 456L444 459C426 433 414 430 388 430C324 430 270 434 216 434C103 434 51 374 23 338L43 317C96 366 146 380 221 375L154 109C149 86 147 68 147 52C147 4 168 -12 197 -12C240 -12 291 25 334 71L320 96C295 75 268 58 252 58C238 58 227 79 238 138C251 211 272 296 292 372C310 372 332 368 350 368C391 368 421 369 434 371C444 388 455 413 471 456Z"></path></g></svg></span></td><td class="align_center"><svg height="8.68572pt" id="M92" style="vertical-align:-0.0498209pt" version="1.1" viewbox="-0.0498162 -8.6359 8.15071 8.68572" width="8.15071pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M600 480C600 590 528 650 384 650H143L137 622C222 614 225 607 210 531L130 127C113 41 106 36 23 28L17 0H294L300 28C204 36 195 42 212 127L243 284L314 263C327 263 339 263 352 264C465 271 600 337 600 480ZM508 481C508 351 402 304 329 304C289 304 265 311 250 317L295 559C302 594 310 606 323 611C335 616 350 619 367 619C455 619 508 573 508 481Z"></path></g></svg> value</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left"><span style="width: 29.0567ptpx;"><svg height="9.14241pt" id="M93" style="vertical-align:-3.1815pt" version="1.1" viewbox="-0.0498162 -5.96091 29.0567 9.14241" width="29.0567pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M515 96L502 119C471 88 431 62 423 62C416 62 411 70 417 101C440 223 469 341 497 448H486L412 422L380 277C330 188 210 57 152 57C137 57 126 69 139 124L195 366C210 431 205 448 182 448C155 448 89 413 23 350L36 326C73 354 103 376 112 376C118 376 118 365 113 340L61 118C54 90 52 68 52 51C52 0 75 -12 98 -12S151 -3 181 17C242 58 305 119 362 193H364L345 104C323 3 339 -12 359 -12C390 -12 464 35 515 96Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.929,3.132)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.013,0,0,-0.013,11.875,0)"><path d="M95 130C70 130 46 113 46 88C46 72 54 64 59 64C93 55 121 33 121 -3C121 -41 93 -68 44 -88L55 -117C117 -98 186 -56 186 22C186 91 131 130 95 130Z"></path></g><g transform="matrix(.013,0,0,-0.013,17.019,0)"><path d="M515 96L502 119C471 88 431 62 423 62C416 62 411 70 417 101C440 223 469 341 497 448H486L412 422L380 277C330 188 210 57 152 57C137 57 126 69 139 124L195 366C210 431 205 448 182 448C155 448 89 413 23 350L36 326C73 354 103 376 112 376C118 376 118 365 113 340L61 118C54 90 52 68 52 51C52 0 75 -12 98 -12S151 -3 181 17C242 58 305 119 362 193H364L345 104C323 3 339 -12 359 -12C390 -12 464 35 515 96Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,23.948,3.132)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g></svg></span></td><td class="align_center">0.20612</td><td class="align_center">0.214</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Test of independence between marginals using Kendall’s rank correlation.</div>

Journal of Probability and Statistics

tab9

Table 9

Table 9: Modelling the Dependency between Inflation and Exchange Rate Using Copula 