Title: Copula-based structure of co-movement between oil and manufacturing outputs
Authors: Ibrahim Abdalla Alfaki - United Arab Emirates University (United Arab Emirates) [presenting]
Abstract: The main objective is to investigate the co-movement and interdependency between macroeconomic variables; namely the oil and the manufacturing sectors' output volatility. Distributional properties and characteristics, including appropriate marginal distributions of both time series are illustrated. Copula-based multivariate analyses, including copula-based GARCH modeling strategy and its respective variants, are used to capture possible dependency structure. The discussion is further complemented by focusing on the case of the United Arab Emirates (UAE), a major producer of crude oil, ranked in the top 10 exporters. This is an interesting case, because understanding and modeling of dependence between oil and manufacturing outputs are crucial to the countrys strategy to diversify away from the dominance of a single commodity. The analysis Utilizes available annual data covering the period from 1975 to 2010, representing real UAE oil and manufacturing sector's output measured annually in the local UAE currency at 2001 constant prices.