A central role for economic policy involves reducing the incidence of systemic downturns,when key economic variables experience joint extreme events. In this paper,we empirically analyze such asymmetric dependence using two approaches, correlationsand copulas. We document four findings. First,...

This paper investigates dependence structure and downside/upside risk spillovers between the crude oil prices and the US dollar exchange rates of both oil exporting and importing countries. We employ a flexible dependence switching copula model, which allows for not only the positive and...