Interdependence of the US dollar and Food Price through Copulas

Abstract

This paper describes the use of mating to study the relationship between the dollar (USD) US and prices for corn, soybeans, wheat and rice. Copulas with different structures and variables conditional dependence on the time dependence of the parameters were used. The empirical results of weekly data for January 1998-October 2012 provided evidence of a positive and weak dependence between the USD and food and no extreme dependence on markets corn, wheat and rice, which confirms that price spikes of these foods were not caused by the extreme depreciation of the USD. However, for soybeans it was found evidence of average positive dependence and asymmetric tail dependence, upper tail positive dependence confirming the contribution of the depreciation of the dollar to price spikes soybeans.