Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks.

We first employ the method of multivariate GARCH models and Vine-Copula-CoVaR to analyse relationships between dependence, systematic risk spillover, and volatility spillover between the USD/CNY exchange rate and the returns on WTI crude oil futures and the Chinese stock market since China's 2005 foreign exchange reform. We utilise daily data from 2005 to 2020. We find a more complex dependence of the USD/CNY exchange rate on stock markets and WTI crude oil prices. All have negative risk spillovers among paired markets, with WTI having the most substantial risk spillover. However, the strength of the systematic risk spillover varies across markets. Based on the results of the VAR(1)-BEKK-GARCH