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In this paper, we examine the role of Brazil, Russia, India, China and South Africa's (BRICS) currency in energy market by using vine copula method. The value-at-risk (VaR) and expected shortfall of two portfolios are calculated. One is a benchmark portfolio which is consisted of only energy prices, the other is a portfolio which adding the BRICS's exchange rate into the benchmark portfolio. The data period is from 24 August 2010 to 29 November 2019. Our results show the BRICS's currency can reduce the risk in energy investment. [ABSTRACT FROM AUTHOR]

In this paper, we investigate the connectedness between natural gas and BRICS (Brazil, Russia, India, China, and South Africa)'s exchange rate in terms of time and frequency. This empirical work is based on the approach of connectedness proposed by Diebold and Yilmaz, who provided an effective way of valuing how much variation in one variable is responsible for the value of other variables, and the method proposed by Baruník and Křehlík, who decomposed the results from Diebold and Yilmaz into different frequencies. We also use the rolling-window method to conduct time-varying analysis. The data used in this paper are from 23 August 2010 to 20 June 2019. We find that the natural gas price hardly influences BRICS's exchange rates, which provides an important practical implication for policymakers, especially in oil-dependent countries. [ABSTRACT FROM AUTHOR]