Analysis of transmission and co-movement of rice export prices between Thailand and Vietnam
© Springer International Publishing Switzerland 2016. Copulas have become one of the most significant new tools to measure nonlinear dependence structure and tail dependence. Combining time-varying copulas and VAR model with kernel density function, this paper proposes a new method, called the time-...
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| Main Authors: | , , , |
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| Format: | Book Series |
| Published: |
2017
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| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952700782&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42401 |
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| Institution: | Chiang Mai University |
| Summary: | © Springer International Publishing Switzerland 2016. Copulas have become one of the most significant new tools to measure nonlinear dependence structure and tail dependence. Combining time-varying copulas and VAR model with kernel density function, this paper proposes a new method, called the time-varying copula-based VAR model, to analyze the transmission and co-movement of rice export prices between Thailand and Vietnam. The time-varying BB1 and BB7 copulas are proposed to measure asymmetric tail dependences. The main findings of this study reveal that there exists obvious co-movement between rice export prices of Thailand and Vietnam, and the time-varying BB7 copula has a better performance than others. In addition, the price transmission between the two markets is bi-directional, and the Vietnamese price is more suitable as price leader in terms of the results of impulse response functions. |
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