Analysis of international trade, exchange rate and crude oil price on economic development of Yunnan Province: A GARCH-Vine copula model approach
© 2014 by the Mathematical Association of Thailand. All rights reserved. In this paper, we attempted to use the GARCH-vine copula model to analyze the dependence structure of international trade, exchange rate, and crude oil price on the economic development of Yunnan Province. In the C-vine, the df...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Journal |
| Published: |
2018
|
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907249173&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/45479 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Chiang Mai University |
| Summary: | © 2014 by the Mathematical Association of Thailand. All rights reserved. In this paper, we attempted to use the GARCH-vine copula model to analyze the dependence structure of international trade, exchange rate, and crude oil price on the economic development of Yunnan Province. In the C-vine, the df of the student-t copula model is significant on C 14 and C 25|1 , and there is the least degree of freedom in C 14 , which means that there is a greater probability of extreme values in industrial added value and export. In the Clayton copula, we find a strong significance with fminunc in C 13 and C 45|123 . With fminunc in C 13 , the Clayton copula can catch left tail dependence. This means that a decrease in the crude oil spot price is inclined to retard Yunnan's industrial added value growth. In the D-vine, we find that the df of the student-t copula model varies considerably and significantly in C 23 and C 34 , respectively. Finally, in the Clayton copula, we conclude that there exists a strong significance with fminunc in C 45 (export-import) and C 13|2 . |
|---|