Analysis of international trade, exchange rate and crude oil price on economic development of Yunnan Province: A GARCH-Vine copula model approach

• Main Authors: Xinyu Yuan, Songsak Sriboonchitta, Jiechen Tang
• 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
• Institution: Chiang Mai University

© 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 .