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...
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| Main Authors: | , , |
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| Format: | Journal |
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2018
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| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907249173&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53696 |
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| 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 C14and C25|1, and there is the least degree of freedom in C14, 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 C13and C45|123. With fminunc in C13, 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 C23and C34, respectively. Finally, in the Clayton copula, we conclude that there exists a strong significance with fminunc in C45(export-import) and C13|2. |
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