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: Xinyu Yuan, Songsak Sriboonchitta, Jiechen Tang
Format: Journal
Published: 2018
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http://cmuir.cmu.ac.th/jspui/handle/6653943832/53696
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spelling th-cmuir.6653943832-536962018-09-04T09:55:46Z Analysis of international trade, exchange rate and crude oil price on economic development of Yunnan Province: A GARCH-Vine copula model approach Xinyu Yuan Songsak Sriboonchitta Jiechen Tang Mathematics © 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. 2018-09-04T09:55:46Z 2018-09-04T09:55:46Z 2014-01-01 Journal 16860209 2-s2.0-84907249173 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907249173&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53696
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Mathematics
spellingShingle Mathematics
Xinyu Yuan
Songsak Sriboonchitta
Jiechen Tang
Analysis of international trade, exchange rate and crude oil price on economic development of Yunnan Province: A GARCH-Vine copula model approach
description © 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.
format Journal
author Xinyu Yuan
Songsak Sriboonchitta
Jiechen Tang
author_facet Xinyu Yuan
Songsak Sriboonchitta
Jiechen Tang
author_sort Xinyu Yuan
title Analysis of international trade, exchange rate and crude oil price on economic development of Yunnan Province: A GARCH-Vine copula model approach
title_short Analysis of international trade, exchange rate and crude oil price on economic development of Yunnan Province: A GARCH-Vine copula model approach
title_full Analysis of international trade, exchange rate and crude oil price on economic development of Yunnan Province: A GARCH-Vine copula model approach
title_fullStr Analysis of international trade, exchange rate and crude oil price on economic development of Yunnan Province: A GARCH-Vine copula model approach
title_full_unstemmed Analysis of international trade, exchange rate and crude oil price on economic development of Yunnan Province: A GARCH-Vine copula model approach
title_sort analysis of international trade, exchange rate and crude oil price on economic development of yunnan province: a garch-vine copula model approach
publishDate 2018
url 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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