The Impact of Exchange Rate's Volatility on Yunnan's Export to Four Lancang-Mekong Cooperation Countries: A Vine Copula Model Approach

Xinyu Yuan ； Jiechen Tang

《International Journal of Intelligent Technologies and Applied Statistics》 10卷4期 (2017/12) Pp. 289-300

https://doi.org/10.6148/IJITAS.2017.1004.06

摘要

This paper uses the vine copula model to analyze the impact of exchange rate’s volatility on Yunnan’s export to four Lancang-Mekong Cooperation countries. Our research found that in the C-vine copula, the degrees of freedom of the student-t copula model is significant on C_(25|1), which means that there is greater probability of extreme values on exchange rate, Myanmar and Laos. Based on the above conclusions, the results show that within the Lancang-Mekong Cooperation countries, as the devaluation of the RMB and Yunnan Province’s export to Myanmar and Laos increase. In the D-vine copula, we find that C_(34) and C_(45) vary considerably and significantly in student-t copula model and there is the least degree of freedom in C_(45), which means that there is greater probability of extreme values on Thailand and Laos. Finally, in the C-vine and D-vine copula, we cannot find any significant dependence on Clayton copula. We can see that the AIC of the student-t copula is lower than that of the Clayton copula; it is imply that the student-t copula dependence structure exhibits better explanatory abilities than the Clayton copula dependence structure in vine copula model.

關鍵字

Yunnan Province ； LMC countries ； Export ； Vine copula model ； Exchange rate