Dependence Evaluation on the Impact of Exchange Rate's Volatility on China's Import From Four Lancang- Mekong Cooperation Countries: A GJRGARCH-Vine Copula Model Approach

Xinyu Yuan ； Jiechen Tang

《International Journal of Intelligent Technologies and Applied Statistics》 12卷4期 (2019/12) Pp. 361-373

https://doi.org/10.6148/IJITAS.201912_12(4).0002

摘要

This paper uses the Glosten-Jaganathan-Runkle generalized autoregresive heteroskedascticity (GJRGARCH)-vine copula model to analyze the impact of exchange rate's volatility on China's import from four Lancang-Mekong Cooperation (LMC) countries. Our empirical study found that in the C-vine copula, there is greater probability of extreme values on exchange rate and China's import from Myanmar and Thailand. In the Clayton copula, we find a significant relationship on exchange rate and China's import from four LMC countries. In the D-vine copula, there is greater probability of extreme values on China's import from Vietnam and Thailand. Finally, we cannot find any significant dependence on Clayton copula. The student-t dependence structure exhibits better explanatory abilities than the Clayton dependence structure. These findings have important implications for risk management, as the appreciation of the RMB, China's import from the four LMC countries also increase. LMC will promote regional export and creates the condition to increased cross-border connectivity, but the exchange rate risk will still exists.

關鍵字

China ； Lancang-Mekong Cooperation (LMC) countries ； import ； Glosten-Jaganathan-Runkle generalized autoregresive heteroskedascticity (GJRGARCH)-vine copula ； exchange rate