- 期刊
Dependence Evaluation on International Trade and Exchange Rate for Developing Economics
並列摘要
This study attempted to use GARCH-Vine copulas model to analyze the dependence structure between the value of imports and exports with exchange rate on the economic development of Yunnan Province. Since it is difficult to apply the traditional copula analysis in standard multivariate copulas, when the dependence structure is inflexible or sensitive with parameters, in this research, we consider Vine copulas via its inherent advantage of computation. Comparing the AIC with four constructed copula vines, we can see that the Clayton dependence structure exhibits a better explanatory than the student-t dependence structure. In the Clayton copula that there is a strongly significant correlation on C34|12 in C-vine, as industrial added value and exchange rates increase, the demand of goods and imports, the production and exports will increase too; therefore, positive relationships between industrial added value and exchange rates with international trade. In D-vine, we find that all parameters vary considerably and significantly, respectively, in student-t copula model. Finally, in the Clayton copula, we conclude a strongly significant correlation copula in export-import.
延伸閱讀
- KARYTINOS, A., ANDREOU, A., & PAVLIDES, G. (2000). Long-Term Dependence in Exchange Rates. Discrete Dynamics in Nature and Society, 2000(), a1-20. https://doi.org/10.1155/S1026022600000017
- 陳勁宏（2010）。The Determinants of Foreign Exchange Rate Exposure〔碩士論文，國立暨南國際大學〕。華藝線上圖書館。https://doi.org/10.6837/NCNU.2010.00027
- 曹添旺、黃俊傑（2005）。Currency Substitution, Trade Elasticities, and Real Exchange Rate Dynamics。經濟論文，33(2)，173-200。https://doi.org/10.29628/AEP.200506.0002
- 陳怡君（2014）。The Evaluation of Performance and Risk on Foreign Exchange Rate Portfolio〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2014.00951
- 方文碩、張倉耀、葉志權（2005）。Exchange Rate Depreciation, Risk and Exports。經濟研究，41(1)，105-139。https://doi.org/10.29765/TEI.200501.0002