Dependence Evaluation on the Impact of Exchange Rate's Volatility on Yunnan's Import from Four GMS Countries: A GARCH-Vine Copula Model Approach

Xinyu Yuan ； Jiechen Tang

《International Journal of Intelligent Technologies and Applied Statistics》 9卷4期 (2016/12) Pp. 279-291

https://doi.org/10.6148/IJITAS.2016.0904.02

摘要

This paper uses the GARCH-vine copula model to analyze the impact of exchange rate's volatility on Yunnan's import from four GMS countries. Our empirical study found that in the C-vine copula, there is greater probability of extreme values on Exchange rate and Yunnan's import from Myanmar, Vietnam and Laos. In the Clayton copula, we find a significant relationship on Exchange rate and Yunnan's import from four GMS countries; In the D-vine copula, there is greater probability of extreme values on Yunnan's import from Myanmar and Vietnam. Finally, in the Clayton copula, we find a significant relationship on Yunnan's import from four GMS countries. In terms of the values of AIC, the student-t dependence structure exhibits better explanatory abilities than the Clayton dependence structure. These findings have important implications for risk management, as the devaluation of the RMB and Yunnan Province's import from Myanmar decrease, Yunnan Province's import from the others GMS countries also decreases. GMS will provide tremendous opportunities for Yunnan Province in trade cooperation, but the exchange rate risk will remain in the future development.

關鍵字

Yunnan province ； GMS countries ； Import ； GARCH-Vine copula model ； Exchange rate