Evaluating Co-movements with the Total Value of Import and Export with Exchange Rate in Yunnan Province - Innovative Management in Information and Production - page 37

Evaluating Co-movements with the Total
Value of Import and Export with Exchange
Rate in Yunnan Province

Xinyu Yuan, Songsak Sribooditta, Berlin Wu, and Jiechen Tang

Abstract The copulas provide a greater flexible method of constructing multivari-
ate distributions. Our study will use dynamic copula-based GARCH models to
evaluate the dependence structure between the monthly total value of import and
export in Yunnan Province with exchange rates. We find that the Clayton copula
exhibits greater economic benefits than other dynamic strategies. From the empirical
studies, we can see a sharply decreased in 2005 (China deepening reform of RMB
exchange rate) and 2009 (the World Financial Crisis) with the dependence structure
in Gaussian copula, Student- t copula, and Clayton copula, respectively. The results
showed that, the latest return information is a meaningful measure between the
monthly total value of import and export with exchange rate in Yunnan Province.

Keywords The total value of import and export ￿ Exchange Rate ￿ Yunnan ￿
Dynamic copula

1 Introduction

According to the statistical data from Department of Commerce of Yunnan Province
and General Administration of Customs of the People's Republic of China, from
2001 to 2011, the international trade of Yunnan development was rapid. The total
value of import and export rose from approximately $1.989 billion to approximately
$16.5 billion. As a result of the worldwide influence of the American financial crisis,