Evaluating Co-movements with the Total Value of Import and Export with Exchange Rate in Yunnan Province - Innovative Management in Information and Production - page 42

4 Date and Empirical Result

To explore the dependent structure between the total value of import and export with
exchange rate. This paper will collect the monthly total value of import and export
which comes from Department of Commerce of Yunnan Province and General
Administration of Customs of the People's Republic of China (sample period from
January 2001 to December 2011). The Chinese Yuan/US dollar monthly average
exchange rates come from International Financial Statistics of the International
Monetary Fund and Financial Statistics of the Federal Reserve Board (sample period
from January 2001 to December 2011) and yielding a total of 132 observations. The
monthly total value of import and export of Yunnan with exchange rate is plotted in
Fig. 1 , which exhibits a permanent deterministic pattern of the long-term upward
trend, although sharply around the time of the global financial crisis (2008 and
2009).
Because the GARCH model was used to estimate the conditional correlation
between the monthly total value of import and export with exchange rate. The
data should be stationary. Thus, the first difference of the monthly total value of
import and export with exchange rate was taken to make series stationary, y IE , t , y EX , t ,

as incremental rate between the monthly total value of import and export with
exchange rate, respectively. The monthly total value of import and export with
exchange rate incremental rates is plotted in Fig. 2 , which show, that there is a
conditional variance processes in the data. It implies that we selected GARCH
model as appropriate for modeling the monthly total value of import and export
with exchange rate.
The descriptive statistics for the incremental rate between the total value of
import and export with exchange rate are reported in Table 1 , which show that the
standard deviation of y IE , t is higher than y EX , t . The skewness statistics for the total
value of import and export with exchange rate is negative; the null hypotheses of y IE , t
and y EX , t are rejected at the 0.001% significance level, i.e., there is a significantly
normal distribution. Kurtoses of the value of imports and exports and exchange rate
are close to 3, and therefore, leptokurtosis and the Jarque and Bera statistics for
exchange rate are much higher.

EXCHANGE RATE IMPORT AND EXPORT

.17 200,000

.16 160,000

.15 120,000

.14 80,000

.13 40,000

.12 0

01 02 03 04 05 06 07 08 09 10 11 01 02 03 04 05 06 07 08 09 10 11

Fig. 1 The monthly total value of import and export in Yunnan with exchange rates