Evaluating Co-movements with the Total Value of Import and Export with Exchange Rate in Yunnan Province - Innovative Management in Information and Production - page 46

5 Conclusions

The results showed that the latent parameter r t is significant and displaying that the
latest return information is a meaningful measure between the monthly total value
of import and export in Yunnan Province with exchange rate. Specially,

γ c in the
Student- t copula is much larger than others, which means it has a greater short-run
response than other copula functions. We can observe that the dependence structure
decreased in 2005 and 2009, respectively. This may be due to China reform of
RMB exchange rate (2005) and the World Financial Crisis (2009). This relationship
between the monthly total value of import and export with exchange rate has enabled
to serve as useful tool for government policy-making.
In terms of the values of AIC, the Clayton dependence structure exhibits better
explanatory ability for the monthly total value of import and export with exchange
rate than other dependence structures, while the Gumbel copulas have worse
explanatory ability. From the goodness of fit for the copula revealed that between
exchange rate with the total value import and export are not significant in the
Gumbel-copula at the 5% level, and more significant in the Clayton-copula at 5%
the level.

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