Abstract
Copulas have become one of the most significant new tools to measure nonlinear dependence structure and tail dependence. Combining time-varying copulas and VAR model with kernel density function, this paper proposes a new method, called the time-varying copula-based VAR model, to analyze the transmission and co-movement of rice export prices between Thailand and Vietnam. The time-varying BB1 and BB7 copulas are proposed to measure asymmetric tail dependences. The main findings of this study reveal that there exists obvious co-movement between rice export prices of Thailand and Vietnam, and the time-varying BB7 copula has a better performance than others. In addition, the price transmission between the two markets is bi-directional, and the Vietnamese price is more suitable as price leader in terms of the results of impulse response functions.
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Acknowledgments
The authors are very grateful to Professor Vladik Kreinovich and Professor Hung T. Nguyen for their comments. The authors wish to thank the Puey Ungphakorn Centre of Excellence in Econometrics and Bank of Thailand Scholarship for their financial supports.
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Sirikanchanarak, D., Liu, J., Sriboonchitta, S., Xie, J. (2016). Analysis of Transmission and Co-Movement of Rice Export Prices Between Thailand and Vietnam. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S. (eds) Causal Inference in Econometrics. Studies in Computational Intelligence, vol 622. Springer, Cham. https://doi.org/10.1007/978-3-319-27284-9_21
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DOI: https://doi.org/10.1007/978-3-319-27284-9_21
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