Analysis the dependence structure and co-movement between the export of ASEAN members and changes in China’s economy

Abstract

Currently, the ASEAN countries have a stronger economic role, particularly in terms of merchandise exports to trading partners such as China, an economic superpower. The value of trade between China and ASEAN has recently expanded. Therefore, this research aims to analyze the co-movement and dependence structure between China's economy and ASEAN countries' exports, including Singapore, Indonesia, Malaysia, the the Philippinesss, Thailand, and Vietnam during changes in China's economy. The data used were the gross domestic product of China and the exports to China from 6 ASEAN countries by 1994 to 2018. The model of Markov Switching Autoregressive was utilized to separate the economic regimes corresponding to the different states (uptrends and downtrends), then using an approach with CD and R-Vine copula to exhibit the copula structure. The results of the study reveal that in both the uptrend and the downtrend periods, the export to China from 6 ASEAN countries mostly have a positive dependence. R-Vine copula structure during downtrend period, the gross domestic product of China can be the strongest effect on the export of Malaysia. And the export of Singapore is the directly dependent variable with China's GDP in uptrend economy of D-Vine structure, while the export of Malaysia is the highest dependence that occurs in a downtrend. But in C-Vine structure, cannot be devided the regime. The copulas in the study are an asymmetric distribution of the dependence between the gross domestic product of China and the 6 ASEAN members' export have unbalanced distribution and high risk.