Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/55583
Title: Analysis of transmission and co-movement of rice export prices between Thailand and Vietnam
Authors: Duangthip Sirikanchanarak
Jianxu Liu
Songsak Sriboonchitta
Jiachun Xie
Keywords: Computer Science
Issue Date: 1-Jan-2016
Abstract: © Springer International Publishing Switzerland 2016. 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.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952700782&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55583
ISSN: 1860949X
Appears in Collections:CMUL: Journal Articles

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