Analysis of Fruit and Vegetable Exports and Imports, Exchange Rate, and Crude Oil Price on Economic Development of China: A GARCH-Vine Copula Model Approach

摘要

We attempted to use the GARCH-vine copula model to analyze the dependent structure among FV (fruit and vegetable) exports, FV imports, GDP of China, exchange rate and crude oil spot price. The empirical results show that the volatility of WTI has short-run persistence and long-run persistence in the volatility of five series. The AIC of the Clayton dependence is larger than that of the student-t dependence, which means that the student-t dependence structure exhibits better explanatory capabilities than the Clayton dependence structure. In the D-vine copula, there is a greater probability of extreme values in FV exports, FV imports, GDP of China. In the C-vine copula, there is greater probability of extreme values between FV exports and GDP of China. We also find significant relationship between FV exports and FV imports, FV exports and GDP of China, FV exports and exchange rates, respectively. The Clayton copula can catch left tail dependence; therefore, FV exports plays a pivotal role in economic growth, there existed a widely held belief in the role of the government via its expanded FV exports policies in fostering the economic growth of the country.