Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/69475
Title: Modeling Exports Imports and Their Volatilities of Natural Rubber in ASEAN
Other Titles: การจาลองแบบการส่งออก นาเข้า และความผันผวนของการส่งออกและนาเข้าของยางธรรมชาติในอาเซียน
Authors: Prof. Dr. Songsak Sriboonchitta
Asst. Prof. Dr. Chukiat Chaiboonsri
Asst. Prof. Dr. Warattaya Chinnakum
Kewalin Somboon
Issue Date: Mar-2020
Publisher: เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่
Abstract: Numerous previous studies concentrated on modeling volatilities in financial econometrics or discussing the spillover effects among the crop markets, contrast with few studies focused on the volatility in international trade or trade liberalization and economic integration. ASEAN community is, by far, the world’s largest natural rubber exporter with 79% of its net exports, 67% of net global production, and about 57% of global rubber demand are from the Asia-pacific rubber exporters. This can be expressed that the world’s largest and strongest in natural rubber consuming belong to the Asia-pacific since 1986 due to their population and economic growth. The aim of this thesis is to investigate the volatility of rubber markets in ASEAN which are more likely to be highly correlated. When several series displaying temporal or contemporaneous dependencies are available, it is useful to analyze them jointly, by viewing them as the components of a vector-valued (multivariate) process. Consequently, there would be expected to be substantial gains in efficiency in modeling them jointly by using multivariate GARCH models. The estimation of the proper volatility models of rubber markets in ASEAN in order to capture volatility is needed. Hence, the multivariate GARCH, DVECH, BEKK, CC, DCC, VARMA-GARCH, VARMA-AGARCH, and the two-step Copula-GARCH models are applied to examine volatilities of five ASEAN nations in their imports and exports of natural rubber. However, these multivariate GARCH model does not account for tail dependence of rubber markets in ASEAN.Regarding the model selection, this study focuses on modeling exports, imports and their volatilities of natural rubber in ASEAN, the AIC for both ASEAN natural rubber imports and exports. The estimated results from the Copula-GARCH model provides the smallest AIC compared with MGARCH, DVECH, BEKK, CC, DCC, VARMA-GARCH, and VARMA-AGARCH , indicating that the Copula-GARCH model is the best-fitted model for our data compared with other models. Thus, we also gain the advantage of employing copula-GARCH model in terms of investigating the tail dependence structure of natural rubber markets in ASEAN. The empirical results exhibit the first tree vine copula construction indicated the correlation between Thailand and rubber exports in ASEAN is stronger than the imports section. The second tree vine copula construction presents the impact of Thailand on ASEAN rubber exports is similar to ASEAN rubber imports which can be concluded that both ASEAN rubber imports and exports have a relationship with Thailand and Malaysia. Meaning that when one ASEAN country increase their volume while Thailand and Malaysia volume is high, there market activities has been influenced by Thailand and Malaysia. Thus, there is a relationship between the ASEAN community in both economic sections. Lastly, this thesis is the first research studies the volatility of Natural Rubber import and export markets in ASEAN which refers to market risk. The understanding of the risk of rubber markets will help policymakers to reduce these risks. Moreover, estimate the proper volatility models of rubber markets in ASEAN in order to capture volatility is needed. This study also obtained the most proper tool to investigate the volatility and be able to obtain the structure of relationship among rubber markets in ASEAN by using copula model to explain their tail dependence. Nevertheless, in this case investors and policymakers are be able to obtain the boundary of market fluctuation which would be helpful for them to analyze and diversify risk. Lastly, the relationship and performance of Natural Rubber import and export in ASEAN community can be defined by our study.
URI: http://cmuir.cmu.ac.th/jspui/handle/6653943832/69475
Appears in Collections:ECON: Theses

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