Analysis of the impact of the trade war between China and America on the RMB exchange rate under the R-vine copula model from the perspective of the global value chain

Abstract

Changes in the RMB exchange rate (ExRate) impact major strategic directions, such as China’s rise, the “Belt and Road” initiative, and RMB internationalization. Studying the impact of the trade war between China and America on the RMB ExRate is significant. This paper constructs an R-vine copula model and studies the influencing factors of the ExRate and the mechanism of the trade war between China and America on the RMB ExRate. The impact of the Trade war between China and America on the RMB ExRate is analyzed in detail. Besides, the R-vine copula model is used to analyze the fluctuations of the ExRate returns of the Association of Southeast Asian Nations (ASEAN). The R-vine copula model is employed to study the volatility of the ExRate return series of ASEAN countries, and the mean of the ExRate dependence coefficients of ASEAN and the estimation results of R-vine copula parameters are analyzed.