A causal test on the relations among selected stock returns, 91-day t-bill interest rates, and inflation: An application of Granger causality (1995-1999)

• Main Authors: Alonzo, Marie Lampel B., Chua, Carrie L., Cu, Melanio B., Francisco, Hideliza C.
• Format: text
• Language: English
• Published: Animo Repository 2000
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/17049
• Institution: De La Salle University

The primary concern of this study is to examine the causal relation between the selected economic indicators namely the variable Stock Returns, Inflation rates and 91-day treasury bill Interest rates for the Philippines. The exercise used a causality model made by C.W. Granger to jointly examine the relations of these variables. Granger causality test was performed to analyze the nature of the feedback relationships between the various pairs of variables. The results of the Granger Causality test suggest that the past data of 91-day Treasury Bill Interest rate has predictive power over the future values of Inflation. And that, Inflation has a predictive power over the Stock returns of banks and oil.