A causality test on the relations between and among unemployment rate and 91-day treasury bill interest rates, foreign portfolio inflow and stock index return in the Philippines for the period of 1991-2005

This study used the application of Granger causality test on unemployment and the financial markets' performance based on three financial indicators--91-day treasury bill rates, stock market return, and foreign portfolio investment. Findings showed that unemployment rates Granger causes 91-dy t...

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Bibliographic Details
Main Authors: Chua, Gerry, Dejasco, Michelle, Go, Stephen, Santos, Jose Alberto
Format: text
Language:English
Published: Animo Repository 2006
Subjects:
Online Access:https://animorepository.dlsu.edu.ph/etd_bachelors/18303
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Institution: De La Salle University
Language: English
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Summary:This study used the application of Granger causality test on unemployment and the financial markets' performance based on three financial indicators--91-day treasury bill rates, stock market return, and foreign portfolio investment. Findings showed that unemployment rates Granger causes 91-dy treasury bill rates and vice versa. On the other hand, stock market return Granger causes unemployment but not the other way around, while unemployment and foreign portfolio investment did not show a Granger causality result. These tests were done using quarterly Philippine data covering the period of 1991-2005.