An analysis on the trend predictability of the US dollar- Philippine peso exchange rates : impact on market efficiency
Predictability of foreign exchange rate market in the Philippines have not yet been fully explored. In the study, the researchers utilized Hurst exponent in obtaining the US-PHP exchange rate trends. The Hurst exponent is a statistical tool used to classify time series. H=0.5 indicates a random se...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2016
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/7756 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | Predictability of foreign exchange rate market in the Philippines have not yet been fully explored. In the study, the researchers utilized Hurst exponent in obtaining the US-PHP exchange rate trends. The Hurst exponent is a statistical tool used to classify time series. H=0.5 indicates a random series while H>0.5 indicates that will it continue its trend, and if H<.5, this indicates that the trend will revert. Later, the researchers used OLS regression in finding the relationship of the variables that influence the foreign exchange rate. The researchers concluded that US-PHP exchange rate from 1990-2014 is persistent. In addition, FDI, Inflation rate, GDP per capita, debt of the country influences the foreign exchange rate. |
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