Granger causality: Analyzing exchange rates and commodity prices in the selected ASEAN+3 countries
Studies have shown that there exists a causal relationship between the exchange rates and commodity prices, in which the direction of this relationship varies between countries. The study makes use of an autoregressive distributed lag model to determine this relationship in the selected ASEAN+3 coun...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2017
|
| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/7764 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | De La Salle University |
| Language: | English |
| Summary: | Studies have shown that there exists a causal relationship between the exchange rates and commodity prices, in which the direction of this relationship varies between countries. The study makes use of an autoregressive distributed lag model to determine this relationship in the selected ASEAN+3 countries using annual data, including a monthly data analysis for the Philippines from 1967-2014. The study shows that the causality between the variables differ across the selected ASEAN+3 countries in which not all commodities have a significant relationship with exchange rate. This suggests that the quantities of some of the commodities traded are not significant enough in affecting the exchange rate of the country. |
|---|